LevinsonDurbin
Solve linear system of equations using LevinsonDurbin recursion
Libraries:
DSP System Toolbox /
Estimation /
Linear Prediction /
Linear System Solvers
DSP System Toolbox /
Math Functions /
Matrices and Linear Algebra /
Linear System Solvers
Description
The LevinsonDurbin block solves the nthorder system of linear equations
Ra = b
in the cases where:
R is a Hermitian, positivedefinite, Toeplitz matrix.
b is identical to the first column of R shifted by one element and with the opposite sign.
$$\left[\begin{array}{cccc}r(1)& {r}^{*}(2)& \cdots & {r}^{*}(n)\\ r(2)& r(1)& \cdots & {r}^{*}(n1)\\ \vdots & \vdots & \ddots & \vdots \\ r(n)& r(n1)& \cdots & r(1)\end{array}\right]\text{}\left[\begin{array}{c}a(2)\\ a(3)\\ \vdots \\ a(n+1)\end{array}\right]=\left[\begin{array}{c}r(2)\\ r(3)\\ \vdots \\ r(n+1)\end{array}\right]$$
Ports
Input
Input — Input
vector  matrix
Specify the input to the block, r =
[r(1)
r(2) ...
r(n+1)]
as a
vector or a matrix. If the input is a matrix, the block treats each
column as an independent channel and solves it separately. Each channel
of the input contains lags 0 through
n of an autocorrelation sequence, which appear in
the matrix R.
If the input is fixed point, it must be a signed integer or a signed fixed point value with a poweroftwo slope and zero bias.
Data Types: single
 double
 int8
 int16
 int32
 fixed point
Complex Number Support: Yes
Output
A — Model coefficients
vector  matrix
Model coefficients A, returned as a vector or a matrix. A has the same dimension as the input.
For each channel, port A outputs
A =
[1
a(2) a(3) ...
a(n+1)]
, the
solution to the LevinsonDurbin equation. You can also view the elements
of each output channel as the coefficients of an
nthorder autoregressive (AR) process.
Dependencies
To enable this port, set Output(s) to
A and K
or
A
.
Data Types: single
 double
 int8
 int16
 int32
 fixed point
Complex Number Support: Yes
K — Reflection coefficients
vector  matrix
Reflection coefficients K, returned as a vector or a matrix. K has the same dimension as the input, less one element.
For each channel, port K outputs
K =
[k(1)
k(2) ...
k(n)]
, which
contains n reflection coefficients.
A scalar input channel causes an error when you select
K
. You can use reflection coefficients to realize
a lattice representation of the AR process. For more details, see Applications.
Dependencies
To enable this port, set Output(s) to
A and K
or
K
.
Data Types: single
 double
 int8
 int16
 int32
 fixed point
Complex Number Support: Yes
P — Output prediction error power
vector
Output prediction error power P, returned as vector of length equal to the number of input channels. Each element in the vector is the prediction error power for each channel.
For each channel, P represents the power of the output of an FIR filter with taps A and input autocorrelation described by r, where A represents a prediction error filter and r is the input to the block. In this case, A is a whitening filter. P has one element per input channel.
Dependencies
To enable this port, select the Output prediction error power (P) check box.
Data Types: single
 double
 int8
 int16
 int32
 fixed point
Parameters
Main Tab
Output(s) — Output(s)
K
(default)  A and K
 A
Specify the solution representation of Ra = b to output:
Polynomial coefficients (
A
) –– For each channel, port A outputsA =
[1 a(2) a(3) ... a(n+1)]
, the solution to the LevinsonDurbin equation. A has the same dimension as the input. You can also view the elements of each output channel as the coefficients of an nthorder autoregressive (AR) process.Reflection coefficients (
K
) –– For each channel, port K outputsK =
[k(1) k(2) ... k(n)]
, which contains n reflection coefficients and has the same dimension as the input, less one element. A scalar input channel causes an error when you selectK
. You can use reflection coefficients to realize a lattice representation of the AR process described later in this page.Both model coefficients and reflection coefficients (
A and K
) –– The block outputs both representations at their respective ports. A scalar input channel causes an error when you selectA and K
.
When the input is a scalar or row vector, you must set this parameter
to A
.
Output prediction error power (P) — Output prediction error power
off
(default)  on
Select this parameter to output the prediction error power for each channel at port P.
If the value of lag 0 is zero, A=[1 zeros], K=[zeros], P=0 — If the value of lag 0 is zero, A=[1 zeros], K=[zeros], P=0
on
(default)  off
When you select this check box and the first element of the input,
r(1)
, is zero, the block outputs the following
vectors, as appropriate:
A = [1 zeros(1,n)]
K = [zeros(1,n)]
P = 0
When you clear this check box, the block outputs a vector of NaN
s for each channel
whose r
(1) element is zero. In general, an input with
r(1) = 0
is invalid because it
does not construct a positivedefinite matrix R.
Often, however, blocks receive zerovalued inputs at the start of a
simulation. The check box allows you to avoid propagating
NaN
s during this period.
Data Types Tab
Note
Floatingpoint inheritance takes precedence over the data type settings defined on this pane. When inputs are floating point, the block ignores these settings, and all internal data types are floating point.
Rounding mode — Rounding mode
Floor
(default)  Ceiling
 Convergent
 Nearest
 Round
 Simplest
 Zero
Specify the rounding mode for fixedpoint operations as one of the following:
Floor
Ceiling
Convergent
Nearest
Round
Simplest
Zero
For more details, see rounding mode.
Saturate on integer overflow — Saturate on integer overflow
off
(default)  on
When you select this parameter, the block saturates the result of its
fixedpoint operation. When you clear this parameter, the block wraps
the result of its fixedpoint operation. For details on
saturate
and wrap
, see overflow
mode for fixedpoint operations.
Product output — Product output
Inherit: Same as
input
(default)  numeric type
Specify the product output data type as Inherit: Same as
input
or a numeric type. See FixedPoint Data Types and Multiplication Data Types for illustrations depicting the
use of the product output data type in this block. You can set it
to:
A rule that inherits a data type, for example,
Inherit: Same as input
An expression that evaluates to a valid data type, for example,
fixdt(1,16,0)
Click the Show data type assistant button to display the Data Type Assistant, which helps you set the Product output parameter.
See Specify Data Types Using Data Type Assistant (Simulink) for more information.
Accumulator — Accumulator
Inherit: Same as
input
(default)  Inherit: Same as product output
 numeric type
Specify the accumulator data type as Inherit: Same as
input
, Inherit: Same as product
output
, or a numeric type. See FixedPoint Data Types for
illustrations depicting the use of the accumulator data type in this
block. You can set it to:
A rule that inherits a data type, for example,
Inherit: Same as input
A rule that inherits a data type, for example,
Inherit: Same as product output
An expression that evaluates to a valid data type, for example,
fixdt(1,16,0)
Click the Show data type assistant button to display the Data Type Assistant, which helps you set the Accumulator parameter.
See Specify Data Types Using Data Type Assistant (Simulink) for more information.
Polynomial coefficients (A) — Polynomial coefficients data type
fixdt(1,16,0)
(default)  numeric type
Specify the polynomial coefficients (A) data type
as a numeric type. See FixedPoint Data Types for
illustrations depicting the use of the A data type in this block. You
can set it to an expression that evaluates to a valid data type, for
example, fixdt(1,16,10)
.
Click the Show data type assistant button to display the Data Type Assistant, which helps you set the A parameter.
See Specify Data Types Using Data Type Assistant (Simulink) for more information.
Reflection coefficients (K) — Reflection coefficients data type
fixdt(1,16,0)
(default)  numeric type
Specify the reflection coefficients (K) data type
as a numeric type. See FixedPoint Data Types for
illustrations depicting the use of the K data type in this block. You
can set it to an expression that evaluates to a valid data type, for
example, fixdt(1,16,10)
.
Click the Show data type assistant button to display the Data Type Assistant, which helps you set the K parameter.
See Specify Data Types Using Data Type Assistant (Simulink) for more information.
Prediction error power (P) — Prediction error power data type
Inherit: Same as
input
(default)  numeric type
Specify the prediction error power (P) data type as
Inherit: Same as input
or a numeric type.
See FixedPoint Data Types for
illustrations depicting the use of the P data type in this block. You
can set it to:
A rule that inherits a data type, for example,
Inherit: Same as input
An expression that evaluates to a valid data type, for example,
fixdt(1,16,0)
Click the Show data type assistant button to display the Data Type Assistant, which helps you set the P parameter.
See Specify Data Types Using Data Type Assistant (Simulink) for more information.
Minimum — Minimum values of polynomial coefficients, reflection coefficients, or prediction error power
[]
(default)  scalar
Specify the minimum values that the polynomial coefficients,
reflection coefficients, or prediction error power should have. The
default value is []
(unspecified). Simulink^{®} uses this value to perform:
Parameter range checking (see Specify Minimum and Maximum Values for Block Parameters (Simulink))
Automatic scaling of fixedpoint data types
Maximum — Maximum values of polynomial coefficients, reflection coefficients, or prediction error power
[]
(default)  scalar
Specify the maximum values that the polynomial coefficients,
reflection coefficients, or prediction error power should have. The
default value is []
(unspecified). Simulink uses this value to perform:
Parameter range checking (see Specify Minimum and Maximum Values for Block Parameters (Simulink))
Automatic scaling of fixedpoint data types
Lock data type settings against changes by the fixedpoint tools — Prevent fixedpoint tools from overriding data types
off
(default)  on
Select this parameter to prevent the fixedpoint tools from overriding the data types you specify in the block dialog box.
Block Characteristics
Data Types 

Direct Feedthrough 

Multidimensional Signals 

VariableSize Signals 

ZeroCrossing Detection 

More About
FixedPoint Data Types
The diagrams in this section show the data types used within the LevinsonDurbin block for fixedpoint signals.
After initialization the block performs n updates. At the (j+1) update,
$$\text{valueinaccumulator}=r(j+1)+{\displaystyle \sum {a}_{j}(i)\times r\left(ji+1\right)}$$
The following diagram displays the fixedpoint data types used in this calculation:
The block then updates the reflection coefficients K according to
$${K}_{j+1}=\text{valueinaccumulator}/{P}_{j}$$
The block then updates the prediction error power P according to
$${P}_{j+1}={P}_{j}{P}_{j}\times {K}_{j+1}\times \text{conj}\left({K}_{j+1}\right)$$
The next diagram displays the fixedpoint data types used in this calculation:
The polynomial coefficients A are then updated according to
$${a}_{j+1}(i)={a}_{j}(i)+{K}_{j+1}\times \text{conj}\left({\text{a}}_{\text{j}}(j1+i)\right)$$
This diagram displays the fixedpoint data types used in this calculation:
Applications
One application of the LevinsonDurbin formulation implemented by this block is in
the YuleWalker AR problem, which concerns modeling an unknown system as an
autoregressive process. You would model such a process as the output of an allpole
IIR filter with white Gaussian noise input. In the YuleWalker problem, the use of
the signal's autocorrelation sequence to obtain an optimal estimate leads to an
Ra = b equation of the
type shown above, which is most efficiently solved by LevinsonDurbin recursion. In
this case, the input to the block represents the autocorrelation sequence, with
r(1)
being the zerolag value. The output at the block's A
port then contains the coefficients of the autoregressive process that optimally
models the system. The coefficients are ordered in descending powers of
z, and the AR process is minimum phase. The prediction error,
G, defines the gain for the unknown system, where $$G=\sqrt{P}$$:
$$H\left(z\right)=\frac{G}{A(z)}=\frac{G}{1+a(2){z}^{1}+\text{}\mathrm{...}\text{}+a(n+1){z}^{n}}$$
The output at the block's K port contains the corresponding reflection
coefficients, [
k(1)
k(2) ...
k(n)]
, for the lattice
realization of this IIR filter. The YuleWalker AR Estimator block implements this
autocorrelationbased method for AR model estimation, while the YuleWalker Method
block extends the method to spectral estimation.
Another common application of the LevinsonDurbin algorithm is in linear
predictive coding, which is concerned with finding the coefficients of a moving
average (MA) process (or FIR filter) that predicts the next value of a signal from the current
signal sample and a finite number of past samples. In this case, the input to the
block represents the signal's autocorrelation sequence, with
r(1)
being the zerolag value, and the
output at the block's A port contains the coefficients of the predictive MA process
(in descending powers of z).
$$H\left(z\right)=A\left(z\right)=1+a(2){z}^{1}+\text{}\mathrm{...}\text{}a(n+1){z}^{n}$$
These coefficients solve the following optimization problem:
$$\stackrel{\mathrm{min}}{\left\{{a}_{i}\right\}}$$
$$E\left[{\left{x}_{n}{\displaystyle \sum _{i=1}^{N}{a}_{i}{x}_{ni}}\right}^{2}\right]$$
Again, the output at the block's K port contains the corresponding reflection
coefficients, [k(1) k(2) ... k(n)]
, for the lattice realization
of this FIR filter. The Autocorrelation LPC block in the Linear
Prediction library implements this autocorrelationbased prediction method.
Algorithms
The algorithm requires O(n^{2}) operations for each input channel. This implementation is therefore much more efficient for large n than standard Gaussian elimination, which requires O(n^{3}) operations per channel.
References
[1] Golub, G. H. and C. F. Van Loan. Sect. 4.7 in Matrix Computations. 3rd ed. Baltimore, MD: Johns Hopkins University Press, 1996.
[2] Ljung, L. System Identification: Theory for the User. Englewood Cliffs, NJ: Prentice Hall, 1987. Pgs. 278–280.
[3] Kay, Steven M. Modern Spectral Estimation: Theory and Application. Englewood Cliffs, NJ: Prentice Hall, 1988.
Extended Capabilities
C/C++ Code Generation
Generate C and C++ code using Simulink® Coder™.
Generated code relies on the memcpy
or
memset
function (string.h
) under certain
conditions.
Version History
Introduced before R2006a
See Also
Functions
Blocks
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