Direction Finding of Multiple Wide-Band Emitters

Using State Space Modeling

Filiep Vanpoucke - Marc Moonen
ESAT - Katholieke Universiteit Leuven
Kard. Mercierlaan 94, 3001 Heverlee - Belgium
Ed F. Deprettere
Dept. of Electrical Engineering - Delft Univ. of Technology
Mekelweg 4, 2628 CD Delft - The Netherlands

Please send all mailing to:

Filiep Vanpoucke
ESAT, Katholieke Universiteit Leuven
Kardinaal Mercierlaan 94,
3001 Heverlee - Belgium
e-mail: liep.vanpoucke@esat.kuleuven.ac.be

1
List of symbols:
l : time-dierence-of-arrival
l : direction-of-arrival

: inter-element distance
M : number of sensors in a subarray
D : number of wide-band emitters
n : total number of modes
i : number of block rows of Hankel matrices
j : number of columns of Hankel matrices
E (
) : expectation operator
(
) : Kronecker delta
Number of:
pages = 26
tables = 0
gures = 7
Proposed headline:
wide-band direction nding

Keywords:
wide-band high-resolution direction-of-arrival estimation, doublets subspace algorithms,
adaptive SVD, parallel algorithms

2
List of captions

DOA estimation scene: the antenna array consists of 2 identical M -element subarrays,
displaced by the vector
. There are D incident wide-band signals.

Block diagram of the wide-band DOA scene. The Sl boxes represent linear systems, the
l boxes represent delay operators.

A M -dimensional tapped delay line of length i. The boxes represent delay operators.
The triangles denote sensors.

Spectra of sensor outputs. The three right/left peaks correspond to the three sensors
excited by the rst/second emitter.

Ordered TDOA estimates, averaged over 20 runs.

Relation between discrete-time and continuous-time systems

Illustration for positive  of the denition of q and  . The denition also holds for
negative values of  .

3
 Direction Finding of Multiple Wide-Band Emitters
Using State Space Modeling
Filiep Vanpoucke - Marc Moonen
ESAT - Katholieke Universiteit Leuven
Kard. Mercierlaan 94, 3001 Heverlee - Belgium
Ed F. Deprettere
Dept. of Electrical Engineering - Delft Univ. of Technology
Mekelweg 4, 2628 CD Delft - The Netherlands

Abstract
Estimating the angles-of-arrival of wide-band emitters is an important problem in
array processing. This paper introduces a novel method which is applicable if the sensor
array consists of doublets. Furthermore the wide-band signals are modeled as the output
of a linear time-invariant system driven by white noise. The novelty in our approach lies
in the use of state-space descriptions for the sensor outputs. We present two algorithms.
The rst is a simple non-recursive algorithm. The second is a recursive algorithm with
reduced computational complexity. Due to its regular parallel structure this algorithm
is well suited for parallel implementation, e.g., for real-time applications requiring high
throughput.

1 Introduction
Estimating the position of multiple radiating emitters based on sensor array measurements
is an important problem, e.g., in radar or sonar applications. Since the early eighties many
high resolution algorithms have appeared in the literature for the case of narrow-band sig-
nals. Their high resolution stems from a clever exploitation of the low-rank properties of the
narrow-band signal model. However the more dicult direction nding problem for wide-
band emitters is still relatively unexplored. A basic problem is that the sensor outputs are
no longer conned to a low-rank subspace of the observation space.
A natural approach is to reduce the wide-band case to a series of coupled narrow-band prob-
lems. First the signal subspaces are estimated for a nite set of frequencies. Then a generalized

4
narrow-band criterion is applied. Examples of such methods are the unit circle eigendecom-
position rational signal subspace (UCERSS) algorithm of Su and Morf [1], and the coherent
signal subspace (CSS) method of Wang and Kaveh [2]. A disadvantage of these methods is
that they use only the signal power within individual narrow frequency bins. Therefore a
large number of frequency points may be needed for good estimation accuracy. Furthermore
it is unclear how to select these frequencies if no a priori information of the spectral content
of the signals is available.
An attractive alternative is to model the sensor signals as the outputs of a linear system
driven by white noise. The wide-band signals are then decomposed into a nite number of
modes and a narrow-band-like technique is applied to each of the modes. In this way all
signal power can be captured by only a limited number of modes. This type of modeling
is especially attractive when the required model order is low. It was introduced by Su and
Morf in [1], where they extend the concept of signal subspaces from narrow-band to wide-
band signals using vectors of rational functions in the delay operator z ?1 . In fact their modal
decomposition signal subspace (MDSS) algorithm [3] applies the well-known MUSIC criterion
[4] to each of the modes. Therefore, it also inherits the basic disadvantages of this method,
namely full knowledge and storage of the entire array manifold over the entire z-domain is
required and a costly nonlinear optimization procedure has to be performed.
A computationally appealing high-resolution technique for narrow-band sources is the ES-
PRIT algorithm [5]. It assumes a sensor array which consists of two identical subarrays
displaced by a known constant vector, but no other knowledge of the array characteristics is
required. Due to this special structure the global optimization step can be eliminated since
the directions-of-arrival are now computed by using matrix decomposition techniques only.
A generalization of the ESPRIT algorithm to ARMA modeled wide-band signals has been
presented by Ottersten and Kailath in [6]. They develop their algorithm starting again from
the z-domain description. The system poles and corresponding residue matrices are estimated
by means of an overdetermined Yule-Walker method based on a nite number of estimated
output correlation matrices for increasing time lags. However the truncation of the series
of correlation matrices introduces a bias. Furthermore, if the dynamic range of the signals
is considerable, a severe loss of numerical accuracy can occur by explicitly computing the
correlation matrices. Finally, computing the system poles as the roots of a dierential equation
may also be ill-conditioned. A last note is that their method is intrinsically sequential.
In this paper, a novel and numerically fully reliable algorithm is presented, which can be
viewed as a novel generalization of the ESPRIT algorithm from narrow-band to wide-band
emitters. The algorithm works directly on the data, i.e. it is no longer based on z-domain
descriptions. Instead it uses time domain state space models for the wide-band signals. This

5
idea is apparently new in the eld of wide-band DOA estimation. The method shares some
ideas with the recently developed subspace algorithms for system identication [7, 8].
A basic advantage of using time domain descriptions is the fact that recursive and parallel
algorithms are feasible. We will show how our wide-band DOA algorithm can be turned into
an ecient adaptive algorithm which requires only O(n2 ) operations per update, where n is
the size of the problem (see below). This computational complexity is still considerable and
may prevent an on-line implementation when the application dictates high data rates. The
required computing power can be attained by exploiting the ne-grain regular structure of
the algorithm in a parallel implementation.

In section 2 the data model is presented and state space descriptions for the wide-band
signals are introduced. Section 3 is devoted to the novel state space direction nding method.
A non-recursive algorithm is developed. In section 4 this algorithm is turned into an adap-
tive version which is amenable to parallel (systolic) implementation. Section 5 illustrates the
behavior of the algorithm by means of a computer simulation.

2 Data model
Figure 1 shows schematically the wide-band direction nding scene. The sensor array consists
of two identical subarrays which are translates of each other, the translation being over a
known vector of length
. The sensors are pairwise identical (i.e. doublets), but apart
from that their characteristics are unknown. The propagation medium is assumed to be
non-dispersive and homogeneous, with constant propagation speed c. The time-dierence-of-
arrival (TDOA) between the X- and the Y-sensor of a doublet for a signal impinging from
the far eld under an angle l , is given by
 =
: sin(l ) :
l c (1)
The directions-of-arrival (DOA's) l are measured from broadside in counterclockwise direc-
tion. Once the l 's are estimated, the DOA's are easily retrieved from (1).
The block diagram of Figure 2 presents the signal model in more detail. The M  1 vector
wl (t) collects the array observations due to the l-th emitter. These observations are modeled
as the output of a continuous-time linear system Sl of nite order nl driven by an independent
scalar stochastic process vl (t),
Al
zl(t) + |{z}
z_l(t) = |{z} Bl
vl(t) (2)
nl nl nl 1
wl(t) = C

|{z}l lz (t) + Dl
vl(t)
|{z} (3)
M nl M 1

6
where Al ; Bl ; Cl; Dl are the system matrices of the l-th emitter and the nl  1 vector zl (t) is
the state vector of Sl . The assumptions on the stochastic processes vl (t) are that they are
zero-mean and almost white, in the sense that they have a nite correlation time which is
smaller than the sampling period Ts,
E (vl (t)
vl(t +  )) = 0; 8  Ts: (4)
The system Sl is a concatenation of a linear system modeling the l-th emitter and a linear
system modeling the array response, which depends on the angle l . Generically the band-
width of the sensor will be much larger than the bandwidth of the emitter signals. Therefore,
the sensor dynamics will in most cases be negligible or at least clearly separable from the
dynamics of the emitter signals. However this assumption is not crucial for the algorithm
below.
The X-array outputs are collected in the M  1 vector
X
D
x(t) = wl (t) + nx (t); (5)
l=1
where D is the total number of emitters and the vector nx (t) adds independent white mea-
surement noise, uncorrelated with the emitter signals. The full state space model for x(t) is
as follows
2 3 2 3
6 A1 0 0 7 6 B 1 0 0 7
z_(t) = 664 0 . . . 0 775
z(t) + 664 0 . . . 0 775
v(t) (6)
0 0 AD 0 0 BD
| {z } | {z }
h A i h B i
x(t) = C1 : : : CD
z(t) + D1 : : : DD
v(t) + nx (t); (7)
| {z } | {z }
C D
with obvious denitions for z (t) and v (t)
h iT
z(t) = z1 (t)T


zD (t)T (8)
h iT
v(t) = v1 (t)


vD (t) : (9)
The global system matrix A is thus a block diagonal matrix of dimension n = Dl=1 nl .
P
Note that is most cases A can be transformed to diagonal form by a change of base in state
space. Only when there are eigenvalues with multiplicity > 1, this diagonalization may not
be possible.
The expression for the observations made by the Y-array, is given by
X
D
y(t) = wl(t ? l ) + ny (t): (10)
l=1

7
Here l can be any real number in the range
?
  
:
c l c
Now dene a time t0  t, s.t. t0  t ? l for 1  l  D. Then the state zl (t ? l ) can be
written as the sum of a term due to the state zl (t0 ) and a term due to the inputs from time
t0 on:
Z t?l
zl(t ? l ) = eAl (t?t0?l)
zl (t0) + eAl (t?l?)
Bl
vl ()
d:
t0
This expansion leads to the following equation for y (t)
2 A (t?t ) 3 2 ?A  3
66 e 0 0 77 66 e 0 0 77
1 0 1 1

y(t) = C
64 0 ... 0 75
64 0 . .. 0 75
z(t0)

0 0 e D t?t )
A ( 0
0 ?
0 e D D
A
| {z }| {z }
eA(t?t0 ) 
+ fy (t0 ; t) + ny (t); (11)
where fy (t0 ; t) is a term summing the input contributions
D Z t?l
X
fy (t0 ; t) = hl (t ? l ? )
vl()
d;
l=1 t0
and hl (t) is the impulse response of the l-th system
hl(t) = Cl
eAl t
Bl ; t>0
= Dl t = 0:
A similar expression for x(t) is easily obtained
x(t) = C
eA(t?t )
z(t0 ) + fx (t0; t) + nx(t):
0
(12)
where
D Zt
X
fx(t0 ; t) = hl (t ? )
vl()
d:
l=1 t0
Comparing (11) and (12) we see that the terms due to the state at time t0 , only dier in the
occurrence of a matrix . This mathematical property is due to the doublet structure of the
antenna. Since the X- and the Y-array are identical, they share the same system matrices.
The TDOA's are only visible in the exponent of the block components of , re ecting the
exponential decay of the state z (t0 ). This observation will be exploited in the next section.

8
3 State space direction finding
In this section we show how the TDOA's can be estimated as a function of the corresponding
generalized eigenvalues of two related matrix pencils. Each matrix pencil can be viewed as a
generalization of a narrow-band ESPRIT pencil. The rst pencil exploits a shift-in-time to
estimate the modes present in the X-sensor outputs. Its generalized eigenvalues k are given
as k = epl Ts , where the pl 's are the poles of the continuous-time system. The second pencil
exploits the shift-in-space between the X- and Y-arrays. Here the generalized eigenvalues 
are given as k = e?pl l .

3.1 Input-output equations

In the sequel we will make extensive use of block Hankel matrices, consisting of sampled data
xk = x(k:Ts), e.g.
2 3
66 xk xk+1


xk+j?1 77
6 xk+1 xk+2


xk+j 77
= 66 ..
Xkjk+i?1 def .. 77 : (13)
| {z } 64 . . 5
Mij
xk+i?1 xk+i


xk+i+j?2
The subscripts in the above denition indicate the discrete-time indices of the rst and last
sample in the rst column. We can think of a column of Xkjk+i?1 as the output at a certain
time instant of a set of M delay lines of length i connected to the outputs of the X-array.
This point of view is illustrated in Figure 3. It will turn out that the parameters i and j
must be chosen such that Mi > n and j  Mi. In practice this choice is not trivial since in
general the total number of modes n is unknown. However in this paper the assumption is
made that i has already been properly determined.
Such block Hankel matrices, formed with the sensor outputs, can be written as a linear
combination of a state matrix and an input matrix (plus noise terms). This is a generalization
of the state space equations (6,7). Dene an integer q  0 such that q:Ts  l for l = 1;


; D.
The following important expressions for Xq+ijq+2i?1 ; Xq+i+1jq+2i and Yq+ijq+2i?1 are trivially
obtained by repeated substitution of (6,7) in (11,12) (see e.g. [7])
Xq+ijq+2i?1 = ?i
(eATs )q
Zi + Fx;(i;q) + Nx;q+ijq+2i?1 (14)
Xq+i+1jq+2i = ?i
(eATs )q+1
Zi + Fx;(i;q+1) + Nx;q+i+1jq+2i (15)
Yq+ijq+2i?1 = ?i

(eATs )q
Zi + Fy;(i;q) + Ny;q+ijq+2i?1 (16)
where ?i is the extended observability matrix
def h T i
T


(CAi?1)T T ;
?
|{z}
i = C (CA)
Min

9
the matrix Zi contains a state sequence
h i
Zi def
|{z} = zi zi+1


zi+j ?1 ;
nj
the Mi  j matrices F?;(i;q) have as (k; l)-th entry
F?;(i;q)(k; l) = f?((i + l ? 1)Ts; (i + q + k + l ? 2)Ts)
and the block Hankel matrices N?;kjk+i?1 are dened as in expression (13).

3.2 Signal subspaces

It is interesting to compare the rst terms, due to the states Zi , in expressions (14,15,16)
with the narrow-band ESPRIT data model given as
X = F
S
Y = |{z}
|{z}
|{z}
F
|{z} S :
M j M D DD Dj
Here X and Y are data matrices containing the sensor outputs, F is the array gain matrix,
S is the matrix containing the base band samples of the D narrow-band emitters and is a
diagonal matrix with ii = exp( j!
sin(
c
i ) ). In the wide-band case the extended observability
matrix ?i plays the role of the narrow-band array gain matrix F , the state sequence Zi re-
places the narrow-band emitter data matrix S and the block diagonal matrix  replaces the
diagonal matrix . The number of narrow-band emitters D is now substituted by the total
number of modes n.

To obtain completely similar wide-band equations, we eliminate the measurement noise in

(14,15,16), as well as the terms due to the inputs from time i:Ts on, by projecting these
matrices onto the row space of the past observations matrix X0ji?1.
Xqp+ijq+2i?1 def
= Xq+ijq+2i?1 =X0ji?1 (17)
Xqp+i+1jq+2i def
= Xq+i+1jq+2i =X0ji?1 (18)
Yqp+ijq+2i?1 def
= Yq+ijq+2i?1 =X0ji?1 (19)
where A=B is shorthand ([8]) for
A=B = 1 AB T (BB T )?1 B:
j
The input-output equation for X0ji?1 is
X0ji?1 = ?i
Z0 + Fx;(0;0) + Nx;0ji?1:
10
Under the assumption that the inputs and the measurement noise are independent zero-mean
(almost) white stochastic processes, and that current states are uncorrelated with current and
later inputs, we have
2 3 2 3
66 Zi 77 0
66 ? ?
7
66 Fx;(i;q) 77 0 77
66 0 0
7
1 66 Fx;(i;q+1) 77 h T T i 6 0 77
lim
j !1 j 6
6 77
Z0 Fx;(0;0) Nx;T 0ji?1 = 666 0 0
7 (20)
66 Fy;(i;q) 77 0 77
66 0 0
64 Nx;q+ijq+2i 75 764 0 0
0 75
Ny;q+ijq+2i?1 0 0 0
where the ?'s denote non-zero matrices and the 0's denote zero matrices of appropriate di-
mension. A proof can be found in appendix A.
Asymptotically only the rst terms in the projection are retained
2 p 3 2 3
66 Xqp+ijq+2i?1 77 66 ?i AT 77
64 Xq+i+1jq+2i 75 = 64 ?i
e s 75
|{z}
G (21)
Yqp+ijq+2i?1 ?i
 nj
| {z } | {z }
3Mij 3Min
where G = (eATS )q
Zi =X0ji?1.
The asymptotic equations clearly resemble the basic ESPRIT equations in the narrow-band
case, except that now eATs and  may be block diagonal instead of diagonal matrices. After
projection, the three matrices have a common column space of dimension n - the signal
subspace - R(?i ), and a common row space - the source subspace - R(GT ), where R(Q)
denotes the range of a matrix Q. To reconstruct the signal subspace, it is clearly necessary
that M:i  n (as mentioned earlier).

3.3 Estimating the TDOA's

The nal operation towards estimating the l's is the computation of the non-zero generalized
eigenvalues of the following two low-rank matrix pencils
Xqp+i+1jq+2i ? :Xqp+ijq+2i?1 = ?i
(eATs ? :I )
G (22)
Yqp+ijq+2i?1 ? :Xqp+ijq+2i?1 = ?i
( ? :I )
G (23)
Given the eigenvalues  = epTs and  = e?pl corresponding to the same pole p of A, the
time-dierence-of-arrival l of source l can nally be computed as
ln  :
l = ?Ts
ln (24)


11
The only problem left is how to match the generalized eigenvalues of the two matrix pencils.
Fortunately the transformations which diagonalize matrix pencil (22) will also diagonalize
(23). This is due to the fact that the l-th block entries of  and eATs are related by
l = e?Al l = (eAl Ts )?l =Ts = (eATs )l?l =Ts
and their eigenvectors are the same
(eATs )l = Ql
l
Q?l 1
l = Ql
l?l =Ts
Q?l 1:
| {z }
Ml
Therefore if the eigentransformations computed from one of the pencils, are applied to
the other, the k-th eigenvalues k and k will both correspond to the same pole p of the
continuous-time system.
In the practical case where the projection is not done with innite horizon (j is a nite
number), the measurement noise and inputs are not annihilated perfectly. All three matrices
Xqp+i+1jq+2i ; Xqp+ijq+2i?1 and Yqp+ijq+2i?1 are then noisy and (generically) have full rank Mi.
The low-rank property must then be imposed by solving the following optimization problem.
Find the matrices F and G of dimension Mi  n and n  j resp., and the diagonal n  n
matrices D1 and D2 which minimize the Frobenius norm of
2 p 3 2 3
66 Xqp+ijq+2i?177 66 F 77
64 Xq+i+1jq+2i 75 ? 64 F
D1 75
G:
p
Yq+ijq+2i?1 F
D2
Because of the structure in the low-rank matrices this minimization problem is not solvable
in terms of a singular value decomposition, but requires a non-linear optimization procedure.
Algorithms that solve a similar so-called \Multiple Invariance ESPRIT" narrow-band prob-
lem, have been proposed in [10]. In [11] suboptimal algorithms are given which only use
matrix decompositions to yield an approximate solution.

3.4 Basic algorithm

The aim of this paper is not to develop the best possible algorithm in terms of robustness
and noise rejection, but to develop an algorithm which can also be implemented recursively
and which is amenable to parallel implementation.

12
A rst concern is to avoid the squaring of data when computing the projection of the block
Hankel data matrices, because of the potential loss of numerical accuracy. The appropriate
mathematical tool is the QR-decomposition of X0ji?1
R
|{z}
X0ji?1 = |{z} Q ; (25)
MiMi Mij
where R is lower triangular matrix and Q
QT = I . The projection onto the row space of
X0ji?1 can then be done in a numerically reliable manner by means of the matrix Q, nl.
A=X0ji?1 = A
QT
Q:
The common factor Q may be left out, leading to
Xqr+ijq+2i?1 = Xq+ijq+2i?1
QT
Xqr+i+1jq+2i = Xq+i+1jq+2i
QT
Yqr+ijq+2i?1 = Yq+ijq+2i?1
QT
The second step in the algorithm is the estimation of the signal subspace R(?i ). It is well
known that in the case of white Gaussian perturbations on the matrix entries, this signal
subspace can be estimated as the space spanned by the n left singular vectors, corresponding
to the n largest singular values of the matrix. The singular value decomposition (SVD) of
Xqr+ijq+2i?1 is dened as
Xqr+ijq+2i?1 = U

V T
| {z }
MiMi
2 3 2 3
" s
# 66 |{z} 77 66 VsT
|{z} 77
= Us
|{z} Un
|{z}
66 nn 77
66 nMi 77
Min Mi(Mi?n) 4 n
|{z} 5 4 VnT
|{z} 5
(Mi?n)(Mi?n) (Mi?n)Mi
where U T
U = I , V T
V = I and  is a diagonal matrix. Alternatively, the estimate of the
signal subspace may be rened by truncating the SVD of the Mi  3Mi matrix
h i
Xqr+ijq+2i?1 Xqr+i+1jq+2i Yqr+ijq+2i?1
at the cost of additional computation. The accuracy improvement will depend on the noise
level. The estimated signal subspaces are then used to compress the dimensions of the matrices
from Mi  Mi to n  n
Xqc+ijq+2i?1 = UsT
Xqr+ijq+2i?1
Vs:
The compressed matrices Xqc+i+1jq+2i?1 and Yqc+ijq+2i?1 are dened in a similar fashion.

13
The third step is the computation of the generalized eigenvalues of the matrix pencils (22,23).
These can also be calculated using orthogonal transformations only by means of the general-
ized Schur decompositions [12] of the n  n compressed matrices
Xqc+i+1jq+2i ? :Xqc+ijq+2i?1 = Z
(Tq+i+1jq+2i ? :Tq+ijq+2i?1)
W T
Yqc+ijq+2i?1 ? :Xqc+ijq+2i?1 = Z
(Sq+ijq+2i?1 ? :Tq+ijq+2i?1 )
W T
where again Z T
Z = I and W T
W = I but now the n  n matrices Tq+i+1jq+2i ; Tq+ijq+2i?1
and Sq+ijq+2i?1 are upper triangular. The generalized eigenvalues are then the ratio's of the
diagonal entries of Tq+i+1jq+2i and Tq+ijq+2i?1 and of Sq+ijq+2i?1 and Tq+ijq+2i?1 respectively.
The nal non-recursive algorithm is given below.

Algorithm 1: Non-recursive wide-band direction finding

Step 1: QR decomposition

| {z } MiRMi
|{z}
X0ji?1 = |{z} Q
Mij
Mij
Step 2: Projection
Xqr+ijq+2i?1 = Xq+ijq+2i?1
QT
Xqr+i+1jq+2i = Xq+i+1jq+2i
QT
Yqr+ijq+2i?1 = Yq+ijq+2i?1
QT
| {z }
MiMi
Step 3: Signal subspace estimation
2 3 2 T3
h i
Xqr+ijq+2i?1 = Us Un
4 s 5
4 VsT 5
n Vn
Step 4: Row and column compression
Xqc+ijq+2i?1 = UsT
Xqr+ijq+2i?1
Vs(= s)
Xqc+i+1jq+2i = UsT
Xqr+i+1jq+2i
Vs
UsT
Xqr+ijq+2i?1
|{z}
Yqc+ijq+2i?1 = |{z} Vs
| {z } nMi Min
nn
Step 5: Generalized Schur decomposition
Tq+ijq+2i?1 = Z T
Xqc+ijq+2i?1
W
Tq+i+1jq+2i = Z T
Xqc+i+1jq+2i
W
Sq+ijq+2i?1 = Z T
Yqc+ijq+2i?1
W

14
 Step 6: Estimation of ;  and 
For l = 1; : : :; n
T (l; l)
k;l = Tq+i+1jq+2i (l; l)
q+ijq+2i?1
Sq+ijq+2i?1 (l; l)
k;l = T
q+ijq+2i?1(l; l)
ln k;l
k;l = ?Ts ln k;l
End

In addition to numerical accuracy, the exclusive use of orthogonal matrix decompositions has
yet another important benet. Orthogonal operators can be decomposed into sequences of
elementary 2  2 rotations. This property will be exploited in the next section to develop a
highly parallel adaptive wide-band direction nding algorithm.

4 Parallel and adaptive wide-band direction finding

In real-time applications new columns are continuously appended to the data matrices X0ji?1,
Xq+ijq+2i?1 , Xq+ijq+2i and Yq+ijq+2i?1 , e.g.
h i
X0[kji]?1 = 
X0[kji??1]1 xkjk+i?1 :
In this recursive denition   1 is a exponential weighting factor. The aim is to track the
estimates of the TDOA's at each sampling instant.
The algorithm below is a recursive algorithm which approximately tracks the TDOA's. It has
only an O(M 2 i2) computational complexity per update. Moreover the algorithm is suited for
implementation on a systolic array. With O(M 2 i2) processors, this array produces estimates
of the TDOA's at sampling rate. The algorithm is closely related and structurally equivalent
to the adaptive and parallel narrow-band ESPRIT algorithm, described in [13]. Here we only
present an outline of the algorithm. For full details and the systolic array implementation we
refer to the narrow-band algorithm in [13].
The algorithm tracks the following decomposition of the data matrices
X0ji?1 = U
R
V T
Xqr+ijq+2i?1 = Z
Tq+ijq+2i?1
V T
Xqr+i+1jq+2i = Z
Tq+i+1jq+2i
V T
Yqr+ijq+2i?1 = Z
Sq+ijq+2i?1
V T
15
where the Mi  Mi matrices U and Z are orthogonal (U T
U = Z T
Z = IMiMi ), the
j  Mi matrix V has orthogonal columns (V T
V = IMiMi ), R is lower triangular, and the
matrices Tq+ijq+2i?1 ; Tq+i+1jq+2i and Sq+ijq+2i?1 are in principle lower triangular. However
due to noise or nite sampling eects small elements may appear above the diagonal.
The structure of the wide-band direction nding algorithm is identical to that of the Jacobi-
type approximate SVD updating algorithm of Moonen et al. [14]. The algorithm uses se-
quences of two-sided 2  2 rotations. In step 1 the incoming data are multiplied with the
matrices U and Z respectively. Step 2 updates the QR decomposition of X0ji?1 . An or-
thogonal operator Q is computed such that x~k?q?ijk?q?1 is 'rotated' into the matrix R. To
update the projection (see Algorithm 1), this transformation is also applied onto the remaining
data. In step 3 sequences of rotations are applied to update the SVD/GSD decompositions.
A rotation acting on rows (or columns) l; l + 1 is denoted by P[l;l+1]. This matrix diers
only from the identity matrix at four entries. P[l;l+1](l; l) = P[l;l+1] (l + 1; l + 1) = c and
P[l;l+1] (l; l + 1) = ?P[l;l+1] (l + 1; l) = s where c2 + s2 = 1. Details on how to compute c and
s are given in [13]. The number of applied rotations (here Mi ? 1) is a compromise between
accuracy and computational complexity, see [14]. Finally in step 4 the TDOA's are estimated
based on the current diagonal entries.

Algorithm 2: Recursive and parallel wide-band direction finding

R ? OMiMi
Tq+ijq+2i?1 ? OMiMi
Tq+i+1jq+2i ? OMiMi
Sq+ijq+2i?1 ? OMiMi
U ? IMiMi
Z ? IMiMi

For k = q + i;


; 1
1. Matrix-vector multiplications
x~Tk?q?ijk?q?1 ? xTk?q?ijk?q?1
U
x~Tkjk+i?1 ? xTkjk+i?1
Z
x~Tk+1jk+i ? xTk+1jk+i
Z
y~kTjk+i?1 ? ykTjk+i?1
Z

16
 2. QR updating
2 T T T T
3
R T T S
4 T q+ijq+2i?1 q+i+1jq+2i q+ijq+2i?1 5 ?



0 ? ? ?
2 3
RT TqT+ijq+2i?1 TqT+i+1jq+2i SqT+ijq+2i?1 5



Q
4
x~Tk?q?ijk?q?1 x~Tkjk+i?1 x~Tk+1jk+i y~kTjk+i?1
3. SVD/GSD steps
For l = 1;


; Mi ? 1
R ? U[Tl;l+1]
R
V[l;l+1]
Tq+ijq+2i?1 ? Z[Tl;l+1]
Tq+ijq+2i?1
V[l;l+1]
Tq+i+1jq+2i ? Z[Tl;l+1]
Tq+i+1jq+2i
V[l;l+1]
Sq+ijq+2i?1 ? Z[Tl;l+1]
Sq+ijq+2i?1
V[l;l+1]
U ? U
U[l;l+1]
Z ? Z
Z[l;l+1]
End
4. Compute estimates
For l = 1;


; n
ln T (l; l) ? ln T (l; l)
l ? ?Ts ln Sq+i+1jq+2i (l; l) ? ln Tq+ijq+2i?1 (l; l)
q+ijq+2i?1 q+ijq+2i?1
End
End

5 A tracking experiment
Many parameters of the algorithm and the set-up, such as the number and location of the
poles, in uence the estimation accuracy of the TDOA's. These detailed comparisons will be
the topic of future research. Here the aim of this section is merely to illustrate the tracking
behavior of the adaptive algorithm by means of a computer simulation in a time-varying
environment.
In the simulation an antenna array with 3 arbitrary doublets is used. The interelement
distance is taken to be
= c:Ts, such that all TDOA's are smaller than one sampling period.

17
We assume two wide-band emitters are present. The antenna signals have been generated
according to the discrete-time data model of appendix B with the following system matrices.
2 3 2 3
66 ? 0:1563 0:8863 0 0
7 66 1:0 0
7
6 ? 0:8863 ?0:1563 0 0 77 6 0:8 0 77
A = 66 7 B = 66 7
4 0 0 0:1563 ?0:8863 75 4 0 ?0:6 75
0 0 ?0:8863 0:1563 0 ?1:2
2 3 2 3
6 0:4 0:2 0:45 0 :25 7 6 0 0 7
C = 664 0:35 0:3 0:1 0:5 775 D = 664 0 0 775
?0:3 0:4 ?0:3 0:5 0 0
The spectra of the antenna outputs are shown in Figure 4. There is a clear overlap of the
spectra. Each wide-band emitter has a second-order model with poles p1 = ?0:1563  i0:8863
and p2 = 0:1563  i0:8863 respectively. The signal-to-noise ratio at the antenna elements is
for both emitters 17 dB.
The parameters of the adaptive algorithm are selected as follows. The number of block rows
in the Hankel matrices is set to i = 3. The exponential weighting factor  is set to 0:992 as
a compromise between tracking speed and smoothness of the estimates.
The true evolution of the TDOA's of the two wide-band emitters is shown in Figure 5
(dashed line). At rst the TDOA's are 0:4Ts and 0:6Ts. This corresponds to angles-of-arrival
of 23.5 deg and 36.8 deg. From time k = 300 to k = 500 the TDOA's linearly evolve towards
their nal values 0:8Ts and 0:2Ts respectively. The delay parameter q is set to q = 1.
The estimated TDOA's, averaged over 20 runs, are given by the dotted lines. In the beginning
the estimates behave wildly, since the algorithm has not yet converged. From time k = 100
on, the separation between signal and noise subspace has been properly accomplished and
the estimates converge towards the true values. However a small bias remains visible.
From k = 300 on, the algorithm tries to track the change in its environment. It lags behind
and evolves exponentially towards the new TDOA's. A smaller weighting factor  would
result in faster tracking at the cost of more variance in the estimates during time-invariant
periods.
When the two emitters cross, the algorithm does not break down, since their poles are dier-
ent. The small gap where the curves should cross, is due to the fact that the ordered estimates
are averaged. In each individual experiment this gap was absent.

6 Conclusion
The contribution of this paper is threefold. First a state-space model for a class of wide-
band direction nding problems was presented. The model relies on two assumptions: the
18
sensor array consists of two identical but translated subarrays, and the wide-band signals are
generated by a linear system driven by white noise signals.
Secondly it was shown that the data model exhibits a multiple invariance structure. Solving
such a structured estimation problem requires in general non-linear optimization techniques.
A simple algorithm was presented for estimating the time-dierences-of-arrival. The algorithm
estimates the generalized eigenvalues of two related matrix pencils by means of numerically
robust orthogonal transformations.
Finally an adaptive algorithm was derived. The computational complexity of the algorithm
is low, namely O(M 2 i2). This algorithm is also amenable to parallel implementation because
of its ne-grain regular structure. A simulation showed that the algorithm is able to track
scenes in which the locations of the emitters are slowly time-varying.

Appendix A: Proof of the projection properties

P
Assuming ergodicity, the operator lim j !1 1j j1 (
) converges w.p.1 towards the expectation
operator E (
). Many of the properties in (20) are straightforward to proof. Below we proof
the orthogonality of the input matrices.
lim (F
F T )(k; l) =



j !1 y;(i;q) x;(0;0)
X j
= jlim
!1 m=1 y
f ((i + m ? 1)Ts; (i + q + k + m ? 2)Ts)
fxT ((m ? 1)Ts; (m + l ? 2)Ts)
= E (fy (iTs ; (i + q + k ? 1)Ts)
fxT (0; (l ? 1)Ts))
"XD Z (i+q+k?1)Ts ?m #
= E( hm((i + q + k ? 1)Ts ? m ? )
vm()d

m=1 iTs
"X D Z (l?1)Ts #T
hn((l ? 1)Ts ? )
vn ()d )
n=1 0 0 1
XD XD Z (i+q+k?1)Ts ?m Z (l?1)Ts
= d d B
@ hm (
) E
| )
vnT ( ))} hn (
)T C
(vm({z A
m=1 n=1 iTs 0
0
The fact that E (vm( )
vnT ( )) = 0 follows from the independence of the driving stochastic
processes if m 6= n, and from the following inequality chain if m = n
0    (l ? 1)Ts  (i ? 1)Ts < iTs  
and the assumption that the maximal correlation time of all driving noises vm (t) is smaller
than the sampling period (4).

19
Appendix B: A discrete-time model
In section 2 we derived a state-space model in continuous-time. However it is often useful
to work immediately with a state-space model in discrete time, e.g. for simulation purposes.
The sampled sensor outputs are then directly modeled as
zk+1 = A
zk + B
vk
xk = C
zk + D
vk + nx;k ;
where A; B; C; D are the system matrices in discrete-time and vk is a zero-mean white noise
sequence with independent components.
The Y-observations are given by
X
D
0 + ny;k
yk = wl;k
l=1
0 = wl (k:Ts ? l ). Since l is in general not an integer multiple of Ts , an interpolation
where wl;k
model is needed. Here we give a time description of the interpolation model of [9], which is
equivalent to the impulse invariance method for digital lter design.
Figure 6 shows a causal stable discrete-time system S and its original continuous-time coun-
terpart Sc . The impulse response in discrete-time is given by
hk = C
Ak?1
B; k = 1; 2;



= D; k=0
and in continuous time system by
h(t) = Cc
eAc
t
Bc ; t>0
= Dc ; t = 0:
If both systems are driven by the same input (v for the discrete time system S and v (t) =
P1 v
(t ? k
T ) for the continuous system S k), their outputs at multiples of the sampling
k=0 k s c
period Ts are equal provided that their impulse responses satisfy the interpolation conditions
hk = h(k
Ts) k = 0; 1; 2;



A set of system matrices satisfying this impulse invariance conditions is
A = eAc
Ts ; B = eAc
Ts
Bc ; C = Cc; D = Dc :
At time instant t = (k +  ):Ts with 0 <  < 1, the output of Sc is the sum of a term due to
the state at t = k:Ts and an integral term due to the inputs from k:Ts till t. For impulsive

20
inputs this integral vanishes.
Z (k+):Ts
w((k + ):Ts) = Cc
eAc
Ts

z(k:T s) + (Cc
eAc
((k+):Ts? )
Bc )
v ( )d
k:Ts
+

= C
A
zk + 0:
Dene q = d=Ts e and  = q ? =Ts , where dre denotes the rst integer greater or equal to r.
This denition holds for positive as well as negative  's and is illustrated in Figure 7. The
integer number q is the dierence in sampling periods between the current time index k and
the sampling instant just before time t ?  . The real number  (0   < 1) accounts for the
fraction of Ts between k:Ts ?  and (k ? q ):Ts.
With these denitions the delayed output wk0 can be written in terms of the system matrices
and the state as follows
wk0 = w(k:Ts ?  ) = C
A
zk?q + ()
D
vk?q
| ?{z=Ts}
zk?q + ()
D
vk?q :
= C
Aq
A

The Y-sensor outputs at time k are then given by
2 q 3 2 32 3
h A
i 66 1 . 0 1
0 77 66 1 .0 0 77 66 z1;k.?q
1
77
yk = C1 : : : CD
64 0 . . 0 75
64 0 . . 0 75
64 .. 75 +



0 0 AqDD 0 0 D z
| {z } D;k?qD
2 3 
h i 66 v1;k.?q 1
77
(1 )D1


(D)DD
64 .. 75 + ny;k :
vD;k?qD
The time indices for the states may be dierent in this expression. This can be avoided by
making use of the following expansion for the state zl;k?ql
2 3
h i 6 vl;k?q 77
zl;k?ql = Aql ?ql
zl;k?q + Alq?ql ?1 Bl


B
664 ... 75;
| {z }

l;q?ql v
| l;k?{zql ?1 }
vl;k?qjk?ql ?1
which is valid on the condition that q  maxl (ql ). If we dene r = minl (ql ), the nal
expression for yk is
2 3
0
66 vk.?q 77
yk = C
A

zk?q + C

q?r
64 ..
q 75 +ny;k ;
v
| k?{zr?1 }
vk?qjk?r?1

21
where the entries of
0q?r are zero,  (l)Dl or of the type Aml
Bl with m (0  m < q ? r) an
integer.

Acknowledgments
This research was partially sponsored by ESPRIT Basic Research Action No. 6632. Filiep
Vanpoucke is a research assistant with the Belgian N.F.W.O. (National Fund for Scientic
Research).

References
[1] G. Su, M. Morf, \The signal subspace approach for multiple wide-band emitter location",
IEEE Trans. on ASSP, Vol. 31, No. 6, December 1983 ,pp. 1502-1521.
[2] H. Wang, M. Kaveh, \Coherent signal-subspace processing for the detection and estima-
tion of angles of arrival of multiple wide-band sources", IEEE Trans. on ASSP, Vol. 33,
No. 4, August 1985, pp. 823-831.
[3] G. Su, M. Morf, \Modal decomposition Signal Subspace algorithms", IEEE Trans. on
ASSP, Vol. 34, No. 3, June 1986, pp. 585-602.
[4] R.O. Schmidt \Multiple emitter location and signal parameter estimation", IEEE Trans.
on AP, Vol. 34, March 1986, pp. 276-280.
[5] R. Roy, T. Kailath, \ESPRIT - Estimation of signal parameters via rotational invariance
techniques", IEEE Trans. on ASSP, Vol. 37, No. 7, July 1989, pp. 984-995.
[6] B. Ottersten, T. Kailath, \Direction-of-arrival estimation for wide-band signals using the
ESPRIT algorithm", IEEE Trans. on ASSP, Vol.38, February 1990, pp. 317-327.
[7] M. Moonen, B. De Moor, L. Vandenberghe, J. Vandewalle, \On- and o-line identication
of linear state-space models", Int. Journal of Control, Vol. 49, No. 1, 1989, pp. 219-232.
[8] P. Van Overschee, B. De Moor, \N4SID: Subspace algorithms for the identication of
combined deterministic-stochastic systems", To appear in Automatica, special issue on
Statistical Signal Processing and Control, pp. 40.
[9] A. Nehorai, G. Su, M. Morf, \Estimation of Time Dierences of Arrival by Pole Decom-
position", IEEE Trans. on ASSP, Vol.31, No. 6, December 1983, pp. 317-327.
[10] A.L. Swindlehurst, B. Ottersten, R. Roy, T. Kailath, \Multiple invariance ESPRIT",
Trans. on SP, Vol. 40, No. 4, April 1992, pp. 867-881.

22
[11] A.-J. van der Veen, P.B. Ober, E.F. Deprettere, \Azimuth and elevation computation
in high resolution DOA estimation", IEEE Trans. on ASSP, Vol. 40, July 1992, pp.
1828-1832.
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Schur form of a regular pencil", J. Comp. Appl. Math., Vol. 27, 1989, pp. 17-36.
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23
 s1(t) sD (t)

D
1

XM YM
X1 Y1

X2 Y2
Figure 1: DOA estimation scene: the antenna array consists of 2 identical M -element subar-
rays, displaced by the vector
. There are D incident wide-band signals.
nx (t)
x(t) M + w1(t) M S1 1 v1(t)

w2(t) M 1 v2(t)
S2

wD (t) M
ny (t) SD 1 vD (t)
y(t) M + 1
2

D

Figure 2: Block diagram of the wide-band DOA scene. The Sl boxes represent linear systems,
the l boxes represent delay operators.

24
 X1
X2
..
.
XM

xk?i+1


xk?2 xk?1 xk

Figure 3: A M -dimensional tapped delay line of length i. The boxes represent delay operators.
The triangles denote sensors.

10
2 Bode plot

1
10
kH (f )k2

0
10

-1
10

-2
10

normalized frequency f
0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5

Figure 4: Spectra of sensor outputs. The three right/left peaks correspond to the three
sensors excited by the rst/second emitter.

25
 1
TDOA tracking
0.9

0.8
average TDOA estimates
0.7

0.6

0.5

0.4

0.3

0.2

0.1

0
0 100 200 300 400 500 600 700
time index k

Figure 5: Ordered TDOA estimates, averaged over 20 runs.

vk wk
S
Ts

Sc
v(t) = P1
k=0 vk : (t ? k:Ts ) w(t)

Figure 6: Relation between discrete-time and continuous-time systems

:Ts

(k ? q ):Ts (k ? q + 1):Ts


k:Ts time

k:Ts ? 
Figure 7: Illustration for positive  of the denition of q and  . The denition also holds for
negative values of  .

26