IIR to find minimum, maximum enveloppe of a signal
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From: vectorizor on 24 Feb 2010 11:16 Hi all, First of all, I'm a newbie in signal processing, so go easy :) I have used an IIR filter to computer the local average of a signal, and it works well. It essentially is what they call in finance a moving average, i.e. the output at a sample point is a fraction of itself and (1-fraction) of its predecessor. Results fit my requirements, and the speed is absolutely tremendous. Now, I would also like to find the enveloppe of the signal, i.e. the local minimum and maximum. I'm trying to find a way to do that using IIR filters (because of the speed), but I cannot for the life of me find a way forward. Does anybody have ideas on that? Note that it does not necessarily need to be a IIR filter, we can keep the conversation more general at first. I suggested them because of the level of performance they enabled, which is important to my project. Thanks in advance, A
From: Rob Gaddi on 24 Feb 2010 12:08 On Wed, 24 Feb 2010 08:16:39 -0800 (PST) vectorizor <vectorizor(a)googlemail.com> wrote: > Hi all, > > First of all, I'm a newbie in signal processing, so go easy :) > > I have used an IIR filter to computer the local average of a signal, > and it works well. It essentially is what they call in finance a > moving average, i.e. the output at a sample point is a fraction of > itself and (1-fraction) of its predecessor. Results fit my > requirements, and the speed is absolutely tremendous. > > Now, I would also like to find the enveloppe of the signal, i.e. the > local minimum and maximum. I'm trying to find a way to do that using > IIR filters (because of the speed), but I cannot for the life of me > find a way forward. Does anybody have ideas on that? Note that it does > not necessarily need to be a IIR filter, we can keep the conversation > more general at first. I suggested them because of the level of > performance they enabled, which is important to my project. > > Thanks in advance, > > A An IIR filter is a fundamentally linear process. Min/max is a non-linear operation. What you want is something that can detect a peak, some sort of "peak detector". -- Rob Gaddi, Highland Technology Email address is currently out of order
From: Vladimir Vassilevsky on 24 Feb 2010 12:20 vectorizor wrote: > Hi all, > > First of all, I'm a newbie in signal processing, so go easy :) > > I have used an IIR filter to computer the local average of a signal, > and it works well. It essentially is what they call in finance a > moving average, i.e. the output at a sample point is a fraction of > itself and (1-fraction) of its predecessor. Results fit my > requirements, and the speed is absolutely tremendous. > > Now, I would also like to find the enveloppe of the signal, i.e. the > local minimum and maximum. If you need to track local minimum/maximum within the time span T, you have to keep all history for the entire time span T. However, you may not have to do full search through T at every step. > I'm trying to find a way to do that using > IIR filters (because of the speed), but I cannot for the life of me > find a way forward. Does anybody have ideas on that? Are you asking how to know the future? Be sure, it is very-very-very difficult. > Note that it does > not necessarily need to be a IIR filter, we can keep the conversation > more general at first. I suggested them because of the level of > performance they enabled, which is important to my project. Vladimir Vassilevsky DSP and Mixed Signal Design Consultant http://www.abvolt.com
From: Jerry Avins on 24 Feb 2010 12:53 Vladimir Vassilevsky wrote: > > > vectorizor wrote: > >> Hi all, >> >> First of all, I'm a newbie in signal processing, so go easy :) >> >> I have used an IIR filter to computer the local average of a signal, >> and it works well. It essentially is what they call in finance a >> moving average, i.e. the output at a sample point is a fraction of >> itself and (1-fraction) of its predecessor. Results fit my >> requirements, and the speed is absolutely tremendous. >> >> Now, I would also like to find the enveloppe of the signal, i.e. the >> local minimum and maximum. > > If you need to track local minimum/maximum within the time span T, you > have to keep all history for the entire time span T. However, you may > not have to do full search through T at every step. If you track min/max within blocks, you need to remember only two values within the time window: least-so-far and most-so-far. Any new value outside the range that they define replaces one of them. If you need a running min/max for the last n intervals, then it is as Vlad wrote. >> I'm trying to find a way to do that using >> IIR filters (because of the speed), but I cannot for the life of me >> find a way forward. Does anybody have ideas on that? > > Are you asking how to know the future? Be sure, it is very-very-very > difficult. :-) ... Jerry -- Engineering is the art of making what you want from things you can get. �����������������������������������������������������������������������
From: Tim Wescott on 24 Feb 2010 13:21
vectorizor wrote: > Hi all, > > First of all, I'm a newbie in signal processing, so go easy :) > > I have used an IIR filter to computer the local average of a signal, > and it works well. It essentially is what they call in finance a > moving average, i.e. the output at a sample point is a fraction of > itself and (1-fraction) of its predecessor. Results fit my > requirements, and the speed is absolutely tremendous. > > Now, I would also like to find the enveloppe of the signal, i.e. the > local minimum and maximum. I'm trying to find a way to do that using > IIR filters (because of the speed), but I cannot for the life of me > find a way forward. Does anybody have ideas on that? Note that it does > not necessarily need to be a IIR filter, we can keep the conversation > more general at first. I suggested them because of the level of > performance they enabled, which is important to my project. > > Thanks in advance, > > A What everyone has said so far: * the moniker "IIR" implies a linear recursive filter, and the min/max operation is quite nonlinear * To do a running min/max you need to keep a full history (and I'd like Vladimir to give us a reference to the "don't have to do full search at each step") * To do a block/block min/max you just need to keep 'max so far' and 'min so far' -- I do this often, it's very handy. If you need finer resolution than the whole span of data you're tracking, you can do multiple blocks. And: You can implement a _non_-linear recursive filter, that forces its output to the signal maximum (or minimum) whenever -- Tim Wescott Control system and signal processing consulting www.wescottdesign.com |