EEE3086F

Signals and Systems II

2012

Andrew Wilkinson
[email protected]
http://www.ee.uct.ac.za
Department of Electrical Engineering
University of Cape Town
A.J.Wilkinson, UCT

Correlation Functions

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2.7 Matched Filter

Contents:
1. Goal of the Matched Filter
2. Derivation of the Matched Filter
3. Examples

Reference: F.G. Stremler, Introduction to Communication Systems,

A.J.Wilkinson, UCT

Correlation Functions

3rd Edition
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Goal of the Matched Filter

A.J.Wilkinson, UCT

Correlation Functions

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Aim and Applications of the Matched Filter

The matched filter is a linear filter that is designed to detect the presence of a waveform
(or pulse) x(t) of known structure buried in additive noise.
i.e. within a signal

v (t )= A x (tt 0 )+n(t)

where A and t0 are unknown constants, and n(t) is noise.

The output of a matched filter will typically exhibit a sharp peak in response to the
presence of the desired waveform (or pulse) at its input. From this peak may be
determined time location t0, and amplitude A of the pulse within the received waveform.
E.g. 1. Radars transmit electromagnetic pulses which reflect off distance objects (or
targets). The echoes are captured by a receiving antenna. The echoes may be very
weak signals buried in additive noise (picked up by the antenna, and also created by the
receiver itself). Matched filters are used to process the received waveform, and hence
optimize the chance of detecting a target.
E.g. 2. In telecommunications systems using pulse code modulation, a bank of N filters
may be constructed, with each filter specifically designed to respond to the presence of a
particular pulse code. Comparison of the responses at the outputs identifies the received
code.
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Model of Transmitted and Received Signal with Additive

Noise
Transmitted pulse x (t)
0
Received signal
v (t )= A x (tt 0 )+n(t)

t0

where t0 is the propagation time delay,

A is an amplitude scaling factor, and
n(t) is additive noise, described by its PSD Sn().
The SNR of the received pulse is defined as the ratio of the the
peak signal power to average noise power, i.e.
2

max {A x (t t 0 ) } A x (0)
peak signal power
SNR=
=
=
2
2
average noise power
n(t)
n(t )
A.J.Wilkinson, UCT

Correlation Functions

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Definition of the Matched Filter

Given an input signal v (t )= A x (t t 0 )+n(t)
where x(t) is a pulse of known structure,
t0 is an unknown delay, and A is an unknown scaling factor.
A matched filter is a linear filter h(t) or H() that is
designed to optimize the peak SNR at its output at some
specified instant relative to t0.
The output is v o (t )=v (t ) h(t )= y (t )+no (t )
The aim is to find h(t) or equivalently H() that maximizes
2
(at some instant tx, usually tx >t0):
y (t x )
peak SNR=
2
n o (t )
A.J.Wilkinson, UCT

Correlation Functions

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Derivation of the Matched Filter

A.J.Wilkinson, UCT

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Correlation Functions

Simplified Signal Model

Let the input be:
Filter output:

Let

plus stationary noise n(t) )

v o (t )=v (t) h(t )= x (t ) h(t )+n(t ) h(t )

y (t )= x (t ) h(t )

(output signal component)

n o (t )=n(t ) h(t )

(output noise component)

Output written as

A.J.Wilkinson, UCT

v (t)= x (t)+n(t ) (where x(t) is a known waveform

v o (t )= y (t )+n o (t )

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Signal Model Illustrated

t

Input
signal

Filter

x (t)

v (t)

Output
v o (t)= y (t )+n o (t )

H()

peak
t

n(t ) noise

Maximize at t = td

td

y (t d ) peak signal power

output SNR=
=
2
n o (t) average noise power

A.J.Wilkinson, UCT

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Correlation Functions

Derivation of the Matched Filter

2

y (t d ) peak signal power at t =t d

output SNR=
=
2
average noise power
n o (t )
+

Output (signal y (t )= x (t ) h(t )= 1 X () H ()e j t d

2
component)

(from inverse FT)

Peak output
signal power

1
y (t d ) = X () H ()e j t d
2
2

+
+
Average noise
2
1
1
2
n
(t
)
=
S
()d
=
S
()

H
()

o
no
n
power
2
2

A.J.Wilkinson, UCT

Correlation Functions

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Optimization Problem
The objective is to find a/the filter H() that optimizes the SNR at
the time instant t = td:
2
1
j t
2
X () H ()e d
y (t d ) 2
=
+
2
1
2
no (t )
S n ()H () d

To do this, we make use of a (provable) mathematical relationship called

the Schwartz (or Cauchy-Schwartz) inequality.

A.J.Wilkinson, UCT

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Correlation Functions

Schwartz Inequality for Integrals

The Schwartz inequality states that for two complex
functions, f(x) and g(x), integrable over [a,b]
b

f ( x) g ( x)dx f ( x) dx
a

g ( x) dx
a

The equality holds (i.e. LHS = RHS) if g ( x)=k f ( x)

where k is a real constant.

If g ( x)k f ( x) then the left side is less than the right side.
Proof? Google it!
A.J.Wilkinson, UCT

Correlation Functions

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To maximize SNR, apply Schwartz Inequality

+

1
j t
2
X () H ()e
d

y (t d ) 2
=
+
2
1
2
no (t)
S n ()H () d

SNR:

[
+

y (t d )
=
2
no (t )

Rewrite expression as:

y (t d )

2
n
(t)
o

X ()
S n ()

1
2

] d

1
2

j t d

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X ()

1
2
d
S n (w)H () d

2
S n ()
+
1
2
S n ()H () d

y (t d )
1

2
2
n0 (t )

g ( x ) S n () H () e

The term on the right

of the numerator
cancels with the
denominator.

and
2

Correlation Functions

S n () H ()e

+
X ()
1
j t 2
d
S n () H ()e d

2
S n ()
+
1
2
S n ()H () d

A.J.Wilkinson, UCT

y (t d )

2
n o (t )

j t d

][

1
2
S n ()H () d

Apply Schwartz Inequality with: f ( x)

Notice that the term
on the right of the
numerator cancels
with the denominator.

X ()
S n ()

X ()

S n ()

Swartz inequality becomes an equality i.e. LHS = RHS if g ( x)=k f ( x)

or in our case, if:

S n () H () e
A.J.Wilkinson, UCT

j t d

X ()
=k
S n ()

Correlation Functions

X () j t
=> H ()=k
e
S n ()

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Matched Filter

X () j t
H ()=k
e
S n ()

The filter that maximizes

the peak SNR at time td is:

k is a real constant, usually positive, and is often set to 1.

For the special case of white noise, S n ()=constant

H ()=k X ()e
Inverse transforming gives:

j t d

h(t )=k x (t +t d )

Apply Fourier: X () x (t)

j t
and Y ()e
y (tt d )
d

A.J.Wilkinson, UCT

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Matched Filter (additive white noise)

x (t)

X ()

2 B

2 B

x (t)
t
j t d

H ()= X () e

h(t )= x (t +t d )
td

Flip h(t), slide, mult. and integrate

Y ()=X () e j t

y (t)=x (t ) h(t )c 2 2B Sa (2 B (t t d ))

A.J.Wilkinson, UCT

td

c 2 rect (/ 4 B)

t
Correlation Functions

2 B

2 B

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X () j t
Interpretation in Frequency Domain: H ()=k S () e
n

In the frequency domain, the matched filter magnitude boosts the

frequency components for which the signal is large compared to
the noise and suppresses those that are weak compared to the
noise i.e.
X ()
H ()
S n ()
The phase of the filter cancels the phase of X(), H () X ()
and hence the inverse Fourier transform integral gives a strong
peak at t = td. In the white noise case H ()= X ()e j t
d

1
1
2 j t
j t
j t
y (t )= X () H ()e d= X () e
e d
2
2
y (t d )=E x (by Parseval)
d

A.J.Wilkinson, UCT

Correlation Functions

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Interpretation in Time Domain

In the time domain, the matched filter for white noise is seen as
the conjugate of a time-reversed (flipped) version of x(t).
It is easiest to consider the case of k=1 and td = 0, which is a

h(t )= x (t )
matched filter with zero-delay.
Performing a graphical convolution, flips h(t), which re-flips

x (t ) such that it will now match (or correlate well) with the
x(t) contained in the received signal v(t) as one slides from left
to right and integrates the product.

v (t) h(t )= x (t ) h(t )+n(t ) h(t )

The width of the peak in the time domain depends on the
bandwidth B of X(). To get y(t), we inverse transform:
2
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X ()Correlation
H ()
X ()

Interpretation in Time Domain:

The width of the peak in the time domain depends on the
bandwidth B of X(), since we are inverse transforming X ()2
If X ()2 has an approximately rectangular bandwidth,
then the output will have a Sa( ) shape.
1
The 3dB width of the lobe will be t
[s].
2B
Bandlimited
input signal x (t )
t
A.J.Wilkinson, UCT

Matched Filter

Output
peak

H()
noise
Correlation Functions

1
2B

td

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Physically Realizable Filters

The impulse response of the matched filter for waveform x(t) with

additive white noise is

h(t )= x (t +t d )

If this filter is to be constructed as a filter operating in real-time,

then the output cannot respond before the input arrives.
Thus for physical realizability, the impulse response h(t) must
begin after t = 0. i.e. h(t) = 0 for t <= 0.
In a real matched filter (built either with passive LRC components or
using A/D, D/A and DSP technology), the MF peaks after the entire
waveform has been fed into the input.
In designing a filter, one can always make it physically realizable by
shifting h(t) to the right (by increasing td). This will simply delay the
output response by the corresponding
amount.
Correlation Functions

A.J.Wilkinson, UCT

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Relationship to Correlation
Feeding a signal v (t) into a matched filter h(t )= x (t+t d )
matched to waveform x (t) (with white noise), is equivalent
to a correlation operation between x(t) and v(t).

Recall correlation for energy signals: R vx ( )= v * (t ) x (t+ )dt

The matched filter output is:

v o (t ) =

v (t ' )h(tt ' )dt ' = v (t ' ) x (t ' +t d t )dt '

t '=

v o (t ) =
A.J.Wilkinson, UCT

u=

v o (t)=v (t) h(t )

put u=t ' +t d t

x (u)v (u+[ tt d ]) du = R xv (t t d )
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Relationship to Correlation cont...

Thus if one correlates x(t) and v(t), and shifts the result to the
right by an amount td, one gets the same output as from the
matched filter operation.
The matched filter output is

v o (t )=v (t) h(t )

v o (t)= R vx (tt d )

Note: if v (t)= x (t) (the case where the input matches

perfectly) then the MF output is v o (t )= R x (t t d )
which is just the autocorrelation function of x(t), shifted by td.
A.J.Wilkinson, UCT

Correlation Functions

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Output SNR
The output SNR of the matched filter is
2

2
+
y (t d )
X ()
1
=
S () d
2
2

n
n0 (t )

For white noise case, S n ()=/2

2

y (t d ) =

2
1
n o (t ) =

j t d

H ()= X ()e

1
j t
2
X () H ()e
d =E x

2
+

(previously derived
general case)

2
H () d=

2 2

2
X () d= E x

2 2
2

2
Ex
Ex
y (t d )

=
=

2
/ 2
E
n0 (t )
2 x

Thus the output SNR is proportional to the energy of the

received signal (and hence the energy of the transmitted
signal).
A.J.Wilkinson, UCT

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Correlation Functions

Example of Matched Filter: detection of a received pulse

Transmitted
pulse.

t T / 2
x (t )= A rect
T

0
A

Matched Filter.

h(t )= x (t )

Delayed, scaled pulse.

Noisy received
waveform.

kA

k x (tt d )

v (t )=k x (t t d )+n(t )

Output of matched filter; h(t ) v (t )

SNR at peak is optimised.

kA2T

td-T td
Note: output peak is proportional to energy in pulse (A2T)
A.J.Wilkinson, UCT

Correlation Functions

td

t
Peak SNR

td+T

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Example of Matched Filter: detection of a received pulse

A

x (t )

Transmitted
pulse.

A
Matched Filter.

h(t )= x (t )

Delayed, scaled pulse.

Noisy received
waveform.

kA

k x (tt d )

v (t )=k x (t t d )+n(t )

Output of matched filter; h(t ) v (t )

SNR at peak is optimised.

A.J.Wilkinson, UCT

t
Peak SNR

k Ex

Note: output peak is proportional to energy in pulse

td

td-T

td+T

td

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Correlation Functions

Applications of Matched Filter

The matched filter is very useful for detecting known waveforms in the
presence of additive noise .
E.g. 1. Radars use correlation receivers to detect weak echoes from distant
targets. A replica of the transmitted pulse is correlated with the received
waveform. The radar resolution (ability to separate close targets) depends
on the bandwidth of the transmitted pulse.
E.g. 2. In telecommunications systems using pulse amplitude modulation, a
matched filter, matched to the shape of the pulse, can be used to estimate
optimally the pulse amplitude, since the height of the peak at the output of
the matched filter is proportional to the amplitude of the received pulse.
Received v (t)
Output of MF
A.J.Wilkinson, UCT

h(t ) v (t )

t
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Drill Problem 2.14 (2012)

Design the impulse response of a physically realizable filter
matched to the waveform below:
2V
1V
t

1s 2s

The input noise is bandlimited white noise with a power

spectral density of S n ()=0.5 rect ( /20 )W/Hz into 1 ohm
Sketch the impulse response h(t) of the matched filter.
Plot the output y(t) of the matched filter (excluding noise).
Calculate the peak signal to noise ratio at the input and at the
output.

A.J.Wilkinson, UCT

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Correlation Functions

Drill Problem 2.15 (2012)

By application of properties of the inverse Fourier transform,
determine the inverse transform of:
X ()e

j t d

in terms of x (t )=F1 { X ()}

Show each step carefully.

A.J.Wilkinson, UCT

Correlation Functions

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EEE3086F
Signals and Systems II

End of handout

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Correlation Functions

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