332:525 - Optimum Signal Processing - Spring 2011

• Syllabus, Overview, and Reference Books (pdf)

• S. J. Orfanidis, Optimum Signal Processing , 2nd ed., 2007 republication of the 1988 McGraw-Hill edition. The book may be freely downloaded in PDF format.

• Solutions manual

• MATLAB functions
• C functions
• Fortran subroutines

  Lecture notes on the Singular Value Decomposition and its signal processing applications by S. J. Orfanidis (2002-2007), and related MATLAB files.

• Homework Set 1 (pdf)

• Experiment   1 (zip) - due 02/03/2011 - Predictive FIR and EMA/DEMA trend filters.
• Experiment   2 (zip) - due 02/10/2011 - Adaptive AR(1) and AR(2) models
• Experiment   3 (zip) - due 02/17/2011 - Forecasting with ARIMA models.
• Experiment   4 (pdf) - due 02/24/2011 - Kalman filter model for EMA filters.
• Experiment   5 (zip) - due 03/24/2011 - Linear prediction and Wiener filter design.
• Experiment   6 (zip) - due 03/31/2011 - Sparse deconvolution and compressive sensing.
• Experiment   7 (zip) - due 04/07/2011 - SVD and reduced-rank signal processing.
• Experiment   8 (zip) - due 04/21/2011 - Whittaker-Henderson smoothing in the L2 and L1 norms.
• Experiment   9 (zip) - due 04/28/2011 - LCMV beamforming and generalized sidelobe cancelers.
• Experiment 10 (pdf) - due 05/05/2011 - LMS and lattice adaptive filters.

• Second midterm (zip) - Portfolio optimization.

• Early papers on adaptive antennas + some reviews.

• Generalized sidelobe canceler papers.
• Portfolio optimization papers.

• SVD and related references

• Final projects

• Sunspot data
• Southern oscillation index
• Iris data
• Turtle data
• CCA example
• SVD example of noisy sinusoids

SVD Applications:

• SVD basics
• Reduced-rank signal processing methods
• Image processing applications
• NMR and other biomedical applications
• PCA and SSA applications to climate
• Chaotic dynamics
• Canonical correlation analysis