Fourier and Laplace Transform

Outline
Transforms in context of problem solving
Convolution
Dirac delta function d(t)

Fourier Transform
Sampling
Laplace Transform

Why use Transforms?

Transforms are not simply math curiosity.
Way to reframe a problem in a way that makes
it easier to understand, analyze and solve.

General Scheme using Transforms

Problem

Equation
of the problem

Solution
of the equation

Result

Transformation

= EASY

= HARD

Transformed
equation

Solution of the
transformed equation

Inverse
transformation

Which Transform to Use?

Continuous
Domain

Discrete
Domain

Signal
Processing

Fourier T.

Discrete F.T.
(DFT/FFT)

Control Theory

Laplace T.

z-Transform

Application

Typical Problem
Given an input signal x(t), what is the output signal
y(t) after going through the system?
x(t)
t

System/
Filter

To solve it in the time domain (t) is

cumbersome!

y(t)?

Integrating Differential Equation?

Lets have a simple first order low-pass filter with
resistor R and capacitor C:

The system is described by diff. eq.:

RCy ' (t ) + y(t ) x(t )

To find a solution, we can integrate.

Convolution
Math operator (symbol *) that takes two input
functions (x(t) and h(t)) and produces a third (y(t))

y (t ) x(t ) * h(t ) x(t )h( )d

Expresses the amount of overlap of one function x(t)
as it is shifted over another function h(t).
Way of blending one function with another.

Frame-by-frame convolution
Can be visualized as flipping one function (x), sliding
it, and doing the dot product.

More convolution examples

Smoothing

(Moving Average of GOOG)

(Gaussian Blur in 2D)

Convolution is heavily used in image processing

Dirac Delta function d(t)

Area = 1

1/

Area = 1

Convolution with Dirac delta d(t)

Convolving a signal with Dirac delta d(t) simply
yields the same signal.

x(t)

x(t)
t

(t)
t

Delay operator as convolution

with d(t-)
Convolving with a shifted delta d(t-) shifts the
original signal: delay.

x(t)

x(t- )

(t- )
t

Convolution Properties
Convolution is a linear operation and therefore has the
typical linear properties:

Commutativity
Associativity
Distributivity
Scalar multiplication

Using Convolution to Solve

Again same first order low-pass filter:

The system is described by its impulse response:

t

Solution is convolution impulse resp. with x(t)

Use a Convolution to Solve

Convolution is expensive to compute.
Little intuition about output signal y(t).
t

= ?

= ?

= ?

Fourier Transform
Jean-Baptiste Fourier had crazy
idea (1807):
Any periodic function
can be rewritten as a
weighted sum of sines
and cosines of different
frequencies.
Called Fourier Series

Square-Wave Deconstruction

Other examples

FT expands this idea

Take any signal (periodic and non-periodic) in time domain
and decompose it in sines + cosines to have a representation
in the frequency domain.
FT

Time Domain

Frequency Domain
Real: Cosine
Coefficients

f
t

FT

Imaginary: Sine
Coefficients

FT: Formal Definition

Convention: Upper-case to describe transformed variables:

Transform: F{ x(t) } = X(w) or X(f)
Inverse:

F-1{Y(w) or Y(f) }= y(t)

(w=2pf)

FT gives complex numbers

You get complex numbers
Cosine coefficients are real
Sine coefficients are imaginary
Real: Cosine
Coefficients

f
t

FT

Imaginary: Sine
Coefficients

Complex plane
Complex number can
be represented:
Combination of real +
imaginary value:

x +iy
Amplitude + Phase
A and j

Alternative representation of FT
Complex numbers can be represented also as
amplitude + phase.
Real

Amplitude

f
t

FT

OR

+
Phase

Imaginary

Example Fourier Transform

Fast moving vs slow moving signals
Amplitude
Spectrum

FT
Amplitude
Spectrum

FT

Example Fourier Transform

Time Domain t

Frequency Domain w

Real

Real

Real

Example Fourier Transform

Example Fourier Transform

Example Fourier Transform

Example Fourier Transform

Note: FT is imaginary for sine

Example Fourier Transform

Time Domain t

Frequency Domain w

Real

Real
DC component

FT of Delay d(t)

Amplitude:
Gives you information about frequencies/tones in a
signal.

Phase:
More about when it happens in time.

Important FT Properties
F{a(t ) + b(t )} A(w) + B(w)

Addition

Scalar Multiplication

F{ka(t )} kA(w)

Convolution in time t

F{x(t ) * h(t )} F{x(t )}F{h(t )} X (w) H (w)

Convolution in frequency w

F { X (t ) * H (w )} 2px (t )h(t )
1

FT timefrequency duality
Time Domain

Frequency Domain

narrow
wide
Multiplication
Convolution
Box
Sinc
Gauss
Real + Even
Real + Odd

wide
narrow
Convolution
Multiplication
Sinc
Box
Gauss
Real+Even (just cosine)
Im + Odd (just sine)

Etc..

Etc..

FT: Reframing the problem in Frequency

Domain
Problem

x(t),h(t)

Solution
of the equation

Result

Fourier Transform

= EASY

= HARD

X(w), H(w)

X(w)H(w)

Inverse
Fourier
Transform

Completely sidesteps the convolution!

FT: Another Example

What is the amplitude spectrum |Y(f)| of a voice signal
(bandlimited to 5 kHz) when multiplied by a cosine f=15 kHz?

Multiplier

|X(f)|
5 kHz

- 5 kHz

Y(f)
f

(Voice)

15 kHz
oscillator
(Carrier)

(Note: this is Amplitude Modulation AM radio)

x(t)=?

-15 kHz

|X(f)|
5 kHz

- 5 kHz

Frequency
Domain

Time
Domain

FT: Solution

15 kHz

*
f

|Y(f)|

f
-15 kHz

15 kHz

Remember! Convolving
with (f-f)
==
Shifting signal

-20
kHz

-10
kHz

10
kHz

20
kHz

Space

Frequency

FT Gaussian Blur

Sampling Theorem
In order to be used within a digital system, a
continuous signal must be converted into a stream
of values.

Done by sampling the continuous signal at regular

intervals.
But at which interval?

Sampling Theorem
x(t)

Sampling can be
thought of
multiplying a signal
by a d pulse train:

x
...

...
t

=
...

...
t

Aliasing
If sampling rate is too small compared with frequency
of signal, aliasing WILL occur:
t

x
...

x
...

...

...
t

=
...

...
t

...
t

Fourier Analysis of Sampling

The FT of a pulse train with frequency fs is another
pulse train with interval 1/fs:

1/fs
...

fs
FT

...
t

...

...
f

Fourier Analysis of Sampling

Aliasing will happen if fs <2 fmax

1/fs
...

x
t

x
ma

...

=
f

f
2
f s>
fs=2fmax

2f m
f s<

fmax

fs

-fmax

Frequency
Domain

Time
Domain

Nyquist frequency = fs/2

ax

A few sampling frequencies

Telephone systems: 8 kHz
CD music: 44.1 kHz
DVD-audio: 96 or 192 kHz
Aqua robot: 1 kHz

Digital Thermostat (HMTD84) : 0.2 Hz

Laplace Transform
Formal definition:

L[ f (t )] F ( s) f (t )e dt

Compare this to FT:

F (w) f (t )e

Small differences:
Integral from 0 to to for Laplace
f(t) for t<0 is not taken into account

-s instead of -iw

st

iwt

dt

Common Laplace Transfom

Name
Impulse d

f(t)
1
f (t )
0

F(s)
t 0
t 0

Step

f (t ) 1

1
s

Ramp

f (t ) t

1
s2

Exponential

f (t ) e at

1
s+a

Sine

f (t ) sin(wt )

w
s2 + w2

Damped Sine f (t ) e

at

sin(wt )

w
( s + a )2 + w 2

Laplace Transform Properties

Similar to Fourier transform:
Addition/Scaling

L[af1 (t ) bf2 (t )] aF1 ( s) bF2 ( s)

Convolution
t

f (t )f ( )d F ( s) F ( s)
1

Derivation

L f (t ) sF ( s ) f (0 )
dt

Transfer Function H(s)

Definition

X(s)

H(s)

Y(s)

H(s) = Y(s) / X(s)

Relates the output of a linear system (or

component) to its input.
Describes how a linear system responds to an
impulse.
All linear operations allowed
Scaling, addition, multiplication.

Time Domain

RC Circuit Revisited
t

step
function

Laplace
Domain

1
s

RC

dy
+yx
dt

1
1 + RCs

1
1
1

1
s(1 + RCs ) s
+s
RC

Poles and Zeros

A( s )
Given F ( s )
B( s )
A( s ) an s n + ... + a1s + a0
B( s ) bm s m + ... + b1s + b0
Poles are the values of s for which B(s) 0
Zeros are the values of s for which A(s) 0
Poles and zeros are complex
Order of system # poles m

Poles and Zeros

1
For example, L[e ]
s+a
Pole is s a
at

No Zeros

w
For sine : L[sin(wt )] 2
2
s +w
Poles are s iw , iw
No Zeros

Poles and Zeros

F(s)

Poles

n/a

Step

f (t ) 1

1
s

Ramp

f (t ) t

1
s2

Exponential

f (t ) e at

1
s+a

-a

Sine

f (t ) sin(wt )

w
s2 + w2

-iw,iw

Name
Impulse d

f(t)
1
f (t )
0

Damped Sine f (t ) e

at

t 0
t 0

sin(wt )

0 (double)

w
( s + a )2 + w 2 -a-iw,-a+iw

Poles and Zeros

If pole has:
Real negative: exponential decay
Real positive: exponential growth
If imaginary 0: oscillation of frequency w

Effect of Poles Location

Im(s)

Increasing
Frequency

Damped
Sine
Exponential
Decay

Constant

Growing
Sine

Constant
Sine

Re(s)
Exponential
Increase
Increased
Damping

Increased
Blow-up

Where do you dont want to be?

Im(s)

Increasing
Frequency

Damped
Sine
Exponential
Decay

Constant

Growing
Sine

Constant
Sine

Re(s)
Exponential
Increase
Increased
Damping

Increased
Blow-up