Created
December 24, 2014 21:31
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This version of ntf_fir_from_q0 passes the unit tests.
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def ntf_fir_from_q0(q0, H_inf=1.5, normalize="auto", **options): | |
""" | |
Synthesize FIR NTF from quadratic form expressing noise weighting. | |
Parameters | |
---------- | |
q0 : ndarray | |
first row of the Toeplitz symmetric matrix defining the quadratic form | |
H_inf : real, optional | |
Max peak NTF gain, defaults to 1.5, used to enforce the Lee criterion | |
normalize : string or real, optional | |
Normalization to apply to the quadratic form used in the NTF | |
selection. Defaults to 'auto' which means setting the top left entry | |
in the matrix Q defining the quadratic form to 1. | |
Returns | |
------- | |
ntf : ndarray | |
FIR NTF in zpk form | |
Other parameters | |
---------------- | |
show_progress : bool, optional | |
provide extended output, default is True | |
fix_pos : bool, optional | |
fix quadratic form for positive definiteness. Numerical noise | |
may make it not positive definite leading to errors. Default is True | |
cvxopt_xxx : various type, optional | |
Parameters prefixed by ``cvxopt_`` are passed to the ``cvxopt`` | |
optimizer. Allowed options are: | |
``cvxopt_maxiters`` | |
Maximum number of iterations (defaults to 100) | |
``cvxopt_abstol`` | |
Absolute accuracy (defaults to 1e-7) | |
``cvxopt_reltol`` | |
Relative accuracy (defaults to 1e-6) | |
``cvxopt_feastol`` | |
Tolerance for feasibility conditions (dtimeefaults to 1e-6) | |
Do not use other options since they could break ``cvxpy`` in | |
unexpected ways. Defaults can be set by changing the function | |
``default_options`` attribute. | |
See Also | |
-------- | |
Check the documentation of ``cvxopt`` for further information. | |
""" | |
# Manage optional parameters | |
opts = ntf_fir_from_q0.default_options.copy() | |
opts.update(options) | |
o = split_options(opts, ['cvxopt_'], ['show_progress', 'fix_pos']) | |
# Do the computation | |
order = q0.shape[0]-1 | |
if normalize == 'auto': | |
q0 = q0/q0[0] | |
elif normalize is not None: | |
q0 = q0*normalize | |
Q = la.toeplitz(q0) | |
d, v = np.linalg.eigh(Q) | |
if o.get('fix_pos', True): | |
d = d/np.max(d) | |
d[d < 0] = 0. | |
qs = np.matrix(mdot(v, np.diag(np.sqrt(d)), np.linalg.inv(v))) | |
br = cvx.Variable(order, 1, name='br') | |
b = cvx.vstack(1, br) | |
target = cvx.Minimize(cvx.norm2(qs*b)) | |
X = cvx.Semidef(order, name='X') | |
A = np.matrix(np.eye(order, order, 1)) | |
B = np.vstack((np.zeros((order-1, 1)), 1.)) | |
C = br[::-1].T | |
D = np.matrix(1.) | |
M1 = A.T*X | |
M2 = M1*B | |
dim = X.size[1] + M2.size[1] + C.T.size[1] | |
M = cvx.vstack( | |
cvx.hstack(M1*A-X, M2, C.T), | |
cvx.hstack(M2.T, B.T*X*B-H_inf**2, D), | |
cvx.hstack(C, D, np.matrix(-1.)) | |
) | |
Mcopy = -cvx.Semidef(order+2) | |
constraints = [ | |
cvx.diag(Mcopy) == cvx.diag(M), | |
cvx.upper_tri(Mcopy) == cvx.upper_tri(M), | |
] | |
p = cvx.Problem(target, constraints) | |
p.solve(solver=cvx.CVXOPT, verbose=o.get('show_progress', True), | |
kktsolver="chol", | |
**strip_options(o, 'cvxopt_')) | |
ntf_ir = np.hstack((1, np.asarray(br.value.T)[0])) | |
return (np.roots(ntf_ir), np.zeros(order), 1.) | |
ntf_fir_from_q0.default_options = {'cvxopt_maxiters': 100, | |
'cvxopt_abstol': 1e-7, | |
'cvxopt_reltol': 1e-6, | |
'cvxopt_feastol': 1e-6, | |
'show_progress': True, | |
'fix_pos': True} |
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