Module-5
Linear Systems with Random Inputs
1 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Synopsis
Introduction
Linear system Fundamentals
Linear systems with continuous-Time and discrete-Time random
inputs.
Random Signal Response of Linear Systems
Product Device response to a Random Signal
Spectral Characteristic of System Response.
Response of quadratic, half wave, full-wave, and sigmoid detectors to
Gaussian signals.
2 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Introduction
In the previous modules, we studied about random signals and random
processes.
We know that a random signal can be modelled as a sample function of a
random process.
Such random signals are described mathematically using time-domain
statistical measures like mean and autocorrelation.
The frequency-domain method used to describe a random signal includes
power density spectrum which describes how the average power is
distributed across frequencies.
Communication and control system engineers deal with noise which is
random.
When a signal containing noise is applied to a communication system, it is
necessary to know the effect of noise on the performance of the system.
Therefore, it is necessary to study the output of a system for a random
input.
3 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Linear system Fundamentals
A system is defined as a physical device that performs an operation
on an input signal and produces another signal as output.
Examples for systems include amplifier, filter and mass-spring, dashpot
system etc.
An arrow entering the box is the input signal which is represented
by x(t) and the arrow leaving the box represents the output signal
which is denoted by y(t).
We can say that the output y(t) is the transformation of the input
x(t).
4 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Linear system Fundamentals
The relation between the input and corresponding output y(t) of a
system has the form
𝑦 𝑡 = 𝑜𝑝𝑒𝑟𝑎𝑡𝑖𝑜𝑛 𝑜𝑛 𝑥(𝑡)
Mathematically,
𝑦 𝑡 = 𝑇 𝑥(𝑡)
Systems can be classified in many ways. The important classifications
are,
1. Causal and non-causal systems
2. Linear and non-linear systems
3. Time-invariant and time-variant systems
5 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Causal and Non-causal Systems
A causal system is one for which the output at any
𝒕𝒊𝒎𝒆 ′𝒕′ depends on the present and past inputs but not future
inputs.
These systems are also known as non-anticipative systems.
Examples
A non-causal system is one whose output depends on future
values.
Examples
6 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Linear and Non-linear Systems
A system is said to be a linear system if it obeys the superposition
principle
Weighted sum of input signals is equal to the corresponding weighted sum
of the outputs of the system to each of the individual input signals.
Let us assume that an arbitrary input 𝒙𝟏(𝒕) produces an output
𝒚𝟏(𝒕) and an arbitrary input 𝒙𝟐(𝒕) produces an output 𝒚𝟐(𝒕).
Let us consider the weighted sum of inputs 𝒂𝒙𝟏(𝒕) + 𝒃𝒙𝟐(𝒕) where
𝑎 and 𝑏 are constants.
If this input produces an output 𝒂𝒚𝟏(𝒕) + 𝒃𝒚𝟐(𝒕) then the system is
linear.
𝑻 𝒂𝒙𝟏(𝒕) + 𝒃𝒙𝟐(𝒕) = 𝒂𝑻 𝒙𝟏(𝒕) + 𝒃𝑻 𝒙𝟐(𝒕)
7 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Linear and Non-linear Systems
If the above condition is not satisfied then the system is a non-linear
system.
Similarly, for a discrete-time linear system
𝑻 𝒂𝒙𝟏(𝒏) + 𝒃𝒙𝟐(𝒏) = 𝒂𝑻 𝒙𝟏(𝒏) + 𝒃𝑻 𝒙𝟐(𝒏)
From the superposition property, we can find that a zero input
results a zero output.
8 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Time-invariant and Time-variant Systems
A system is said to be time-invariant if its input-output
characteristics do not change with time.
Let us assume that the input signal and output signal of system are
𝒙(𝒕) 𝑎𝑛𝑑 𝒚(𝒕) respectively.
If we delay the input by T seconds, then for a time-invariant system
the output will also be delayed by T seconds.
To test the time-invariant property of a system, we apply a signal
𝒙(𝒕) and find 𝒚(𝒕).
9 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Time-invariant and Time-variant Systems
Now we delay the input signal by T seconds and then find the output
signal and denote it as
𝑦 𝑡, 𝑇 = 𝑇 𝑥(𝑡 − 𝑇)
Delay the output signal by T seconds and denote it as y(t – T).
𝐼𝑓, 𝑦 𝑡, 𝑇 = 𝑦(𝑡 − 𝑇)
for all values of T then the system is time-invariant.
On the other hand, if the output
𝑦 𝑡, 𝑇 ≠ 𝑦(𝑡 − 𝑇)
then the system is time-variant.
10 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Time-invariant and Time-variant Systems
To test the time invariance property of the given discrete-time
system, first apply an arbitrary input sequence 𝒙(𝒏) and find 𝒚(𝒏).
Delay the input sequence by k samples and find the output sequence,
denote it as
𝑦 𝑛, 𝑘 = 𝑇 𝑥(𝑛 − 𝑘)
Delay the output sequence by k samples denote it as y(n – k)
𝐼𝑓, 𝑦 𝑛, 𝑘 = 𝑦(𝑛 − 𝑘)
for all possible values of k then the system is time invariant,
otherwise the system is time variant.
11 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
The Time Response of an LTI System
Consider an LTI system shown below.
If the input to the system is an impulse then the output of the
system is known as impulse response denoted by 𝒉(𝒕). That is,
𝒉 𝒕 = 𝑻 𝜹(𝒕)
Any arbitrary signal 𝒙(𝒕) can be represented as linear combination of
scaled and shifted unit impulse functions.That is,
12 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
The Time Response of an LTI System
The system output is given by 𝒚(𝒕) = 𝑻[𝒙(𝒕)]
Substituting the value for 𝑥(𝑡) in the above equation yields
For a LTI system,
13 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
The Time Response of an LTI System
If the response of the system due to impulse 𝜹(𝒕) is 𝒉(𝒕) then the
response of the system due to delayed impulse is
𝒉 𝒕, 𝑻 = 𝑻{𝜹(𝒕 − 𝑻)}
Substituting the above equation in 𝒚(𝒕), we get
For a time-invariant system, the output due to delayed input by T
seconds is equal to delayed output by T seconds.
That is, ℎ(𝑡, 𝜏) = ℎ(𝑡 – 𝜏)
14 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
The Time Response of an LTI System
Therefore, for a linear time-invariant (LTI) system,
This is called convolution integral, or simply convolution.
The convolution of two signals 𝒙(𝒕) and 𝒉(𝒕) can be represented as
𝒚 𝒕 = 𝒙 𝒕 ∗ 𝒉(𝒕)
15 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Properties of Convolution
Consider a system with impulse response 𝒉(𝒕) and input 𝒙(𝒕).
Then the output of the system
∞
𝒚 𝒕 =𝒙 𝒕 ∗𝒉 𝒕 = 𝒙 𝝉 𝒉 𝒕 − 𝝉 𝒅𝝉
−∞
1. Commutative Property: Convolution obeys commutative
property. That is, 𝒙 𝒕 ∗ 𝒉 𝒕 = 𝒉 𝒕 ∗ 𝒙 𝒕
2. Distributive Property: 𝒙 𝒕 ∗ 𝒉𝟏 𝒕 + 𝒉𝟐 𝒕 = 𝒙 𝒕 ∗ 𝒉𝟏 𝒕 +
𝒙 𝒕 ∗ 𝒉𝟐 𝒕
3. Associative property: 𝒙 𝒕 ∗ 𝒉𝟏 𝒕 ∗ 𝒉𝟐 𝒕 = 𝒙 𝒕 ∗ 𝒉𝟏 𝒕 ∗
𝒉𝟐 𝒕
16 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Frequency-domain Characterization of a LTI
System
So far we studied the time-domain representation of a system.
In this section, we will study the frequency domain representation of
a system using Fourier transform.
The Fourier transform of a signal 𝒙(𝒕) is given by
and inverse Fourier transform of 𝑋(𝜔) is given by
17 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Frequency-domain Characterization of a LTI
System
The Fourier transform of a signal 𝑥(𝑡) exists if 𝑥(𝑡) is absolutely
integrable over (– ∞, ∞). That is,
Consider an LTI continuous-time system with impulse response h(t).
If the input to the system is x(t) then output y(t) of the system can
be obtained using convolution integral.That is,
18 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Frequency-domain Characterization of a LTI
System
If 𝒙(𝒕) is a complex exponential signal 𝒙(𝒕) = 𝒆𝒋𝝎𝒕 then the output
Where is a Fourier transform of 𝒉(𝒕).
19 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Frequency-domain Characterization of a LTI
System
If 𝒀(𝝎) is a Fourier transform of 𝒚(𝒕) then
20 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Frequency-domain Characterization of a LTI
System
𝒀 𝝎 = 𝑯 𝝎 𝑿(𝝎)
The function 𝑯 𝝎 is called the transfer function of the system. That
𝒀 𝝎
is, 𝑯 𝝎 =
𝑿(𝝎)
which is the ratio of Fourier transform of the output 𝑦(𝑡) to the
Fourier transform of the input 𝑥(𝑡).
21 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
Find the transfer function of the RC network shown
SOLUTION
Applying Kirchhoff’s voltage law we can write
The output
22 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
If 𝒙(𝒕) = 𝒆𝒋𝝎𝒕 then the output
The differentiation of the output.
Substituting the above expression in
Now substituting the values of 𝑥(𝑡), 𝑦(𝑡) and 𝑖(𝑡) in
23 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Properties of an LTI System
1. 𝑥 𝑡 ∗ℎ 𝑡 =ℎ 𝑡 ∗𝑥 𝑡
2. 𝑥 𝑡 ∗ ℎ1 𝑡 ∗ ℎ2 𝑡 = 𝑥 𝑡 ∗ ℎ1 𝑡 ∗ ℎ2 𝑡
3. 𝑥 𝑡 ∗𝛿 𝑡 =𝑥 𝑡
4. 𝑥 𝜏 ℎ 𝑡 − 𝜏 𝑑𝜏 = 𝑥 𝑡 ∗ ℎ 𝑡
5. 𝑥 𝜏 ℎ 𝑡 + 𝜏 𝑑𝜏 = 𝑥 𝑡 ∗ ℎ −𝑡
6. ℎ∗ −𝑡 = 𝐻∗ 𝜔
7. ℎ 𝜏 𝑑𝜏 = 𝑐𝑜𝑛𝑠𝑡𝑎𝑛𝑡
∞ ∞
𝐻 𝜔 = −∞
ℎ 𝜏 𝑒 −𝑗𝜔𝜏 𝑑𝜏 → 𝐻 0 = −∞
ℎ 𝜏 𝑑𝜏
8. 𝑦 𝑡 = 𝑥 𝜏 ℎ 𝑡 − 𝜏 𝑑𝜏 = ℎ 𝜏 𝑥 𝑡 − 𝜏 𝑑𝜏
24 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
LTI System with Random Input Signals
In the previous section we studied that the output y(t) of an LTI
system is the convolution of its input x(t) and impulse response h(t)
𝑦 𝑡 = 𝑥 𝜏 ℎ 𝑡 − 𝜏 𝑑𝜏 = ℎ 𝜏 𝑥 𝑡 − 𝜏 𝑑𝜏
If X(t) is a WSS random process then the output of the system can
be expressed as
𝑌 𝑡 =𝑋 𝑡 ∗ℎ 𝑡
By definition,
𝑌 𝑡 = 𝑋 𝜏 ℎ 𝑡 − 𝜏 𝑑𝜏
1 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Mean Value Function
The mean value of the output process is given by
Where 𝜇𝑋 (𝑡) is the mean function of the process X(t).
𝝁𝒀 𝒕 = 𝝁𝑿 𝒕 ∗ 𝒉 𝒕 −−− −(𝟏)
2 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Mean Value Function
Since X(t) is stationary in the wide-sense,
𝜇𝑋 𝑡 − 𝜏 = 𝜇𝑋 𝑡 = 𝐶𝑜𝑛𝑠𝑡𝑎𝑛𝑡
Hence, the mean function 𝜇𝑌 (𝑡) of the process Y(t) is
where H(0) is the dc gain of the system.Therefore,
3 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Cross-correlation between input and output
The correlation function between output Y(t) and input X(t) is
𝑅𝑋𝑌 (𝑡1 , 𝑡2 )
∞
𝐸 𝑥 𝑡1 𝑦 ∗ 𝑡2 = 𝐸[𝑥 𝑡1 𝑥 ∗ 𝑡2 − 𝛼 ℎ∗ 𝛼 𝑑𝛼]
−∞
∞
= 𝐸[𝑥 𝑡1 𝑥 ∗ 𝑡2 − 𝛼 ]ℎ∗ 𝛼 𝑑𝛼
−∞
∞
= 𝑅𝑋𝑋 (𝑡1 , 𝑡2 − 𝛼)ℎ∗ 𝛼 𝑑𝛼
−∞
= 𝑅𝑋𝑋 𝑡1 , 𝑡2 ∗ ℎ∗ 𝑡2
𝑹𝑿𝒀 𝒕𝟏 , 𝒕𝟐 = 𝑹𝑿𝑿 𝒕𝟏 , 𝒕𝟐 ∗ 𝒉∗ 𝒕𝟐 −−− −(𝟐)
4 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Cross-correlation between input and output
The correlation function between output Y(t) and WSS input X(t)
is 𝑅𝑋𝑌 (𝑡1 , 𝑡2 )
∞
𝑅𝑋𝑌 (𝑡1 , 𝑡2 ) = 𝑅𝑋𝑋 (𝑡1 , 𝑡2 − 𝛼)ℎ∗ 𝛼 𝑑𝛼
−∞
∞ ∞
= 𝑅𝑋𝑋 (𝑡1 − {𝑡2 − 𝛼})ℎ∗ 𝛼 𝑑𝛼 = 𝑅𝑋𝑋 (𝑡1 − 𝑡2 + 𝛼)ℎ∗ 𝛼 𝑑𝛼
−∞ −∞
∞
= 𝑅𝑋𝑋 (𝜏 + 𝛼)ℎ∗ 𝛼 𝑑𝛼
−∞
𝑥 𝜏 ℎ 𝑡 + 𝜏 𝑑𝜏 = 𝑥 𝑡 ∗ ℎ −𝑡
𝑹𝑿𝒀 𝝉 = 𝑹𝑿𝑿 𝝉 ∗ 𝒉∗ −𝝉 −−− −(𝟑)
5 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Autocorrelation Function of Output
The autocorrelation function of Y(t) is 𝑅𝑌𝑌 (𝑡1 , 𝑡2 )
∞
𝐸 𝑦 𝑡1 𝑦 ∗ 𝑡2 = 𝐸[ 𝑥 𝑡1 − 𝛽 ℎ 𝛽 𝑑𝛽 . 𝑦 ∗ 𝑡2 ]
−∞
∞ ∞
= 𝐸[𝑥 𝑡1 − 𝛽 𝑦 ∗ 𝑡2 ]ℎ 𝛽 𝑑𝛽 = 𝑅𝑋𝑌 (𝑡1 − 𝛽, 𝑡2 )ℎ 𝛽 𝑑𝛽
−∞ −∞
𝑹𝒀𝒀 𝒕𝟏 , 𝒕𝟐 = 𝑹𝑿𝒀 𝒕𝟏 , 𝒕𝟐 ∗ 𝒉 𝒕𝟏 −−− −(𝟒)
= 𝑹𝑿𝑿 𝒕𝟏 , 𝒕𝟐 ∗ 𝒉∗ 𝒕𝟐 ∗ ℎ 𝑡1
𝑹𝒀𝒀 (𝒕𝟏 , 𝒕𝟐 ) = 𝑹𝑿𝑿 𝒕𝟏 , 𝒕𝟐 ∗ 𝒉∗ 𝒕𝟐 ∗ 𝒉 𝒕𝟏 −−− −(𝟓)
6 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Autocorrelation Function of Output
The autocorrelation function of Y(t) for a WSS input X(t) is 𝑅𝑌𝑌 (𝜏)
𝑅𝑌𝑌 𝑡1 , 𝑡2 = 𝑹𝑿𝒀 𝒕𝟏 , 𝒕𝟐 ∗ 𝒉 𝒕𝟏
∞ ∞
= 𝑅𝑋𝑌 (𝑡1 − 𝑡2 − 𝛽)ℎ 𝛽 𝑑𝛽 = 𝑅𝑋𝑌 (𝜏 − 𝛽)ℎ 𝛽 𝑑𝛽
−∞ −∞
𝑅𝑌𝑌 𝝉 = 𝑹𝑿𝒀 𝝉 ∗ 𝒉 𝝉 −− −(𝟔)
𝑹𝒀𝒀 (𝝉) = 𝑹𝑿𝑿 𝝉 ∗ 𝒉∗ −𝝉 ∗ 𝒉 𝝉 −−− −(𝟕)
Note:
If the input an LTI system is a WSS random process, the output obtained is
also a WSS.
7 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
The Mean Square Value
The mean square value of the output process is
If X(t) is stationary in the wide-sense and α = 𝑡– 𝑡1 and β = 𝑡– 𝑡2
8 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
The Mean Square Value
The average power of the response Y(t) to a stationary input is
9 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Spectral Density at the System Output
The relationship between the power spectral density 𝑆𝑋𝑋 (𝜔) and
the autocorrelation function 𝑅𝑋𝑋 (𝜏)is given by
𝑆𝑋𝑋 𝜔 = 𝐹[𝑅𝑋𝑋 (𝜏)]
𝑅𝑋𝑌 𝜏 = 𝑅𝑋𝑋 𝜏 ∗ ℎ∗ −𝜏
𝑆𝑋𝑌 𝜔 = 𝑅𝑋𝑋 𝜔 . 𝐻 ∗ 𝜔
𝑅𝑌𝑌 (𝜏) = 𝑅𝑋𝑋 𝜏 ∗ ℎ∗ −𝜏 ∗ ℎ 𝜏
𝑆𝑌𝑌 (𝜔) = 𝑆𝑋𝑋 𝜔 . 𝐻 ∗ 𝜔 . 𝐻 𝜔
𝑺𝒀𝒀 (𝝎) = 𝑺𝑿𝑿 𝜔 . 𝑯 𝝎 𝟐 −−− −(𝟖)
10 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
A WSS random process X(t) is applied to the input of an LTI system
whose impulse response is 5𝑡𝑒 −2𝑡 . The mean of X(t) is 3. Find the
mean output of the system.
SOLUTION
The mean value of Y(t)
11 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
A random process X(t) is applied to a linear system whose impulse
response is ℎ 𝑡 = 𝑒 −2𝑡 , 𝑡 ≥ 0.
If ACF of the process is 𝑅𝑋𝑋 𝜏 = 𝑒 − 𝜏 , find the PSD of the output
process Y(t).
SOLUTION
The PSD of the output process is 𝑺𝒀𝒀 (𝝎) = 𝑺𝑿𝑿 𝜔 . 𝑯 𝝎 𝟐
The PSD of the input process is
12 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
13 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
The transfer function of the linear system is
The PSD of the output process is
14 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
The input to an RLC series circuit is a stationary random process
X(t) with E[X(t)] = 2 and 𝑅𝑋𝑋 𝑡 = 4 + 𝑒 −2 𝜏 .
Let Y(t) be the voltage across the capacitor. Find E[Y(t)] and PSD of
Y(t).
15 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
SOLUTION
Applying KVL, we get
Taking Fourier transform on both sides, we get
The voltage across the capacitor
16 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
The PSD of Y(t) is
17 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
18 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
19 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
A random noise process X(t) having power spectrum
is applied to a network for which h(t) = t2e–7tu(t). The network
response is denoted by Y(t).
(a) What is the average power of X(t)?
(b) Find the power spectrum of Y(t).
(c) Find the average power of Y(t).
20 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
SOLUTION
The ACF is given by
We have
21 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
The average power of X(t) is
22 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
The power spectrum of Y(t) is
23 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
The average power of SYY(w) is
∞ ∞
−∞ −∞
24 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
25 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
26 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
A WSS process has the ACF given by
The process is input to the system with the power transfer function
(a) Find the PSD of the output.
(b) If Y(t) is the output of the process, find SXX(w).
27 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
28 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
A random process X(t) is applied to a network with impulse
response h(t) = u(t)te–bt where b > 0 is a constant.
The cross-correlation of X(t) with the output Y(t) is known to have
the same form
𝑅𝑋𝑌 𝜏 = 𝜏𝑒 −𝑏𝜏 𝑢(𝜏)
(a) Find the PSD of Y(t).
(b) Find the auto correlation of Y(t)
(b) What is the average power in Y(t)?
29 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT
Tutorial Example
SOLUTION
30 Dr. R.K.Mugelan, Associate Professor, SENSE, VIT