Английская Википедия:Convolution theorem

Материал из Онлайн справочника
Перейти к навигацииПерейти к поиску

Шаблон:Short description In mathematics, the convolution theorem states that under suitable conditions the Fourier transform of a convolution of two functions (or signals) is the pointwise product of their Fourier transforms. More generally, convolution in one domain (e.g., time domain) equals point-wise multiplication in the other domain (e.g., frequency domain). Other versions of the convolution theorem are applicable to various Fourier-related transforms.

Functions of a continuous variable

Consider two functions <math>u(x)</math> and <math>v(x)</math> with Fourier transforms <math>U</math> and <math>V</math>:

<math>\begin{align}

U(f) &\triangleq \mathcal{F}\{u\}(f) = \int_{-\infty}^{\infty}u(x) e^{-i 2 \pi f x} \, dx, \quad f \in \mathbb{R}\\ V(f) &\triangleq \mathcal{F}\{v\}(f) = \int_{-\infty}^{\infty}v(x) e^{-i 2 \pi f x} \, dx, \quad f \in \mathbb{R} \end{align}</math>

where <math>\mathcal{F}</math> denotes the Fourier transform operator. The transform may be normalized in other ways, in which case constant scaling factors (typically <math>2\pi</math> or <math>\sqrt{2\pi}</math>) will appear in the convolution theorem below. The convolution of <math>u</math> and <math>v</math> is defined by:

<math>r(x) = \{u*v\}(x) \triangleq \int_{-\infty}^{\infty} u(\tau) v(x-\tau)\, d\tau = \int_{-\infty}^{\infty} u(x-\tau) v(\tau)\, d\tau.</math>

In this context the asterisk denotes convolution, instead of standard multiplication. The tensor product symbol <math>\otimes</math> is sometimes used instead.

The convolution theorem states that:[1][2]Шаблон:Rp

Шаблон:Equation box 1

Applying the inverse Fourier transform <math>\mathcal{F}^{-1},</math> produces the corollary:[2]Шаблон:Rp

Шаблон:Equation box 1

The theorem also generally applies to multi-dimensional functions.

Шаблон:Collapse top Consider functions <math>u,v</math> in Lp-space <math>L^1(\mathbb{R}^n),</math> with Fourier transforms <math>U,V</math>:

<math>

\begin{align} U(f) &\triangleq \mathcal{F}\{u\}(f) = \int_{\mathbb{R}^n} u(x) e^{-i 2 \pi f \cdot x} \, dx, \quad f \in \mathbb{R}^n\\ V(f) &\triangleq \mathcal{F}\{v\}(f) = \int_{\mathbb{R}^n} v(x) e^{-i 2 \pi f \cdot x} \, dx, \end{align} </math>

where <math>f\cdot x</math> indicates the inner product of <math>\mathbb{R}^n</math>:   <math>f\cdot x = \sum_{j=1}^{n} {f}_j x_j,</math>   and   <math>dx = \prod_{j=1}^{n} d x_j.</math>

The convolution of <math>u</math> and <math>v</math> is defined by:

<math>r(x) \triangleq \int_{\mathbb{R}^n} u(\tau) v(x-\tau)\, d\tau.</math>

Also:

<math>\iint |u(\tau)v(x-\tau)|\,dx\,d\tau=\int \left( |u(\tau)| \int |v(x-\tau)|\,dx \right) \,d\tau = \int |u(\tau)|\,\|v\|_1\,d\tau=\|u\|_1 \|v\|_1.</math>

Hence by Fubini's theorem we have that <math>r\in L^1(\mathbb{R}^n)</math> so its Fourier transform <math>R</math> is defined by the integral formula:

<math>

\begin{align} R(f) \triangleq \mathcal{F}\{r\}(f) &= \int_{\mathbb{R}^n} r(x) e^{-i 2 \pi f \cdot x}\, dx\\ &= \int_{\mathbb{R}^n} \left(\int_{\mathbb{R}^n} u(\tau) v(x-\tau)\, d\tau\right)\, e^{-i 2 \pi f \cdot x}\, dx. \end{align} </math>

Note that <math>|u(\tau)v(x-\tau)e^{-i 2\pi f \cdot x}|=|u(\tau)v(x-\tau)|,</math>  Hence by the argument above we may apply Fubini's theorem again (i.e. interchange the order of integration):

<math>

\begin{align} R(f) &= \int_{\mathbb{R}^n} u(\tau) \underbrace{\left(\int_{\mathbb{R}^n} v(x-\tau)\ e^{-i 2 \pi f \cdot x}\,dx\right)}_{V(f)\ e^{-i 2 \pi f \cdot \tau}}\,d\tau\\ &=\underbrace{\left(\int_{\mathbb{R}^n} u(\tau)\ e^{-i 2\pi f \cdot \tau}\,d\tau\right)}_{U(f)}\ V(f). \end{align} </math> Шаблон:Collapse bottom

This theorem also holds for the Laplace transform, the two-sided Laplace transform and, when suitably modified, for the Mellin transform and Hartley transform (see Mellin inversion theorem). It can be extended to the Fourier transform of abstract harmonic analysis defined over locally compact abelian groups.

Periodic convolution (Fourier series coefficients)

Consider <math>P</math>-periodic functions <math>u_{_P}</math>   and   <math>v_{_P},</math> which can be expressed as periodic summations:

<math>u_{_P}(x)\ \triangleq \sum_{m=-\infty}^{\infty} u(x-mP)</math>   and   <math>v_{_P}(x)\ \triangleq \sum_{m=-\infty}^{\infty} v(x-mP).</math>

In practice the non-zero portion of components <math>u</math> and <math>v</math> are often limited to duration <math>P,</math> but nothing in the theorem requires that.

The Fourier series coefficients are:

<math>\begin{align}
  U[k] &\triangleq \mathcal{F}\{u_{_P}\}[k] = \frac{1}{P} \int_P u_{_P}(x) e^{-i 2\pi k x/P} \, dx, \quad k \in \mathbb{Z}; \quad \quad \scriptstyle \text{integration over any interval of length } P\\
  V[k] &\triangleq \mathcal{F}\{v_{_P}\}[k] = \frac{1}{P} \int_P v_{_P}(x) e^{-i 2\pi k x/P} \, dx, \quad k \in \mathbb{Z}
\end{align}</math>

where <math>\mathcal{F}</math> denotes the Fourier series integral.

  • The pointwise product: <math>u_{_P}(x)\cdot v_{_P}(x)</math> is also <math>P</math>-periodic, and its Fourier series coefficients are given by the discrete convolution of the <math>U</math> and <math>V</math> sequences:
<math>\mathcal{F}\{u_{_P}\cdot v_{_P}\}[k] = \{U*V\}[k].</math>
  • The convolution:
<math>\begin{align}

\{u_{_P} * v\}(x)\ &\triangleq \int_{-\infty}^{\infty} u_{_P}(x-\tau)\cdot v(\tau)\ d\tau\\ &\equiv \int_P u_{_P}(x-\tau)\cdot v_{_P}(\tau)\ d\tau; \quad \quad \scriptstyle \text{integration over any interval of length } P \end{align}</math>

is also <math>P</math>-periodic, and is called a periodic convolution.

Шаблон:Collapse top

<math>\begin{align}

\int_{-\infty}^\infty u_{_P}(x - \tau) \cdot v(\tau)\,d\tau

 &= \sum_{k=-\infty}^\infty \left[\int_{x_o+kP}^{x_o+(k+1)P} u_{_P}(x - \tau) \cdot v(\tau)\ d\tau\right] \quad x_0 \text{ is an arbitrary parameter}\\
 &=\sum_{k=-\infty}^\infty \left[\int_{x_o}^{x_o+P} \underbrace{u_{_P}(x - \tau-kP)}_{u_{_P}(x - \tau), \text{ by periodicity}} \cdot v(\tau + kP)\ d\tau\right] \quad \text{substituting } \tau \rightarrow \tau+kP\\
 &=\int_{x_o}^{x_o+P} u_{_P}(x - \tau) \cdot \underbrace{\left[\sum_{k=-\infty}^\infty v(\tau + kP)\right]}_{\triangleq \ v_{_P}(\tau)}\ d\tau

\end{align}</math> Шаблон:Collapse bottom

The corresponding convolution theorem is:

Шаблон:Equation box 1

Шаблон:Collapse top

<math>\begin{align}

\mathcal{F}\{u_{_P} * v\}[k] &\triangleq \frac{1}{P} \int_P \left(\int_P u_{_P}(\tau)\cdot v_{_P}(x-\tau)\ d\tau\right) e^{-i 2\pi k x/P} \, dx\\ &= \int_P u_{_P}(\tau)\left(\frac{1}{P}\int_P v_{_P}(x-\tau)\ e^{-i 2\pi k x/P} dx\right) \, d\tau\\ &= \int_P u_{_P}(\tau)\ e^{-i 2\pi k \tau/P} \underbrace{\left(\frac{1}{P}\int_P v_{_P}(x-\tau)\ e^{-i 2\pi k (x-\tau)/P} dx\right)}_{V[k], \quad \text{due to periodicity}} \, d\tau\\ &=\underbrace{\left(\int_P\ u_{_P}(\tau)\ e^{-i 2\pi k \tau/P} d\tau\right)}_{P\cdot U[k]}\ V[k]. \end{align}</math> Шаблон:Collapse bottom

Functions of a discrete variable (sequences)

By a derivation similar to Eq.1, there is an analogous theorem for sequences, such as samples of two continuous functions, where now <math>\mathcal{F}</math> denotes the discrete-time Fourier transform (DTFT) operator. Consider two sequences <math>u[n]</math> and <math>v[n]</math> with transforms <math>U</math> and <math>V</math>:

<math>\begin{align}

U(f) &\triangleq \mathcal{F}\{u\}(f) = \sum_{n=-\infty}^{\infty} u[n]\cdot e^{-i 2\pi f n}\;, \quad f \in \mathbb{R}, \\ V(f) &\triangleq \mathcal{F}\{v\}(f) = \sum_{n=-\infty}^{\infty} v[n]\cdot e^{-i 2\pi f n}\;, \quad f \in \mathbb{R}. \end{align}</math>

The Шаблон:Slink of <math>u</math> and <math>v</math> is defined by:

<math>r[n] \triangleq (u * v)[n] = \sum_{m=-\infty}^\infty u[m]\cdot v[n - m] = \sum_{m=-\infty}^\infty u[n-m]\cdot v[m].</math>

The convolution theorem for discrete sequences is:[3][4]Шаблон:Rp

Шаблон:Equation box 1

Periodic convolution

<math>U(f)</math> and <math>V(f),</math> as defined above, are periodic, with a period of 1. Consider <math>N</math>-periodic sequences <math>u_{_N}</math> and <math>v_{_N}</math>:

<math>u_{_N}[n]\ \triangleq \sum_{m=-\infty}^{\infty} u[n-mN]</math>   and   <math>v_{_N}[n]\ \triangleq \sum_{m=-\infty}^{\infty} v[n-mN], \quad n \in \mathbb{Z}.</math>

These functions occur as the result of sampling <math>U</math> and <math>V</math> at intervals of <math>1/N</math> and performing an inverse discrete Fourier transform (DFT) on <math>N</math> samples (see Шаблон:Slink). The discrete convolution:

<math>\{u_{_N} * v\}[n]\ \triangleq \sum_{m=-\infty}^{\infty} u_{_N}[m]\cdot v[n-m] \equiv \sum_{m=0}^{N-1} u_{_N}[m]\cdot v_{_N}[n-m]</math>

is also <math>N</math>-periodic, and is called a periodic convolution. Redefining the <math>\mathcal{F}</math> operator as the <math>N</math>-length DFT, the corresponding theorem is:[5][4]Шаблон:Rp

Шаблон:Equation box 1

And therefore:

Шаблон:Equation box 1

Under the right conditions, it is possible for this <math>N</math>-length sequence to contain a distortion-free segment of a <math>u*v</math> convolution. But when the non-zero portion of the <math>u(n)</math> or <math>v(n)</math> sequence is equal or longer than <math>N,</math> some distortion is inevitable.  Such is the case when the <math>V(k/N)</math> sequence is obtained by directly sampling the DTFT of the infinitely long Шаблон:Slink impulse response.Шаблон:Efn-ua

For <math>u</math> and <math>v</math> sequences whose non-zero duration is less than or equal to <math>N,</math> a final simplification is: Шаблон:Equation box 1

This form is often used to efficiently implement numerical convolution by computer. (see Шаблон:Slink and Шаблон:Slink)

As a partial reciprocal, it has been shown [6] that any linear transform that turns convolution into pointwise product is the DFT (up to a permutation of coefficients).

Шаблон:Collapse top A time-domain derivation proceeds as follows:

<math>

\begin{align} \scriptstyle{\rm DFT}\displaystyle \{u_{_N} * v\}[k] &\triangleq \sum_{n=0}^{N-1} \left(\sum_{m=0}^{N-1} u_{_N}[m]\cdot v_{_N}[n-m]\right) e^{-i 2\pi kn/N}\\ &= \sum_{m=0}^{N-1} u_{_N}[m] \left(\sum_{n=0}^{N-1} v_{_N}[n-m]\cdot e^{-i 2\pi kn/N}\right)\\ &= \sum_{m=0}^{N-1} u_{_N}[m]\cdot e^{-i 2\pi km/N} \underbrace{ \left(\sum_{n=0}^{N-1} v_{_N}[n-m]\cdot e^{-i 2\pi k(n-m)/N}\right)}_{\scriptstyle{\rm DFT}\displaystyle\{v_{_N}\}[k]\quad \scriptstyle \text{due to periodicity}}\\ &= \underbrace{ \left(\sum_{m=0}^{N-1} u_{_N}[m]\cdot e^{-i 2\pi km/N}\right)}_{\scriptstyle{\rm DFT}\displaystyle\{u_{_N}\}[k]} \left(\scriptstyle{\rm DFT}\displaystyle\{v_{_N}\}[k]\right). \end{align} </math>

A frequency-domain derivation follows from Шаблон:Slink, which indicates that the DTFTs can be written as:

<math>

\mathcal{F}\{u_{_N} * v\}(f) = \frac{1}{N} \sum_{k=-\infty}^{\infty} \left(\scriptstyle{\rm DFT}\displaystyle \{u_{_N} * v\}[k]\right)\cdot \delta\left(f-k/N\right). \quad \scriptstyle \mathsf{(Eq.5a)} </math>

<math>

\mathcal{F}\{u_{_N}\}(f) = \frac{1}{N} \sum_{k=-\infty}^{\infty} \left(\scriptstyle{\rm DFT}\displaystyle\{u_{_N}\}[k]\right)\cdot \delta\left(f-k/N\right). </math>

The product with <math>V(f)</math> is thereby reduced to a discrete-frequency function:

<math>

\begin{align} \mathcal{F}\{u_{_N} * v\}(f) &= G_{_N}(f) V(f) \\ &= \frac{1}{N} \sum_{k=-\infty}^{\infty} \left(\scriptstyle{\rm DFT}\displaystyle\{u_{_N}\}[k]\right)\cdot V(f)\cdot \delta\left(f-k/N\right)\\ &= \frac{1}{N} \sum_{k=-\infty}^{\infty} \left(\scriptstyle{\rm DFT}\displaystyle\{u_{_N}\}[k]\right)\cdot V(k/N)\cdot \delta\left(f-k/N\right)\\ &= \frac{1}{N} \sum_{k=-\infty}^{\infty} \left(\scriptstyle{\rm DFT}\displaystyle\{u_{_N}\}[k]\right)\cdot \left(\scriptstyle{\rm DFT}\displaystyle\{v_{_N}\}[k]\right) \cdot \delta\left(f-k/N\right), \quad \scriptstyle \mathsf{(Eq.5b)} \end{align} </math>

where the equivalence of <math>V(k/N)</math> and <math>\left(\scriptstyle{\rm DFT}\displaystyle\{v_{_N}\}[k]\right)</math> follows from Шаблон:Slink. Therefore, the equivalence of (5a) and (5b) requires:

<math>\scriptstyle{\rm DFT}

\displaystyle {\{u_{_N} * v\}[k]}

= \left(\scriptstyle{\rm DFT}

\displaystyle\{u_{_N}\}[k]\right)\cdot \left(\scriptstyle{\rm DFT}\displaystyle\{v_{_N}\}[k]\right).</math>


We can also verify the inverse DTFT of (5b):

<math>

\begin{align} (u_{_N} * v)[n] & = \int_{0}^{1} \left(\frac{1}{N} \sum_{k=-\infty}^{\infty} \scriptstyle{\rm DFT}\displaystyle\{u_{_N}\}[k]\cdot \scriptstyle{\rm DFT}\displaystyle\{v_{_N}\}[k]\cdot \delta\left(f-k/N\right)\right)\cdot e^{i 2 \pi f n} df \\ & = \frac{1}{N} \sum_{k=-\infty}^{\infty} \scriptstyle{\rm DFT}\displaystyle\{u_{_N}\}[k]\cdot \scriptstyle{\rm DFT}\displaystyle\{v_{_N}\}[k]\cdot \underbrace{\left(\int_{0}^{1} \delta\left(f-k/N\right)\cdot e^{i 2 \pi f n} df\right)}_{\text{0, for} \ k\ \notin\ [0,\ N)} \\ & = \frac{1}{N} \sum_{k=0}^{N-1} \bigg(\scriptstyle{\rm DFT}\displaystyle\{u_{_N}\}[k]\cdot \scriptstyle{\rm DFT}\displaystyle\{v_{_N}\}[k]\bigg)\cdot e^{i 2 \pi \frac{n}{N} k}\\ &=\ \scriptstyle{\rm DFT}^{-1} \displaystyle \bigg( \scriptstyle{\rm DFT}\displaystyle \{u_{_N}\}\cdot \scriptstyle{\rm DFT}\displaystyle \{v_{_N}\} \bigg). \end{align} </math> Шаблон:Collapse bottom

Convolution theorem for inverse Fourier transform

There is also a convolution theorem for the inverse Fourier transform:

Here, "<math>\cdot</math>" represents the Hadamard product, and "<math>*</math>" represents a convolution between the two matrices.

<math>\begin{align}

&\mathcal{F}\{u*v\} = \mathcal{F}\{u\} \cdot \mathcal{F}\{v\}\\ &\mathcal{F}\{u \cdot v\}= \mathcal{F}\{u\}*\mathcal{F}\{v\} \end{align}</math>

so that

<math>\begin{align}

&u*v= \mathcal{F}^{-1}\left\{\mathcal{F}\{u\}\cdot\mathcal{F}\{v\}\right\}\\ &u \cdot v= \mathcal{F}^{-1}\left\{\mathcal{F}\{u\}*\mathcal{F}\{v\}\right\} \end{align}</math>

Convolution theorem for tempered distributions

The convolution theorem extends to tempered distributions. Here, <math>v</math> is an arbitrary tempered distribution:

<math>\begin{align}

&\mathcal{F}\{u*v\} = \mathcal{F}\{u\} \cdot \mathcal{F}\{v\}\\ &\mathcal{F}\{\alpha \cdot v\}= \mathcal{F}\{\alpha\}*\mathcal{F}\{v\}. \end{align}</math>

But <math>u = F\{\alpha\}</math> must be "rapidly decreasing" towards <math>-\infty</math> and <math>+\infty</math> in order to guarantee the existence of both, convolution and multiplication product. Equivalently, if <math>\alpha = F^{-1}\{u\}</math> is a smooth "slowly growing" ordinary function, it guarantees the existence of both, multiplication and convolution product.[7][8][9]

In particular, every compactly supported tempered distribution, such as the Dirac delta, is "rapidly decreasing". Equivalently, bandlimited functions, such as the function that is constantly <math>1</math> are smooth "slowly growing" ordinary functions. If, for example, <math>v\equiv\operatorname{\text{Ш}}</math> is the Dirac comb both equations yield the Poisson summation formula and if, furthermore, <math>u\equiv\delta</math> is the Dirac delta then <math>\alpha \equiv 1</math> is constantly one and these equations yield the Dirac comb identity.

See also

Notes

Шаблон:Notelist-ua

References

Шаблон:Reflist Шаблон:Refbegin

Further reading

Шаблон:Refend

Additional resources

For a visual representation of the use of the convolution theorem in signal processing, see:

de:Faltung (Mathematik)#Faltungstheorem 2 fr:Produit de convolution

  1. Ошибка цитирования Неверный тег <ref>; для сносок McGillem не указан текст
  2. 2,0 2,1 Ошибка цитирования Неверный тег <ref>; для сносок Weisstein не указан текст
  3. Ошибка цитирования Неверный тег <ref>; для сносок Proakis не указан текст
  4. 4,0 4,1 Ошибка цитирования Неверный тег <ref>; для сносок Oppenheim не указан текст
  5. Ошибка цитирования Неверный тег <ref>; для сносок Rabiner не указан текст
  6. Шаблон:Cite book
  7. Шаблон:Cite book
  8. Шаблон:Cite book
  9. Шаблон:Cite book