Digital Signal Processing Reference
In-Depth Information
σ q Tr
Σ f ( U f Σ h U f ) M 1
=
σ q Tr ( U f Σ h U f ) M 1
Σ f = σ q
M− 1
B kk
σ f,k
=
,
k
=0
where ( A ) M denotes the M
M leading principal submatrix of A as usual.
In the preceding, B kk > 0 are the diagonal elements of the Hermitian positive
definite matrix
×
B = ( U f Σ h U f ) M 1 .
(12 . 84)
Here it is assumed that σ f,k > 0 (i.e., that F has rank M ). Let us take a closer
look at the matrix B and its relation to U f . Write the unitary matrix U f in
partitioned form:
MP
M
U f =
.
U 1
U 2
If we replace U f with
MP
M
U f,new =
U 1 U b
U 2
(12 . 85)
for some M
×
M unitary U b , then B in Eq. (12.84) is replaced with (Problem
12.5)
B new = U b BU b . (12 . 86)
So, as far as B is concerned, the freedom to choose U f is equivalent to the
freedom to choose the unitary matrix U b .
12.B.3 Conversion to a majorization problem
To proceed further we will use the ideas of majorization and Schur convexity
reviewed in Chap. 21. If we assume the ordering
σ f, 0
σ f, 1
...
σ f,M− 1
(12 . 87)
then it can be shown that
B 00
B 11
...
B M− 1 ,M− 1 .
(12 . 88)
If this is not the case then we can interchange pairs of elements B kk and B mm
to reduce the MSE further (as we did in Sec. 12.4.1); we have the freedom to do
that by interchanging the columns of the matrix U b . So without loss of generality
we assume the above orderings. Now, from Ex. 1 in Sec. 21.4.1 (Chap. 21), we
know that the sum
M− 1
a k x k
(12 . 89)
k =0
is Schur-concave in the region
x 0
x 1
...
x M− 1
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