New Forms of Levinson and Schur Algorithms PETER STROBACH ‘This paper describes the Levinson and Schur solutions to the adaptive filtering and parameter estimation problem of recursive least squares (RLS) ‘processing. Unnormalized and normalized versions of a newly developed Sohur RLS adaptive filer are presented. A systole array of the Schur RLS fadaptive fter t devised and its performance (s illustrated with a typical example, “The classical Levinson and Schur algorithms drop out as special cases of the more general Levinson and Schur RLS adaptive filtering algorithms. In the Jfinal section, we review the recently introduced split Levinson and Schur ‘algorithms which are obtained by a clever exploitation ofthe symmetry tn the ‘Toeplitz structured extended Normal Equations. ‘ANY adaptive signal processing The starting points in this discussion tasksinvolvethesolutionofsys: are the various interesting dualities of tems of linear equations where forward and backward linear predte the system matrix has special prop- on and the interplay between the erties, In the theory of Linear predie. transversal and the ladder (or laitice) tion of stationary random sequences, prediction error fiters. No back: {tis well known that the determina: ground In numerical analysis is as. tion of the optimal predictor coeffi- sumed. The reader only needs some clents involves the solution ofa linear familiarity with matrix partitioning system of equations with a system schemes and with some simple no: matrix having Toeplitz structure. An tions of geometry and algebra of ver ‘order N problem of this type is hence tors in an Euclidean vector space. As Completely determined by only N para basie result, a Levinson RLS algo- rameters, usually called the autocor- rithm and a related Schur RLS algo- felation coefficients. very similar rithm are described. It is particularly Situation arises in the serialized data striking that the Schur RLS algorithm, case of recursive least squares (RLS) has basically the same structure as Adaptive filtering where the system the classical Schur algorithm for stv matrix of the Normal Equations at ing a Toeplitz system. A pipelined time ¢ is just the one step diagonal parallel architecture for implementa downshifted system matrix ofthe pre- tion of the classical Schur algorithm ious time tI) problem augmented has already been designed and built bya vector of N autocorrelation coef (27, 21) and itis only a small step to ficients, These simple considerations the insight that a concurrent imple: already reveal that the Toeplitz case mentation of the Schur RLS algo- Oflinear prediction and the RLS adap- rithm can take advantage of basically tive filtering problem have many the same structures. “Although of properties in common. complexity OWN"), the Schur RLS al I isone of our interests to illuminate gorithm can be terminated in O(N} these relationships between the more time steps when implemented on an general RLS and the Toeplitz case. array of N very simple concurrent pro- ” 1058.588/91/0100 00125100 © 191 omc sansccessors. In this way, the Schur solu: lon to the recursive least-squares adaptive filtering and parameter est ‘mation problem can be ai interesting alternative to some recently devel: oped “fast” O(N} algorithms which frequently suffer from lrregular com putation structures and poor numer fal properties. Moreover, the Schur RLS algorithm can be operated with arbitrary windowing of the data since it is initialized by the second-order Information (autocorrelation coeff clents) rather than from the data se ‘quence itself ‘The classical Levinson-Durbin and Schur algorithms are subsequently obtained by a very straightforward stationarity assumption within. the framework of the more general RLS formulation. This strategy of present {ng the feta at hand leads quite nate rally to the classical constant along. Giagonals (Toeplitz) case of the sys tem matrix of the Normal Equations and greatly simplifies the further con- ceptual work. We finally examine a variety of symmetry properties inher ent (© Toeplitz-siructured Normal Equations. These considerations will Tead us to the insight that the classical Levinson-Durbin and Schur algo: rithms are redundant in complexity. ‘The classical algorithms may’ be re placed by a symmetric ofan antisym metric “split” algorithm only one of hich needs to be processed, thus ob: taining the solution at only half the number of multiplications compared to the elassieal approach, SOME HISTORICAL NOTES In parts of this paper we will discuss algorithms for solving sets of linear equations having Toeplite-structured system matrices, This special struc- lure was one of the first tobe assumed in statistical signal processing. Early notions of signal vectors, correlation, ‘and Toeplitz systems trace back tothe work of George Udny Yule [59] of 1907 and Albert Einstein [16]. Many of hese early ideas formed a basis for Norman Levinson’s work who formu lated the Wiener filtering problem in diserete time. In 1947, Levinson showed that in the case of discrete time aignals, he Wiener Hopf integral equation [55] takes on a matrix form that is identical to what Is known as the Toeplitz-structured Normal Equa: sau tions (sometimes referred to as the Yule-Walker equations). At the same ‘ume, Levinson obtained also an eff lent algorithm for solving the Toe. plitz-siructured Normal Equations of fan order N problem with an amount of only N* + O(N) arithmetic operations due to a clever exploitation of the re fundaney inherent ina Toeplitz sys tem (31), Levinson’s algorithm was exten: sively discussed in the Iterature and several other names have been asso- lated with it, particularly Szego [18, 51, 82] and Durbin (1960) who rein lroduced the Levinson algorithm for the linear prediction ease where the ‘Toeplitz matrix is symmetric and the rightchand:side vector of the Toeplitz system is the crosscorrelation veclor between the observed data and pre vious observations of the data (15) Other related work was presented by ‘Trench [53} and Whittle [56] who con: sidered the analysis of multiple sta: tionary time series and showed that there is a close relationship between the Levinson recursion and that for Szegh's orthogonal polynomials (52) Undoubtedly. the greatest attention was devoted to Durbin's variant of Levinson's algorithm which is hence forth called the Levinson-Durbin al ferithm. The Levinson Durbin algo- rithm continued to be used in the ‘Hung of near time series models for economic processes and in geophyst- ‘al (seismic) signal processing prob: lems where large offline computing resources were early feasible. In the late 1960s the algorithm was reds: covered by the speech processing community (Atal, Schroeder, takura, Saito, and others (8. 4. 20, 42. 36)} ‘who achieved a breakthrough in the processing of speech signals by appli cation of the adaptive linear predic ton model [84 35. 45} Probably because ofits effectiveness fn offline processing, the Levinson- Durbin algorithm was continued to be considered as being the most appro palate and effective method for solv Ing the Yule-Walker equations. More recently, the interplay that is emerg- Ing between signal processing algo: rithms and the push to VLSI imple- Imentations (1, 11, 24, 25, 26, 28) lea to the realization that. in spite of pos sibly apparent similarities, alternative algorithmaieal formulations of the ‘same problem can possess radically semandifferent properties when, say. a parallel implementa: tuon Is sought. More specifically, under the viewpoint ‘of current technologies (VLSI and perhaps also optical wave technologies) the implementation ofthe already ‘widely accepted Levinson Durbin algorithm turned out to be severely hampered by the necessity of comput Inga number of N inner produets of vectors of increas {ng dimension up to dimension N [27]. Quite naturally the question arises with VLSI technology of how much the Levinson-Durbin algorithm can be speeded up by using parallel computation—say with NV processors ‘working together. The hope is that fa processor takes ‘one unit of time for each elementary computation, we ‘suppose to terminate the algorithm in O1N) time steps by employing N processors, compared to O(N?) time ‘steps with a single processor. However its not hard to See that a parallel implementation of the Levinson- Durbin algorithm with W processors will require at least O{N logs N) time steps due to the cumbersome {nner product ealeulations. The N processors can carry ‘out the N multiplications ofthe required inner product, {na single time step, but the remaining additions re quired to accumulate the sample products will take at Teast lof N additional time steps. This seemed disappointing but there was hope. We will see that one ean introduce a set of intermediate quantities interpretable asa generalized covariance of data and residual vectors, which serves as a replace: ment of the explicit inner product computation in the Levinson-Durbin algorithm, ‘These inner-product re ‘ursions can be viewed as repeated nonorthogonal ro tations (also called ladder rotations) applied to two-di- ‘mensional vectors. This type of computation has the potential of leading to much more convenient VLSI Implementation structures eapable of terminating the algorithm in the desired OWN) time steps when N par allel processors are employed, Ironically, though, this type of algorithm can find ts roots back to a now classical algorithm invented by the German mathematician J Schur, who presented the base recursions as early as in 1917 as a test to see IF fa power series was analytical and bounded inside the tunit eile [43], Schur's algorithm was apparently re- discovered by several authors in the context of ef cient Toeplitz system solvers, among them Dewilde et. al [14 The matrix formulation used in the algorithm, ‘bears a strong similarity to an earller work by Bareiss {| and later, in a different fashion, to a work by Ris sanen [40] and Mort [39]. and Robinson [41], Also in a widely known publication in this area LeRoux and Gueguen describe a slightly diferent approach (30). In fact a parallel and pipelined VLSI Toeplitz system sot ver has already been designed and built by Kung and coworkers (27]. See also the description of a more re: ‘cent implementation by Jou, Hu, and Feng (21. 50) ‘who employed a diferent formulation of the algorithm also described by Kallath (28). As we see later on, the foal inthis approach is the implementation ofthe lad- Ser rotor by what is called a J-orthogonal transforma: tion which can be carried out conveniently by COor- ‘dinate ROtation Digital Computer (CORDIC) arithmetic [54], CORDIC realizations in the area of recursive least ‘squares estimation algorithms were originally. pro- “ soca posed by Lee (29) Teseems that there are two current directions in the research of Levinson and Schur algorithms which de- serve special attention, This is first the recently intro: ‘duced class of split Levinson and split Schur algo- rithms pioneered by Delsarte, Genin, and Krishna (12. 18, 22, 23}. These algorithms attempt to further re duce the number of multiplications in the Levinson ‘and in the Schur algorithm by exploitation of the ad ditional redundancy resulting from identical forward ‘and backward residval energies when the observed process is stationary. A second interesting research a rection is the application of Schur-like algorithms in the serialized data ease of RLS adaptive tering [10. 44, 45, 46, 47, 48, 49) Such algorithms are extremely well suited to a parallel implementation in VLSI. From the viewpoint of current developments tn VLSI tech- nology and parallel processing, the ON’) complexity of the recently Introduced Schur RLS algorithm [45, 49] seems more than compensated by the simple structure of the elementary cells involved in the ap- proach, at least when limited order problems—say NV Teas than 50-—are an issue. NOTATION ‘Throughout this paper we prefer a matrixivector no tation, Boldface lowercase letters are used to denote column vectors. The superscript ()? denotes trans: pose. Boldface capital letters denote matrices, Special ‘matrices: Is the identity matrix. J is the exchange matrix with ones along the opposite diagonal and zer foes elsewhere. The leter “t” isthe discrete time, "m’ {s the running order index, “N" denotes any desired ‘maximum ofder and "L” denotes a window or data re cord length where we always assume L > N. The sym- bbol 2"! denotes the unit delay (register. In the block. diagrams, the symbols "+". "*". and "=" denote ad: ‘ition, multiplication, and division, respectively. Basic Relationships of Forward/ Backward Linear Prediction Im this chapter, we discuss the basic concept of pre diction error flitering. and the associated Normal Equations, Two classical filter structures will be con- sidered, The transversal structure, which seems more {ssociated with an algebrate solution of the Normal Equations, The "geometrical" solution of the Normal Equations. in tur, wil lead us tothe ladder (or lattice) structure as an alternative prediction error iter. The “interplay” between ladder and transversal structure namely, the conversion of coefficients from one struc- ture into the other is constituted by recursions of the Levinson type. These recursions play a central role for the existence of efficient linear prediction algorithms. ‘TRANSVERSAL FORWARD/BACKWARD PREDICTION ERROR FILTER ‘Suppose for the moment that we continuously mea- sure the incoming samples ofa real scalar time series anuagr{x}. All samples from a past time step ¢ = L + 1 m ‘up to the current time step t may be stored in a mem- ory. These measurements {xt}. x¢— I). ~~ vxft = L +1 ~ m)} can be combined to measurement vectors xtth xl. +, xf¢~m) of dimension Leas sketched in Fig. ah = = a= =D, ATRL OI Ozkem ‘As shown In Fig. 1 the vectors may further be com: bined in such a way that sets of measurement veetors form the columns of the measurement matrices Xy(t = Nand X(t} as follows: xe) X40 © BO) He I Ix — Dac x= ml, a) sae m+ Dh by ‘These measurement matrices contain the “history” of the observed process. and hence we may be able t0 predict from them the future development of the pro- ‘cess. For example, the “actual” meastsrement vector Fig. 1. Successive samples of a reat scalar process {af and the definition ey successively delayed meet Surement vectors xis at att) of mension >it) can be predicted by a weighted linear combination of the "previous" measurements stored in Xp(€ — 1) (On the other hand. a counterpart problem és present In predicting xit ~ m) from a weighted set of “future ‘measurements available in X,(0, where a’™() and 1bIM{0) are the respective weigh! vectors and (0) and -X}\t) are the predicted process vectors: Yo = Xe Da, 6a) By = XU BG, 2) 20) = Lai. a0. aia, a) Bm = who. MO, «= NN. saw ‘The linear nature of the operations (3a, bl justifies the lerminology “linear prediction”. The “‘loseness" of -/y( to x{0) and x(0) to xt — m) can be evaluated by Introduction of forwardfackwatd prediction error vectors €n((} and fpf} defined as ex = = he = a1) — KU Da. Sa) (0) = ate = m) ~ 84 = 2G m ~ XAOBD. (50) ETS aaeceeH eee seeee Cl oeecranaeD caeseERTET Fig. 2. Time-varying transversal forward/backward prediction error iter It is now easy 0 see that expressions (Sa, b) can be Interpreted as two transversal filters with coefficient sels a!"(t] and B49) operating on the measured data, ‘These filters are shown in Fig. 2. Of course, the (wo Alters can be drawn with a common tapped-delay line IT desired, This already indleates that the two coef cient sets a!) and be] must be closely related. in: deed, as we see later on, the exploitation of the rela tionships between these 1wo coelficient sets is one of the most important topics in linear predietion theory. NORMAL EQUATIONS ‘The next question is that of how the parameter sets (0) and B™(0) can be determined. The goal is 0 minimize the error vectors en(t) and Tpit) In some sense. In particular. one finds that it Is very conve: rilent to determine the parameter sets such that the ‘sum of the squares of the components ofthe error vee {orsis minimized. This least squares error criterion (or Euclidean norm) is expressed as follows: 20) en) & min + ai340, (6a) Bau 400 = rly no) ain = HSK, (60) ee scone 6where af2( and Dit) are the optimal parameter vee: tors of the forward/backward prediction error filter in the least-squares sense, Next note from 6a, b) that the sum of squares ofthe components ofa vector is equiv flently expressed by the self inner product ofthis vec: for. Thus the transversal prediction error filter equa- tions (5a, b) ean be substituted into (6a, b) to obtaln: aie eg) = £2@ x0 = 27 Kyle ~ HAM + amg XM WAGE Dao = Be), a) Fe = mx ~~ 237 = m XO HMO) Ro, B™). 7) Fe rad + Bm XL x0 BM) Obviously, the self inner products €%(0) €n(t) and rh(0) rit) may be Interpreted as “energies” BU) and RO of the respective residual processes. These energies are ‘quadratte functionals ofthe corresponding parameter sets. Fig. 3 reveals that these quadratic functionals, form (rt + Li-dimensional convex parabolas in the pa: ameter space. ‘These parabolas are sometimes re- ferred io as “error surfaces” or “performance sur: faces", They are characterized by one distinct ‘minimum which cotneides with the least squares op- timal solution. Fig, 3 shows the error surface associ fated with forward linear prediction. An analogous er: Tor surface exists for the case of backward near prediction. PERFORMANCE: SURFACE ae Fig, 3, Performance surface of forward linear predic. tion. Example shown for the order m = 2 problem. “The simple convex shape ofthe error surfaces of for- ‘ward/backward linear prediction allows a convenient Getermination ofthe location of thetr minima, Le. the Teast squares optimal parameter sets. just by setting ‘the gradients of the energy fanctionals (Za, b) with re spect to the parameter sels to zero yielding 10+ OF XKe- D Aye Dag = Xu = Da, a) sre aR. 8) (0+ oF: amy oF xo 0) BBO = XE x =m, Expressions (Ba, b) are known as the Normal Equa: tions of forward and backward linear prediction, re: spectively. Each set of Normal Equations determines 8 east squares optimal parameter set in terms of the Solution ofa system of linear equations. This relatively Simple structure of the problem 1s in fact one of the major advantages of the least squares method. More- fver. the shifted nature of the column vectors of the ‘measurement matrices X(t ~ 1) and Xf fatitates, the derivation of ellctent algorithms for solving the "Normal Equations, "To further explore the later statement, we note that the linear systems (Ba, b) are constructed solely from. fll possible inner products of the successively shifted measurement vectors xiQ) a(t — U, -> +. xit =m) ‘These inner products form the covariance matrix of shifted meastirement vectors: om FAO] where BH = Te — Dae = I osijem » ‘with the symmetry property (10a) and the shift-invari- lance property (10b) ae = a0, 50 = 9% 00D. (008) 108) ‘We notice that covariance matrices of subsequent time steps are just shifted versions of each other except for the first column or row of the matrix which requires, lupdating, Fig. 4 ilustrates this interesting property of the covariance matrix in the “serialized data” case. "The necessary update of the first row ofthe covariance matrix is hence completely specified only by the sec~ fond order information (autocorrelation coefficients): fo) = x0 0-0); osiem ay | | i ! u Fig. 4. Shift invariance property of the covariance matrix in the seralized data case. Only the m + 1 Components of the first row of the mairix must be Computed completely anew each time step. savasExploiting this definition of the second-order infor: ‘mation, we may partition the covariance matrix such that ow [22 eho | eho OH — 0) . ea exo | eo edt ~ my «a where KO) = fold, of. = eN 30) CO = Leal Ge ME Dae seem + DI (30) are the forward and backward autocorrelation vectors, Fespectively. The autocorrelation coefficient (or “ac: tual process energy”) clt) together with e’{0) deter ‘mines the information that enters the covariance ma: luc whereas the delayed autocorrelation coefficient elt = m) together with ¢} (0) determines the information ‘that leaves the covariance matrix, Employing this Useful notation, the Normal Equa: tons of forward and backward linear prediction (8a, b) are expressed as Om = 1) aS = eben = ai, OE BIO = eho + BIO, a) a) ‘Substituting the least squares optimal solutions a/3'0) and bi into the energy functionals (7a, b). and tak: {ng advantage ofthe previously defined abbreviations, one finds that the minimal energies En) and R(t) a the botiom of the error surfaces satisly remarkably simple celationships: Ett) = Bit, ain) = es = ala eben, Ratt = Re, BS) (se) alt =m ~ HO eben. S6) LADDER FORM PREDICTION ERROR FILTER So far, our interest was the determination ofthe least squares optimal parameter sets a(t) and D0, and associated with them the least squares optimal "resid tual” energies EQ) and Ry). Additional insight can be gained by consideration of the geometrical nature of this problem. First realize that the column vectors Of Xp(t 1) span a subspace of past observations” of the process {x). Then the forward predicted process ‘hl isan element ofthis subspace since it arises from fa Weighted linear combination of the nonorthogonal basis Xp(t~ 1) according to (2a) The vector x(9) which {sto be approximated by this linear combination gen ‘rally lies outside the subspace. An analogous situa tion is present in the construction of the backward pre diction error vector Fm), Tis clear thatthe Euelidean norms of the error vectors attain a minimum only ‘when they are adjusted orthogoratly with respect 0 Fig. §. Construction of the orthogonal residual vec: {oF ent) by weighted linear combination of nonorth- agonal basis weetors X,(t ~ 1). Order m = 2example. the corresponding basts. In the case of forward linear prediction this means that em] has to be constructed Such that it becomes orthogonal with respect to the basis Xp(C— 1). Fig. 8 illustrates this geometrical Interpretation of forward prediction error filtering. Analogous considerations can be made in the case of backward linear prediction where the error vector Fn), is constructed such that i becomes orthogonal with respect tothe "subspace of future observations” Xj ‘The alternative geometrical interpretation of the in- ear least-squares prediction error filtering problem leads ultimately to an alternative (geometrical) proce- dure for the construction of the prediction error vec: tors en) and r(f. Rather than solving the Normal ‘Equations (8a, b) for a fixed order m by any algebraic linear system solver, one can think of first construct: Ing an orthogonal basis {rlt, Filth» °F) of the subspace of past observations. followed by a proce: dure which successively projects the actual observa tion x(t) orthogonally onto these basis veotors until oF- thogonality with respect to the entire subspace Is reached. Denote e = x(y) the component of a vector x which 's orthogonal with respect to the vector y and theretore le = 0, Then an orthogonal basis of the subspace of past observations is constituted by na = 210. (06a) ni) = a 1a), 6) 14) = He — HexD, = I), (a6) a eee ss rot) = 8 = mY AU MEHL, Xp =D 68) ‘A successive projection of xi) onto the one time step olayed versions of these basis vectors generates ase: quence of error vectors {e,(0. ~~~. en{t)} which are orthogonal with respect to the growing order sub spaces X(t — 1), Xale~ W.+ +" Xylt ~ I: rasp 0”at = a0, a) 2) = HO = D>. 7 a) = xO = 1.x 2), weal Fig.) (TE, Fai = Xe it = DD are, ent) = OLE 9 Halt = Det =m a7, Next note that an elementary orthogonalization step enotec by € = xy) is easily accomplished just by adding a weighted portion of the veetor y to x until the orthogonality relation ye = 0 is fulfilled, See Fig. 6 Thus the elementary operation of orthogonalizing x with respect to y is constituted by + Ky, a) where K isa sealar parameter. A simple subsitution of (18a) into the orthogonality relation ye = O gives the desired condition on the parameter K: ve Ye=ylu + Ky =0-K= — y as) Fig. 6. Orthogonaltzation of a vector x with respect toa second vector y which gives e = xy) ‘These relationships (18, b) can be applied to develop. formula for computing all the error veetors én(0) and Flt) order recursively as follows: ‘Suppose we have already computed the error vector en -al), [ess next desired to compute en (@) by a further ‘orthogonalization of ey\(0) with respect to the past observation x{¢ ~ m) which enters the basis according, to (171). In order to preserve orthogonality with re: spect to the lower order subspace Xm.(f ~ 1). We fur- ther orthogonalize ey,.(t) along the orthogonal com: ponent of x{¢~m) with respect to Xn,y(¢~ 1) denoted by x0 — m)CX,_(€ ~ 1p. Surprisingly. this expres- sion Is easily identified as the one time step delayed ‘orthogonal basis vector Fn_(¢ ~ 1) according to (16d) Fig, 7a llustrates the described recusion step. Accord ing to Fig. Ta, the order recursive update of the for- ‘ward prediction error vectors takes on the form et Ee RLD raf D190) LW raat =D RAO = = Dre oes 090) Reni where K/,(0 isa scalar parameter adjusted according {0 19b}. We may check that the more specialized fo: ‘mulas (19a, b) are nothing else but an application of the general considerations which lead us to the rel ‘Won (18a, b) ES (a) ES Xa (b) ig, 7. (a) Order recursive construction of forward prediction error vectors. (o) Order recursive construc: lon of backuvard prediction error vectors. “The order recursion of forward prediction error vee: tors (19a) requires knowledge about the orthogonal ba: sis Vector fn \(€ ~ 1] and thus necessitates an order eeursion of backward prediction error vectors. For this purpose. consider orthogonalization step (16e). We are Interested in a further orthogonalization of nt ~ 1) with respect to the “future” observation x(t} which en- ters the basis according to (16) In order to preserve ‘orthogonality with respect to the lower order subspace Xonilt- Il, wefurther orthogonalize ry._(t~ l)along ‘the orthogonal component of x{@) with respect (0 sana 3Cust + oF so, en emit) ig. 8. Time-varying feed.forward ladder form prediction error filter. Xyai(t ~ 1) denoted by x(0(Xpast ~ 1). Again, we ‘obiain a closed recursion "because expression X{0(% alt ~ 1) Is just the forward prediction error vector €n-(0) according (0(17e). Fig. 7p sketches this order recursive construction of backward prediction rd = Fal KYO ei, a) sig = fal Dtonit =D kip = —HjOte a Cr) - (2 ‘The relationships (19a) and (20a) constitute an alter- native structure of the prediction error fiter referred to as the ladder (or lattice) structure. This iter struc: ture is displayed in Fig. 8. Interestingly, the appl cation of the ladder approach leads to a different parametrization of the observed process in terms of ‘reflection coefficients" K/(0) and K’y() in contrast to transversal predicior parameter sets. The terminology “reflection coefficients" stems from the physical inter: pretation of the ladder structure as the digital signal processing equivalent of the acoustic tube model in Speech processing [36], Besides the application in speech processing and coding. a parametrization of an observed process in terms of ladder reflection coe: clents can be of interest in many other problems, such as Inverse seattering [6 ‘A quick inspection of (19b) and (20b) reveals that the determination of the reflection coefficients involves a ‘mixed” inner product €7,_;(t) rp-;(t ~ 1) between forward and backward residual vectors, This quantity ‘was termed the "eovariance’ Cys = EO Fall = D. en In order to find alternative expressions for the covart: ance, note that Py) = Xn(CLX(0 Xy(Ol"? XO) 1 a projection operator that projects vectors orthogonally Onto the subspace X(t) and Pa(t) =I Pri) is the orthogonal complement [45], These projection opera. tors are symmetric. Additional exploitation of the fact, that P4(0 PAC) = Palo) idempotence property of or ‘thogonal projection operators) gives: saws Ca = x0 Pha Nxt my = #0 n=, oa} Cat) = x1 m= PRU Dato = xU met. acne ak wma — »] Cal = ~e 0) a3 ao ‘A last important relationship associated with the lad: der structure isa set of update recursions for the for: ‘ward and backward residual energies. Such relation: ‘ships have already been developed for the transversal prediction error filters (18a, b).Th the case of the ladder structure, these recursions are simply obtained by tak: ‘ng the seif inner products ofthe ladder equations (18a) ‘and (20a); El) = Ea sl) + RL Curl. Rll) = Rei = 1) + RYO Ca foray 2) RELATIONSHIPS BETWEEN TRANSVERSAL AND LADDER FORM PREDICTION ERROR FILTERS An investigation of the relationships between trans: versal and ladder structure can be instructive. We have esr mane ”already seen that both structures are equivalent rep- Tesenta:ions ofthe same forward/backward prediction terror filtering problem. Hence, the Impulse responses of the two filler structures must be completely ident cal ‘Consider again the transversal forward/backward prediction error filter shown in Fig. 2. ICs easlly seen tat the last sample of the impulse response ofthe for ‘ward prediction error filter is simply the negative bot- tom corfficient ~aifQ). Likewise. the first sample of the impulse response of the backward prediction error filter is the negative top component ~Bf™0. ‘Keeping these facts in mind, we shall explore the im- pulse response of the ladder structure shown in Fg. 8 ‘There, we quickly find that the last sample of the im- pulse response ofthe forward path of the ladder form. isthe last reflection coefficient Kn) and the first sam- ple of the impulse response of the backward path Is KB(Q). These considerations give rise to the following. ey relationships between the coefficient sets of the ‘wo filer structures: Kun = 0b", Ke = -1%, 50) 25) ‘These relationships, fn conjunction with the partition schemes (12) of the covariance matrix, suggest that we partition the Normal Equations (14a, b) such that the Bottom component of the transversal forward predic: tion filter parameter set and the top component of the transversal backward prediction filter parameter set fare separated from the remaining coefficients: so Bo Be oKflo -Kfe = KSe ae So ayer ga omea Teo - KO = ~ Ro Wo Po Po we ‘ we Ye Fig. 9. Order recurswvely constructed ‘solution pyr. finid" of transversal predictor parameter-sets by ‘means ofthe Levinson iype recursions (29a. b). 0 espn ai 2 DFehate= re) SW Tele | La cao | a eb oro on2¢ 1) (eho) = above Dh ath 2%) fd Leh ro eft) @7— 1) “] wo we) am te ore 0} Ae ~ 1) = HOE}. 1% er) ‘Equations (266) and (27) are just rearranged versions of the frst m ~ 1) and the last im — 1) equations in the aystems (26a) and (27a), respectively. A premult- plication of (266) and (27b) by the inverse system ma {rix [O"-24e ~ 1)|" ip consideration ofthe solutions fof the order m ~ 1 problem ae =O ME DY eh alo, yer = 1) = [OME DPM =D. aves: seo of] cg i ta i wore}, tial . eee Oca apnoea i where the bottom and top components ait) and DBI") of the transversal prediction error filter param: cter sets were already expressed by reflection coef: lente according to (25a, b) The recursions (28a, b)are commonly referred to as "Levinson type” recursions ‘because of their analogy to Levinson’s classical recur so 91TABLE 1 LEVINSON RLS ALGORITHM FOR TIME RECURSIVE COMPUTATION OF TRANSVERSAL AND LADDER PREDICTION ERROR FILTER PARAMETER SETS, At each time step. the algorithm constructs the solution pyramid shown in Fig. 9 upon the second- ‘order Information (autocorrelation coefficients) provided at the Input. Equations numbered as they appear in the text. This algorithm favolves division. Whenever the divisor Is small or negative, set i= 0. Jor each time step compute: ren | | | Eel) = Baul) + KAO Cyl) | em] yf wee] faa + Kt | ". em att ill seal gil Larne] EL atria | Kha = ~ COIR = 1) sion [31]. Obviously, these recursions can be used 10 construct all remaining components ofthe transversal predictor parameter sets of order m when only the re: fection coefficients of order m and the “previous” (or der m — 1) transversal predictor parameter sets are known. In this way, one can use these recursions to Construct a pyramid of transversal predictor parame: ter sets order recursively up to any desired order m. ‘This solution pyramid is shown in Fig. 9. In the next section of this paper, we will show that we can deduce the classical solution (Toeplitz case) very easily from the more general considerations provided in this sec: tion, Finally, itis important to note that the computation of the order m forward predictor parameters via (298) requires lmowiledge not only about the solution of the order m ~ 1 forward predictor, but also requires knowledge about the solution of the order m ~ 1 back: ward predictor. An analogous statement is true for the Ccompttation of the transversal backward predictor coefficients via (29b). This is the deeper reason for the ‘unpleasant fact that inthe general nonstationary case. the forward and backward prediction error filtering problems are always "coupled" and cannot be solved Independently by an algorithm of the Levinson or Schur type, saat ees eH a) | | 23) 29) 290) 090) (200) Recursive Least Squares Using Levinson and Schur Recursions ‘THE LEVINSON RLS ALGORITHM ‘So far, we have already developed all necessary re- ccursions for the Levinson RLS algorithm. A complete sting ofthis algorithm Is provided in Table |. The Lev- tnson RLS algorithm has a complexity of LSN* + O1N) reeursions, Its parallel implementation is complicated by the inner product appearing in the computation of the covariance (23h) ‘THE SCHUR RLS ALGORITHM tn some cases, knowledge about the transversal pre- dletor parameter sets ent required and its sufficlent to compute only the ladder relection coefficents. In this case, a more “direct” algorithm may be derived {n that one frat defines a generalized forward covare ance Cf {0 and an associated generalized backward covariance C¥, 40 as follows: Ch = 4» 820)wm CL = “18H. 0 » 0m) {A quick inspection of (30a) reveals that the relation ship becween the conventional covariance (23a) and the generalized forward covariance C’, (0) is given by Charest) = Cal ep where we have also used the shift-invarlance property ‘of the covariance matrix (10). Ina next step, we may substitute the Levinson type recursion (28a, b) into the expressions of the gener: alized forward/backward covariance (30a, b). Exploit ing again the shift-in-variance property of the covari- ance matrix (10b), we may express the right sides of the resulting expressions (see [45] for details) n terms of the generalized forward/backward covariance of or- Ger (mn — 1) as follows: cho] ft KOT Chas oy eno] Lee 1 Wee ‘and hence, one of the three 0.5N? loops in the Levin. ‘son RLS algorithm has been annihilated; the price paid fs Dhat the transversal predictor parameters are no Tonger computed. The Levinson type recursions have been replaced by a generalized covariance recursion (92). The resulting algorithm can be named the Schur RIS algorithm since its the consequential extension ‘of Schut's classical algorithm to the nonstationary case fof RLS parameter estimation and adaptive Mltering. ‘The Schur RLS algorithm was originally proposed in [45] under the name ARRAYLAD 2. A complete listing ofthe algorithm is provided in Tabie I Several different algorithms of this type where Lev- inson recursions were replaced by generalized covar' lance or generalized residual energy intermediate vari- ables appeared inthe iterature 10, 30.44, 46,49). All these approaches avoid the inner product inherent ‘with Levinson type algorithms. See also the more de- {alled discussion about generalized residual energy based RUS algorithms (sometimes called “pure order recursive ladder algorithms” or PORLAs] provided in the author's book (43). SYSTOLIC ARRAY IMPLEMENTATION OF THE SCHUR RLS ALGORITHM [Among these various approaches, the recently intro duced Schur RLS algorithm appears to be the most ‘well suited algorithm for a highly concurrent imple- ‘mentation. An inspection ofthe quasi code in Table I Already shows that this algorithm is mainly based on fa recurrent application of the “ladder rotor”. a2 x 2 ‘matrix with ones on the main diagonal and the refles- TABLE IL SCHUR RLS ALGORITHM FOR TIME RECURSIVE COMPUTATION OF LADDER REFLECTION ‘COEFFICIENTS, [At each time step, the algorithm is initialized from the second-order (autocorrelation) information. Ba jons numbered as they appear in text, This algorithm involves division. Whenever the divisor is ‘small or negative, set lix = 0. FOR ¢ = 0,1. 2 ‘for each time step compute: Input: autocorrelation sequence ext), ei) elt) | Iris Fa) = Bd) = 0 Kio = =ciedt ~ KH ~ ~ofoto09 FOR) = 1.2.3.0 [cChO=40; CyO= 640 FORM = 1,250 8 Vcomp | Ext) = Eai(d) + KG Ch-1nll) any Rat) = Ryall = 1) + Kal) Cha.alld (ab) FOR/= m4 time 2. °° Neompat hth hin |[ Ch, (ese [ie so eene | . col bee 1 heen, Khoi = ~ Chins (DIRa(t = 1) 196), | | Rhei = Cha OER (20b) a ‘emo arz b= (a) ch, [* Cour Ca] [civ z----_- (b) Fig. 10. Rotational cell. (a) internal structure. (b) Block symbol. Dotted line means through connection, ton coefficients on the opposite diagonal (92). No dis: lurbing inner product computations are necessary. ‘The ladder rotor can be implemented with an elemen: tary cel consisting of two multipliers, two adders, and unit delay register. This “rotational” cells shown in Fig. 10. Interestingly, the structure of this rotational cell is exactly that of a ladder section, Le., it can be used alternatively for implementation of a section of the ladder form prediction error filter. This #8 one of the reasons for the unexpected effectiveness of the ‘Schur RLS algorithm. Besides the rotational cell, one requires only a second elementary cell which provides the forward/backward residual energy update (24a, b) and the computation of the reflection coefficients (198) and (200), The structure of this “boundary” cells dis: played in Fig. 11. Fig. 12 finally shows a triangular array for implementation of an order N = 4 Schur RLS, algorithm. The array requires N boundary cells and MIN ~ 1)/2 rotational eells to complete one time recvr sion of the Schur RLS algorithm in O(1) steps. 42. 8 ‘number of clock eycles which Is independent of the ir (a) Boundary cell Fig. 11 order of the algorithm. OF course, the algorithm could also be implemented on a linear array of processors in ‘order to complete one time recursion in O1N) clock cycles. ‘The clear feed-forward structure of the array shown ‘m Fig. 12 ultimately indicates that this array ts uncon: dlitlonally stable independent of the coefficients and arithmetic being involved, ‘THE SQUARE-ROOT SCHUR RLS ADAPTIVE FILTER In realtime applications involving fixed-point pro: ceessors. one is sometimes interested in a limitation of the dynamic range of internal algorithm variables, For this reason one often employs square-root (power! nor. ‘alization. There existsa particularly nice square-root formulation of the Schur RLS algorithm, In the follow Ing. we shall examine this exciting new idea, 7 xa FP Bou, J— Rout —> xr Sout KF KB (b) {a} Internal structure. (b) Block symbol ence 2sfeat Fig. 12. Triangular systolic array implementation of the unnormalized Schur RLS algorum. Order N= 4 example. First define the square-root normalized residual vec: tors Yn (0) and w(t eat = ese e401"? ea = rar ef"? ES, rl) RIO, 30) 63) Clearly. this definition ensures that v),(0) and walt) hhave unit “energy”. Le. Ball) Unf) = 1 and wit) Wait) = 1. A normalized reflection coefficient sl) = — 8510 malt — 1) nd EMH RU -—1)OH) ‘with the properties K/a(0) (0) = pi (0 and lanl 3 2 tan be used to establish the following order recursions of residual energies. EO» Eqs 01 ~ PRO (59) Raft) = Rest DIL = PMOL. 63) and an order recursion of normalized residual vectors, Fig. 13. Section m of a power normalized ladder orm. « vec 20) (36a) veil i antt ~ D. 1 oo | (366) eld A vl. 40 = (1 = 8X00) where Op(t Is the square-root ladder rotor. a counter: part to the unnormalized ladder rotor (32). Expres: Sions (96a, b), may be visualized as a section of the so falled power normalized ladder form (45). See Fig. 13. ‘The next question is how we can find a Schur-type algorithm for updating the normalized reflection coef ficients. The key trick in the derivation of this algo- rithm Is the substitution of the following square-root hnormalized generalized covariance Dh = Chl E50, C00 Re ow Do on) into the recursions of the unnormalized generalized covariance (32). This step ultimately yields an order fFecursion of the square-oot normalized generalized Covariance a flows [pee | Pe | peo)” Lae» Finally, one can show that 68) belt) = Dir nlf) Rat ~ Ws ey real ec a aah ‘] “ ei dee o -1 eee = ESTIMATION OF SECOND-ORDER INFORMATION “The deseribed RLS algorithms require at thetr inputs the second-order information {autocorrelation coef: ‘lents) of the observed process for initialization at each time step. Second-order information is often the only available information about a random process It plays unasTABLE ML SQUARE-ROOT SCHUR RLS ADAPTIVE FILTER, At each time step. the algorithm is initialized from the second-order (autocorrelation) information [Bquations numbered as they appear in text. This algorithm involves division. Whenever the divisor Is ‘mall oF negative, set Le = 0. FOR t = 0, 1. 2, +++ for each time step compute: Input: autocoreation sequence 6,6, «edd dau sample 0) Coponl’ adaptive ptering) Nommatiaion — 50) = G5", 1s) = Inidaice: ES = RW) = 0 £40) = wl) = x) 65370) Coptional) FOR) = 1.2.3.0 78 DLO = GO O= 50 FOR m= 1,2, °° Nconpute: all) = ~Dh- af RE =D) © BY = Ecol ~ p20"? opiony 5) RY = RYE ~ DML = 9X0"? os) FOR) =m + 1m +2,-- = Neompute | Pio ray anf 1 ea == ton" (36), 08) Dbto eat) 1 MLony-ue= 0. Normalised Filter Section (options) eo soy anl 1 eal Pte kor Gs, vat. pnt) 1 JLwett 0 Reconstruction of Unnormaliced Residuals (optional ex = 90 EVO) Pd = ws RPO 4 prominent role in many system identification and ‘approximation problems since t uniquely determines the leest squares estimate ofa zero mean random pro ‘When the second-order information is not available, then must be estimated from successive samples of f continuously observed process. A finite or infinite ‘number of past samples of the observed process may ‘contribute {0 the estimate of the second-order infor- ‘mation. This involves quite naturally the question of ‘windowing of past data. Conventional RLS algorithms fare faisly restricted in the varlety of applicable win- dows. Fast O(N) RLS algorithms have been derived oly for the ease of simple exponential and rectangu lar windows, or simple modifications thereof. From classical system theory, we know that these windows Ihave poor spectral properties. This fact cannot be 1g- nored in recursive least squares processing. ts par ticularly striking that the performance of an adaptive ‘ter is largely dependent on the quality ofthe second. sav order information (or the type of windowing) which is Involved in the eoemicient update. For this purpose, recursive algorithms for estimation, ofthe second-order information based on higher-order ‘windows have been developed (2, 6. 47]. These recur. sive windowing algorithms for accurate estimation of the second-order information from a given random process operate on the sequence of sample products ar “instantaneous autocorrelation estimates” (5(0 = xt) s{t~ J),0 == N}. The second-order information (au- tocorrelation coefficients) is then completely specified by gn-'Zenye-m essen an where w = {uO}, wil). “+ +, wl ~ 1) is an appro. priate window function. Note that (41) is still a nonre: Cursive formulation of the windowing problem. The ee wacom %TABLE IV RECURSIVE WINDOW! ALGORITHMS FOR ESTIMATION OF SECOND-ORDER INFORMATION {AUTOCORRELATION COEFFICIENTS) OF A RANDOM SEQUENCE x) (A) FINITE IMPULSE RESPONSE (FIR OR SLIDING) WINDOWS. (B) INFINITE IMPULSE RESPONSE. [IIR OR GROWING) ‘WINDOWS. is the exponential forgetting factor, s(t) ~ st) xt ~ J) is the sample product and (o() 0 = J = 1} is the estimated second-order information. Gand H are auxiliary variables. there Window (FIR) | Window Function Recursive Windowing Algorithin Resangular Pat = S066 D910 =H6- feos bt wa) =0 Soewie | “engl 610 = 54 0 + 940 ~ case ~ io = He D+ 409 ~~ oiherwise | aren wy = met = 9 | froze sd ~ pa, a0 59+ 72] mo ~(¢ wate» | 9° rh | fru ba zket i i wo ee _4(-# anne a= peo 22 of = atte ~ 96.0 pay | ue 10) = Hi = +340 = 9 =D a= 058 = 046 Gin =-Gu 2 + 40-54 ~ 0 | 2 +o bp = 50-500 | (er)ace— yaya o ‘Window (IIR) Window Funetion [_ Recursive Windowing Algorithm Tayo wh = 8 o =o +5 | BAS eeo | mw =a hewise Movies wd) = 01+ bx dott — + 00 Binal fheheoo Aue) 500 | =o » ‘most important window functions, however. can be brought into a recursive formulation. Table IV pro: vides a summary of the most important algorithms for recursive updating of the autocorrelation coefficients at each time step upon the arrival of new data. ™ ‘eee We distinguish between finite or siding windows and infinite or growing windows. Sliding window algo- rithms generally require the storage of (L.+ N+ 1) samples of the observed random process. The struc ‘re of the sliding window algorithms i8 that of a re anacursive loop system with poles located exactly on the ‘unit circle, hence these algorithms are not uncondl tNonally stable, They can be operated stably over inf nite time when fixed-point arithmetic Is used. The al- fforithms become numerically unstable when floating: point arithmetic is used since floating point arithmetic Involves rounding in both the addition and the multi plication operations (33) ‘The growing window algorithms shown in Table IVb have their poles strictly inside the unit circle, and therefore these algorithms are unconditionally sable, Independent ofthe type of arithmetic involved In the computations. A more detailed discussion of these ‘windowing algorithms can be found in the author's book (45) ADAPTIVE FILTERING USING THE SCHUR RLS ALGORITHM In the last part of this section, we are interested to study the performance of the Schur RLS algorithm combined ‘with higherorder recursive windowing. Suppose, for example, that we have given a random sequence y(t) © (1.0, +1) which s observed through {channel with strongly time varying transfer charac: teristics, Our problem Is the reconstruction ofthe ori: tal sequence yt) upon the observation of the channel output x() In our experiment, the channel is an aut toregressive system of order N= 4. The transfer char: acteristic of this autoregressive system is shown in the zplane of Fig. 14. Inthe interval 1000 = ¢ = 1400. the {wo pole-palrs remain fixed at ry = 0.8: g = 120 de- igrees and fa = 0.95: yp = 60 degrees, where rand y ‘denote radius and angle of the pole-pairs, respectively. In the interval 1400 = {= 1600. the frst pole-pair ‘moves along the following trajectory in the z plane 302 ig. 14. Pole locations of a time varying autoregres: sive model of order N= 4 sav 91 “These trajectory equations of the first pole-pair de: seribe a decrease in angle by ~90 degrees and an in- trease in radius by +0.08 within 200 samples. So the final location of the first pole-pair is ry = 0.98: ¢, = 30 degrees which remains fixed in the interval 1600 = ¢ ‘= 2000. Fig. 15. Configuration of the Schur RLS adaptive ft. fer used in the experiment. ‘The problem fs now the reconstruction ofthe random ‘sequence yt from the observed channel output att) by means of adaptive inverse filtering. Fig. 15 shows the necessary configuration when the Shur RLS algorithm Is used, The system shown in Fig, 15 consists essen tially of three components, This is first a recursive windowing algorithm which extracts the second-order information from the observed process x10. The sec- ‘ond-order information is then used as input for the Schur RES algorithm. The Schur RLS algorithm com- putes the necessary reflection coefficients ofa feed for Wward ladder form adaptive filter which finally per forms the desired inverse filtering operation in order to obtain the desired reconstructed random sequence lO, Fig. 16 shows the result of the adaptive inverse filtering procedure in the interval 1000 = ¢ = 2000. ‘The first waveform is the sequence of random pulses ‘yl which has to be reconstracted. The second wave. form is the sequence xi) (attenuated by a factor of S for display purposes) which we observe at the channel Output, The reconstruction process is entirely based ‘on the observation ofthis second sequence. Waveform Sis the reconstructed random sequence g(t) obtained by adaptive inverse filtering with a conventional RLS, adaptive filter with an exponential forgetting factor of = 0.97 and an order of N= 4. Waveform 4 ts the Tesull of the reconstruction when the order N = 4 ‘Schur RLS adaptive filter of Fig. 15 combined with the recursive Hanning window (Table IVa) of width L- 100 samples is used. Inthe stationary parts of the signal where the param: eters of the autoregressive channel are fixed, the two ‘adaptive filters achieve fairly the same reconstruction. ‘Quality. The situation changes dramatically when the interval 1400 = t = 1600, where the channel is strongly time varying, is considered. Here, the conven tional exponentially weighted RLS adaptive iter is se- ously puzeled by the ongoing signal observed at the veesr ue ”‘huh ARTA A nla A ABA Fig, 16, Waveform 1: Random sequence yi). Wave Jorm 2: Observed output xi) of time varying autore ‘gressive channel (attenuated by a factor of 5). Wave- Jorm 3: Reconstructed random sequence y(t using a ‘conventional exponentially weighted RLS adaptive filter Exponential weighting factor was » ~ 0.97. Waveform 4: Reconstructed Fandom sequence git) using the Schur RLS adapitve filter (Fig. 16) with @ ecursive Hanning window of width L'~ 100 sam- ples. output of the channel, The conventional approach is ‘obviously unable to handle this heavily time-varying reconstruction problem satisfactorily. "The Schur RES adaptive filter, on the other hand, produces an accurate reconstruction oft) even in those ‘cases where the channel parameters are strongly time varying. To render this statement “anschaulich”. Fig 17 provides a detailed piewure of the stretched wave- formsin the transition interval 1400 = ¢ = 1600 where the system Is ime varying. A perfect reconstruction of the random sequence y{0) Is possible, even in this strongly time-varying segment, only by application of fan appropriate threshold on the output gif) produced by the Schur RLS adaptive filter (waveform 4), A per: fect reconstruction is obviously not possible from the “uncertain output of the conventional RLS adaptive fil- ter with exponential window (waveform 3) Classical Levinson and Schur Algorithms ASTEP TO TOEPLITZ SYSTEMS ‘The purpose of this section is to point out that the classical problem of solving a Toeplitz system is closely ‘connected to the serialized data case of recursive least ‘squares processing. Efficient Toeplitz system solvers are Important in many areas (7, 19, $2, 37). The step to Toeplitz systems is accomplished by incorporation, ‘of only a single approximation within our framework. ramely, the assumption of time invariance of the sec- ond-order information: 2 semis cg, Osiem «2 ‘We will next investigate the basic consequences of the Lime invariance assumption (42) Exploiting the shiftinvariance property of the co: variance matrix (10b}, it is easily seen that the as: ‘sumption of time invariance of the second-order infor: mation causes 4,(0) = #1) (€ ~ V = tty ‘This means that the elements of the covariance matrix are constant along the main diagonals which is usu: ally referred to a8 a Toeplitz structure. Moreover. the ‘autocorrelation coefficients may be normalized with Tespect to the coefficient 6) s0 that [e} = o/cy: 1 verse ordered versions of each other (44a. b). ieads to the additional insight that in the Toeplitz case the transversal forward/backward predictor parameter sets are also only reverse ordered versions of each [HEL = ‘This further suggests that the lower triangle inthe s0- lution pyramid of Fig 9, which contains the transver- sal backward predictor parameter vectors, becomes the reflected image of the upper triangle in the Toe: plitz ease, and hence the two Levinson type recursions [29a, b} can be merged to the well-known classical Levinson recursion: “ Fo] 7 CLASSICAL ALGORITHMS Its now only a small step to represent the classical recursions in the more general framework provided by the Levinson RLS and Schur RLS algorithms listed in ‘Tables land I. Table V is. listing of the classical Lev: inson-Durbin algorithm [15] which appears as just & simplified version of the Levinson RLS algorithm, {As already seen in the recursive least squares case there exisis a more direct counterpart to the Levinson: (b) 18, Inverse representation ofPARCOR lade farms, (a Section mf feedforward PARCOR adder form (hats aad Secon Waa focdback PARCOR ler orm lyrthests ter ava seaman *TABLE V CLASSICAL LEVINSON-DURBIN ALGORITHM FOR COMPUTATION OF THE PARCOR LADDER COEFFICIENTS {K,,. 1 = m = N) AND THE TRANSVERSAL PREDICTOR PARAMETER SET jas m=N) Equations numbered as they appear in the text. This algorithm involves division, Whenever the ‘uwvloor is small or negative, set Lx = Tnput: normalized antocorelation sequence cj. = + ch eto) 22) 0) Durbin algorithm which is based on generalized co variance rather than on Levinson recursions. In the ‘Toeplitz case this s the classical Schur algorithm (43] ‘which appears as a simplified version of the Sehiur RLS. algorithm (Table Ml). A complete quasi-code of the Schur algorithm is provided in Table VI ‘The classical Schur algorithm has a number of nter- esting properties over the Levinson-Durbin algorithm. ‘The most interesting property is probably that the al- gorithm completely avoids inner product calculations. Tis entirely based on the recurrent application of a simplified ladder rotor, a2 2 matrix with ones along, the main diagonal and the PARCOR coefficient Ky, on. the opposite diagonal. This rotor is again interpretable ‘asa seetion of the PARCOR ladder form, analogous © ‘our considerations in the more general nonstationary ‘case. A second interesting property of the Schur algo- rithm is that the recursion variables are all bounded. {0 a value of less than one In magnitude. These prop- erties made the algorithm an interesting candidate for ‘2 concurrent implementation. In fact, a parallel and pipelined ladder VLSI computing structure based on the Schur algorithm has already been designed and bball (271. The novel implementation of Jou, Hu and TABLE Vi cuas CAL SCHUR ALGORITHM FOR COMPUTATION OF THE PARCOR COEFFICIENTS (Km 1s ms N} Equations numbered as they appear in the text. This algorithm involves division. Whenever the ‘visor Is small or negative, set Ix = 0 2 reeset Thput: normalize atocorsaton eqn c= 6) Init: By = 1; Ry = =eh FOR) = 162,300 08 (hinds hone FORM =1,2,5¢ +. Vcomp En = Ext * KC aw FOR) = m+ 1,42, ++ Meompue [emit SY chu oy Lead bee 1 thet Kg = ~ Chas lEm i ‘a