Winner Filte
先从维纳滤波器说起,M阶维纳滤波的模型为
(1) e ( n ) = d ( n ) − W H U ( n ) e(n) = d(n) - W^HU(n) \tag{1} e(n)=d(n)−WHU(n)(1)
其中 W = [ W ( 0 ) , ⋯   , W ( M − 1 ) ] T , U ( n ) = [ U ( 0 ) , ⋯   , U ( M − 1 ) ] T W=[W(0),\cdots,W(M-1)]^T,U(n) = [U(0),\cdots,U(M-1)]^T W=[W(0),⋯,W(M−1)]T,U(n)=[U(0),⋯,U(M−1)]T
Cost function为 J ( W ) = E [ ∣ e ( n ) ∣ 2 ] J(W) = E[|e(n)|^2] J(W)=E[∣e(n)∣2]。
我们的目的是:
W o p t = arg min W J ( W ) W_{opt} = \arg \min_W J(W) Wopt=argWminJ(W)
我们着手来解这个最优化问题
(2) J ( W ) = E [ ∣ e ( n ) ∣ 2 ] = E [ e ( n ) e ∗ ( n ) ] = E [ ( d ( n ) − W H U ( n ) ) ( d ∗ ( n ) − U H ( n ) W ) ] = E [ ∣ d ( n ) ∣ 2 − d ( n ) U H ( n ) W − W H U ( n ) d ∗ ( n ) − W H U ( n ) U H ( n ) W ] = σ d 2 − E [ d ( n ) U H ( n ) ] W − W H E [ U ( n ) d ∗ ( n ) ] + W H E [ U H ( n ) U ( n ) ] W = σ d 2 − P H W − W H P + W H R W \begin{aligned} J(W) &= E[|e(n)|^2]\\ &= E[e(n)e^*(n)]\\ &= E[(d(n)- W^HU(n))(d^*(n)-U^H(n)W)]\\ &= E[|d(n)|^2-d(n)U^H(n)W-W^HU(n)d^*(n)-W^HU(n)U^H(n)W]\\ &= \sigma_d^2-E[d(n)U^H(n)]W-W^HE[U(n)d^*(n)]+W^HE[U^H(n)U(n)]W\\ &=\sigma_d^2-P^HW-W^HP+W^HRW \end{aligned} \tag{2} J(W)=E[∣e(n)∣2]=E[e(n)e∗(n)]=E[(d(n)−WHU(n))(d∗(n)−UH(n)W)]=E[∣d(n)∣2−d(n)UH(n)W−WHU(n)d∗(n)−WHU(n)UH(n)W]=