Ordered Eigenvalues of Complex Noncentral

Wishart Matrices and Performance Analysis of SVD

MIMO Systems
Shi Jin, Xiqi Gao
National Mobile Communication Research Lab.,
Southeast University Nanjing, P.R.China
Email: jinshi@seu.edu.cn
Matthew R. McKay
Telecomm. Lab., Sch. of Elec. and Info. Eng.,
University of Sydney, Australia
and also the ICT Centre, CSIRO, Australia
Email:mckay@ee.usyd.edu.au
AbstractWe derive new closed-form expressions for the
marginal cumulative distribution function (c.d.f.) and marginal
probability density function (p.d.f.) of the ordered eigenvalues of
complex noncentral Wishart matrices. These results are used to
analyze the performance of singular value decomposition (SVD)
based MIMO systems in Ricean fading channels. New expressions
are derived for the exact symbol error rate (SER), as well as
the diversity order and array gain. Our results show that the
global SER performance is dominated by the subchannel SER
corresponding to the minimum channel singular value. Numerical
results are presented to validate the theoretical analysis.
I. INTRODUCTION
Multiple-input multiple-output (MIMO) systems have re-
ceived considerable attention in recent years since the pioneer-
ing work of [1]. It was shown in [1] that singular-value decom-
position (SVD) based MIMO transmission (with Gaussian in-
puts and water-lling power allocation) is capacity achieving.
In many practical scenarios powerful high-complexity coding
schemes which operate near capacity are infeasible, and either
suboptimal coded or uncoded transmission must be employed.
Recently, some authors have analyzed the symbol error
rate (SER) performance of uncoded SVD MIMO in Rayleigh
fading channels. In [2], exact closed-form expressions for the
global SER (i.e. the SER averaged over all SVD subchannels)
was derived for Rayleigh fading. In [3], the SVD subchannel
SER and global SER was analyzed in the high SNR regime.
In this paper we consider the SER of uncoded SVD MIMO
transmission in Ricean fading channels. We nd that the
global SER and subchannel SER performance of these systems
relies explicitly on the marginal distribution of the ordered
eigenvalues of complex noncentral Wishart matrices.
In contrast to complex central Wishart matrices, for which
all ordered eigenvalue marginal cumulative distribution func-
tions (c.d.f.) and marginal probability density functions (p.d.f.)
are known in closed-form (see [4][8], and references therein),
very few results are available for the marginal ordered eigen-
value distributions of complex noncentral Wishart matrices.
In [9], the p.d.f. and c.d.f. of the largest eigenvalue of these
matrices was derived.
In this paper we derive new exact closed-form expressions
for the marginal c.d.f.s of all of the ordered eigenvalues of
complex noncentral Wishart matrices. These marginal c.d.f.s
are used to derive exact expressions for the subchannel SER
and global SER of SVD MIMO systems in Ricean fading
channels. We also derive new analytical expressions for the
marginal p.d.f.s of the ordered eigenvalues. These p.d.f.s are
used to derive explicit expressions for the diversity order and
array gain of SVD MIMO systems in Ricean fading. Our
results show that the global SER performance is dominated by
the subchannel SER corresponding to the minimum channel
singular value. Numerical results are nally presented to
validate the theoretical analysis.
II. SYSTEM MODEL
Consider a MIMO system with m transmit and n receive
antennas, modeled as
y = Hs +n, (1)
where y C
n1
is the discrete-time received signal vec-
tor, s C
m1
is the transmitted signal vector satisfying
E
_
s

s
_
= P, and n C
n1
is the zero-mean complex Gaus-
sian noise vector with E
_
nn

_
=
2
I
n
. Also, H C
nm
is the Ricean fading channel matrix, which is decomposed as
follows [10]
H =

H+

H, (2)
where

H is the deterministic channel component satisfying
_
_
H
_
_
2
= mn, and

H is the random (scattered) channel
component containing i.i.d. CN(0, 1) entries. The parameter
K is the Ricean K-factor, which is the ratio between the
energy in

H and the average energy in

H, and = 1/

K + 1
is a power normalization constant.
Note that H in (2) follows a complex matrix-variate Gaus-
sian distribution with mean matrix M=

Hand (column)
correlation matrix =
2
I
n
. Adopting standard notation from
multivariate statistical theory (e.g. see [11]), this distribution
is denoted
H CN
n,m
(M, I
m
) (3)
This model gives a Ricean distributed channel. Moreover, if
K = 0 then the channel reduces to Rayleigh fading [1].
Let us now dene
W=
_
HH

n m
H

H m n.
(4)
s = min(n, m), and t = max(n, m). It is obvious that W is
always an s s matrix. Throughout the paper we will assume
that n m, however all results are easily extendible to the
case m < n. In this case W = HH

follows a complex
noncentral Wishart distribution, denoted
W W
s
(t, , ) (5)
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where =
1
MM

is the non-centrality matrix. Note that

when M= 0, so that = 0, and therefore W W
s
(t, )
(i.e. complex central Wishart).
In this paper we are interested in the general statistical
properties of the ordered eigenvalues of complex noncentral
Wishart matrices. In the following section we will present new
closed-form expressions for the marginal c.d.f.s and marginal
p.d.f.s of these eigenvalues. These results will then be used in
Section IV to analyze the SER of SVD MIMO systems.
III. STATISTICS OF THE ORDERED EIGENVALUES OF
COMPLEX NONCENTRAL WISHART MATRICES
A. Some Preliminaries
Consider W as dened in (5). Then the joint p.d.f. of the
ordered eigenvalues
1
>
2
> . . . >
s
> 0 of S =
1
W,
is given by James [12] as
f (
1
, . . . ,
s
) = c
0

F
1
(t; , ) e
tr()
|U|
2
s

k=1

ts
k
(6)
where
|U| =
s

i<j
(
i

j
) , (7)
= diag (
1
, . . . ,
s
),
1
> . . . >
s
> 0 are the
eigenvalues of , = diag (
1
, . . . ,
s
), and
0

F
1
(; , ) is a
hypergeometric function of two matrix arguments. Also,
c = e
tr()
/ (
s
(t)
s
(s)) (8)
is a normalization factor, and

s
(t) =
s

i=1
(t i)! (9)
is the normalized complex multivariate gamma function.
Lemma 1: If f
i
(x), i = 1, . . . , s, are p.d.f.s, then [13]

_
D1
s

k=1
f
k
(x
k
)dx
k
=
s

k=1
__
x

f
k
(y)dy
_
(10)
and

_
D2
s

k=1
f
k
(x
k
)dx
k
=
s

k=1
__
+
x
f
k
(y)dy
_
, (11)
where = (
1
, . . . ,
s
) is a permutation of
integers (1, . . . , s), the sum is over all permutations,
D
1
= {x
s
< x
s1
< . . . < x
1
< x} and D
2
=
{x < x
s
< x
s1
< . . . < x
1
}.
B. New Ordered Eigenvalue C.D.F. Results
We will now derive the new marginal c.d.f. expressions. For
convenience, we consider the smallest, largest, and kth largest
eigenvalues separately.
First consider the smallest eigenvalue
s
. Note that, in addi-
tion to the analysis of SVD MIMO, the statistical properties of
the smallest eigenvalue of Wishart matrices can be applied to
the performance analysis of a variety of other MIMO systems
(see e.g. [14], [15]).
Theorem 1: The c.d.f. of the smallest eigenvalue
s
of S
is given by
F
s
(x) = 1 |(x)| / |(0)| , (12)
where (x) is an ss matrix function of x (0, +) whose
entries are given by
{(x)}
i,j
= Q
s+t2i+1,ts
_
_
2
j
,

2x
_
(13)
and Q
p,q
(a, b) is the Nuttall Q-function dened in [16] by
Q
p,q
(a, b) =
_
+
b
x
p
exp
_

x
2
+ a
2
2
_
I
q
(ax) dx, (14)
where I
q
() denotes the qth order modied Bessel function of
the rst kind.
Proof: See Appendix I.
Note that since the sum of the two indices of the Nuttall
Q-function in (13) is odd, this function can be expressed in
closed-form (i.e. in terms of the Marcum Q-function and the
modied Bessel function) using a result from [17]. The result
in (12) can be easily programmed and efciently evaluated.
Now consider the largest eigenvalue
1
of S. In [9], the
c.d.f. of
1
was derived, and used to analyze the perfor-
mance of MIMO maximum ratio combining systems in Ricean
channels. The following theorem presents a new, simpler
expression for the c.d.f. of
1
.
Theorem 2: The c.d.f. of the largest eigenvalue
1
of S is
given by
F
1
(x) = |(x)| / |(0)| , (15)
where (x) is an ss matrix function of x (0, +) whose
entries are given by
{(x)}
ij
= Q
s+t2i+1,ts
_
_
2
j
, 0
_
Q
s+t2i+1,ts
_
_
2
j
,

2x
_
. (16)
Proof: Omitted. The proof will be presented in an
extended journal version of this paper [18].
Finally we consider the kth largest eigenvalue
k
of S.
Theorem 3: The c.d.f. of the kth largest eigenvalue
k
of
S, where 1 < k s, is given by
F
k
(x) = F
k1
(x) + Pr (
s
< . . . < x <
k1
< . . . <
1
)
= F
k1
(x) + p, (17)
where
p = c
3

1
|(x)|, (18)
c
3
=

s
j=1
(
j
)
(st)/2
|V| 2
s(t1)/2
, (19)
{(x)}
i,j
=
_
{(x)}
i,j
i = 1, . . . , k 1
{(x)}
i,j
i = k, . . . , s
(20)
|V| is dened as in (39), and

1
denotes a (nite) sum-
mation over the combinations (
1
<
2
< . . . <
k1
) and
(
k
<
k+1
< . . . <
s
), and (
1
, . . . ,
s
) is a permutation
of (1, . . . , s).
Proof: See Appendix II.
Remark: Let
1
>
2
> >
s
> 0 be the ordered
singular values of H. Recalling that S =
1
HH

, we have
the following relationship
F
s
(x) = F
s
_

2
x
2
_
. (21)
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C. New Ordered Eigenvalue P.D.F. Results
We now present new marginal p.d.f. expressions for the
ordered eigenvalues of S. Although exact p.d.f. expressions
can be easily obtained by differentiating the results of the
previous subsection, here we present rst-order expansions
of the marginal p.d.f.s. These will be particularly useful for
deriving the diversity order and array gain of SVD MIMO
systems in the following section.
Note that a rst order expansion of the p.d.f. of the kth
largest eigenvalue of complex central Wishart matrices was
presented in [3].
Theorem 4: The rst order expansion of the marginal p.d.f.
of the kth largest eigenvalue
k
of S, where 1 k s, is
given by
f
k
(
k
) = a
k

dk
k
+ o
_

dk
k
_
, (22)
where
d
k
= s
k
t
k
1, (23)
and
s
k
= s k + 1, t
k
= t k + 1. (24)
Also, a
k
is given for k = 1 by
a
1
=
st
s
(s)

s
(t + s)
e
tr()
(25)
and for k > 1 by
a
k
=
s
k
t
k

k1
(s)
sk
(s
k
)

sk
(t
k
+ s
k
)
|
1
|
|V|
(26)
where |V| is dened in (39), and
1
is an s s matrix with
entries
{
1
}
i,j
=
_

si
=0
_
ti
si
_

j
/! i = 1, . . . , k 1

si
j
e
j
i = k, . . . , s
(27)
Proof: Omitted. The proof will be presented in an
extended journal version of this paper [18].
IV. APPLICATION TO THE PERFORMANCE ANALYSIS OF
SVD MIMO SYSTEMS
We now analyze the SER performance of SVD MIMO
systems in Ricean fading channels. Note that global SER
expressions (i.e. SER averaged over all SVD subchannels, see
below) were presented previously in [2]. In addition to the
global SER, it is also important to analyze the SER of each
individual SVD subchannel to gain a more thorough under-
standing of the error performance of SVD MIMO systems.
This information cannot be obtained using the method in [2].
In this section we use the results of Section III to derive
new exact expressions for the subchannel SER as well as
the global SER of SVD MIMO systems in Ricean channels.
We also derive new closed-form expressions for the diversity
order and array gain, which are the factors governing system
performance at high SNR.
Before presenting these results, we rst review the SVD
MIMO system originally proposed in [1]. The transmitter is
assumed to have perfect channel state information, and the
channel matrix H in (2) is factored using the SVD as [1]
H = U
H

H
V
H
, (28)
where U
H
and V
H
are unitary matrices satisfying U
H
U

H
=
U

H
U
H
= I
n
and V
H
V

H
= V

H
V
H
= I
m
, and
H
is an
nm diagonal matrix with diagonal entries corresponding to
the nonnegative square roots of the eigenvalues of S. Dening
y = U

H
y, s = V

H
b, and n = U

H
n, the signal model in (1)
is equivalent to
y =
H
b + n, (29)
where b is a m1 transmitted symbol vector. Note that since
the distribution of n is invariant under unitary transformation,
n and n have the same statistical properties. Also, because

H
is diagonal, (29) can be expressed in the following form
y
k
=
_

k
b
k
+ n
k
, k = 1, . . . , s, (30)
where y
k
, b
k
, and n
k
are the kth component of the vectors
y, b, and n, respectively. Therefore, the MIMO channel
is transformed into parallel SISO SVD subchannels with
nonequal gains. In this paper, we make the assumption (as in
[2] and [3]) that equal power and identical signal constellations
are allocated to each of the SVD subchannels.
A. Exact SER
For many general modulation formats, the average SER of
the kth SVD subchannel, P
sk
, is given by [19]
P
sk
= E
k
_
aQ
_
_
2b
k
__
, (31)
where Q() is the Gaussian Q-function,
k
=
2

k
/m is
the instantaneous SNR of the kth subchannel, = P/
2
, and
a and b are modulation-specic constants. Using results from
[7] and [8], (31) can be expressed in the following equivalent
form
P
sk
=
a

b
2

_

0
e
bu

u
F
k
_
mu

_
du, (32)
where we have used the fact that F
k
(u) = F
k
_

2
mu/
_
.
Hence, by applying Theorems 1-3 in (32) we obtain an exact
expression for the average SER of each SVD subchannel.
Although it does not appear that the integrals in (32) can
be evaluated in closed form, numerical integration can be
performed to evaluate P
sk
much more efciently than is
possible via Monte Carlo simulation.
Note also that the global SER can be derived from the SVD
subchannel SERs as follows
P
s
=
1
s
s

k=1
P
sk
. (33)
B. Diversity Order and Array Gain
To gain further insights, we now consider the SER at
high SNR. In this regime, the key factors governing system
performance are the diversity order and array gain. We will
now present closed-form expressions for these factors.
Using a general SISO SER result from [20], we nd that in
our case P
sk
can be approximated in the high SNR regime by
considering a rst order expansion of the p.d.f. of
k
as
k

0
+
. Hence, using the result from [20], along with Theorem 4,
we obtain a high SNR subchannel SER expression given by

P
sk
() = (G
a
(k) )
Gd(k)
+ o
_

Gd(k)
_
, (34)
where the diversity order is
G
d
(k) = d
k
+ 1 (35)
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0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
x
F
(
x
)
Monte-Carlo smallest singular value
Theoretical smallest singular value
Monte-Carlo 2nd largest singular value
Theoretical 2nd largest singular value
Monte-Carlo largest singular value
Theoretical largest singular value
Fig. 1: Analytical and simulated c.d.f.s of the singular values
of a 3 5 Ricean MIMO channel, with K = 10dB.
0 5 10 15 20 25 30
10
-8
10
-7
10
-6
10
-5
10
-4
10
-3
10
-2
10
-1
10
0
SNR(dB)
S
E
R
1st subchannel
2nd subchannel
global average SER
3rd subchannel
Fig. 2: Exact analytical SER (solid), high SNR analytical
SER (dashed), and Monte-Carlo simulated SER (star) for
3 5 SVD MIMO in uncorrelated Ricean fading, with
rank-3 mean matrix and K = 0dB.
and the array gain is
G
a
(k) =
2b
2
m
_
a2
dk
a
k
(d
k
+ 3/2)

(d
k
+ 1)
_
1/(dk+1)
. (36)
Comparing (35) with the i.i.d. Rayleigh results presented
previously in [3], we see that the SVD subchannel diversity
orders are the same in both Rayleigh and Ricean channels.
Moreover, since G
d
(1) G
d
(2) G
d
(s), the sth
subchannel has the poorest performance in terms of average
SER. Using (33), the global average SER of SVD MIMO
systems at high SNR can be obtained as

P
s
=
1
s
(G
a
(s) )
Gd(s)
+ o
_

Gd(s)
_
. (37)
which is clearly dominated by the sth subchannel SER (i.e.
the subchannel corresponding to the smallest singular value).
V. NUMERICAL RESULTS
We consider a 3 5 MIMO channel, with a deterministic
component

H with eigenvalues {2.98,2.28,0.97}.
Fig. 1 compares the analytical results derived in Section
III with Monte Carlo simulations. We plot the c.d.f. of the
smallest, 2nd largest, and largest singular values of H under
Ricean fading with K = 10dB. Each of the simulated c.d.f.
curves are based on 100,000 channel realizations, and the
analytical curves are generated using Theorems 1-3 and the
singular value relationship (21). The gure shows that the
analytical results agree perfectly with the simulations.
Fig. 2 shows the exact SVD subchannel SER curves based
on (32), exact global SER curve based on (33), and Monte-
Carlo SER simulation results, for a 35 SVD MIMO system
with BPSK modulation (a = 1, b = 1) and K = 0dB.
High SNR curves based on (34) and (37) are also presented.
In all cases, the exact analytical results agree precisely with
the Monte-Carlo simulation results, and the diversity order
and array gains predicted by the high SNR analytical results
are accurate. We also see that the SERs of the 1st and
2nd subchannels are signicantly better than the 3rd sub-
channel SER. This result suggests that further performance
improvements may be possible by using only a subset of
the available SVD subchannels for transmission (with higher
order constellations). The investigation of such a scheme is an
interesting topic for future work.
VI. CONCLUSION
New analytical expressions for the marginal ordered eigen-
value c.d.f.s and p.d.f.s of complex noncentral Wishart ma-
trices were derived. These new statistical results were then
applied to the performance analysis of SVD MIMO systems.
The analytical results were validated numerically.
APPENDIX I
PROOF OF THEOREM 1
A convenient version of
0

F
1
(n; , ) in (6) is given by
Gross and Richards [21] as follows
0

F
1
(n; , ) =
|
0
F
1
(t s + 1;
j

i
)|
|U||V|

s
(s)
s
(t)
((t s)!)
s
. (38)
where
|V| =

s
i<j
(
i

j
). (39)
Substituting (38) into (6), we can rewrite (6) as
f (
1
, . . . ,
s
) = c
1
|
0
F
1
(t s + 1;
j

i
)| |U|
s

k=1

ts
k
e
k
,
(40)
where
c
1
= e
tr()
((t s)!)
s
/ |V| , (41)
The function
0
F
1
(t s + 1; x) in (40) is dened as
0
F
1
(t s + 1; x) = (t s)!x
(ts)/2
I
ts
_
2

x
_
. (42)
In [9] it was shown that
|U| |
0
F
1
(t s + 1;
j

i
)| =

sgn ()

k=1

sk
k
0
F
1
(t s + 1;
k

k
), (43)
where = (
1
,
2
, . . . ,
s
) is a permutation of (1, . . . , s), the
sum is over all permutations, and sgn () denotes the sign of
the permutation. Similarly, = (
1
,
2
, . . . ,
s
) ranges over
ISIT2006,Seattle,USA,July914,2006
1567
all permutations of integers (1, . . . , s). Substituting (43) into
(40), integrating over D
2
, and applying Lemma 1, yields the
c.d.f. of the smallest eigenvalue
s
given by
F
s
(x) = 1 Pr (
s
> x) = 1 c
1

_
+
x
f
i
(
j
, y) dy

,
(44)
where f
i
(
j
, y) = y
ti
e
y
0
F
1
(t s + 1;
j
y). Using (14)
and (42), the remaining integral in (44) can be evaluated as
follows
_
+
x
f
i
(
j
, y) dy = (t s)! (
j
)
(ts)/2
e
j
2
(2ist)/2
Q
s+t2i+1,ts
_
_
2
j
,

2x
_
. (45)
Since Pr (
s
0) = 1, c
1
can alternatively be expressed as
c
1
=
2
(s+t2i)/2
e
j
(
j
)
(ts)/2
(t s)!

Q
s+t2i+1,ts
__
2
j
, 0
_

. (46)
Substituting (45) and (46) into (44), we obtain the c.d.f. of the
smallest eigenvalue.
APPENDIX II
PROOF OF THEOREM 3
Let D
3
= {
s
< . . . < x <
k1
< . . . <
1
},
D
4
= {x <
k1
< . . . <
1
< +} and D
5
=
{0 <
s
< . . .
k
< x}. Using (40) and (42) we can
write the probability p as
p =
_
D3

sgn ()

k=1

tk
k
e

k
0
F
1
(t s + 1;
k

k
)d
k
. (47)
Note that the summation over can be decomposed as [13]

r
1

r
2
(48)
where

r
1
denotes summation over the permutations
_
r
1
, . . . , r
k1
_
of (1, . . . , k 1) and

r
2
denotes summa-
tion over the permutations (r
k
, . . . , r
s
) of (k, . . . , s). There-
fore, using Lemma 1 and the denition of the determinant, we
have
p =

_
D3
sgn ()

r
1

r
2

k=1

tk
k
e

k
0
F
1
(t s + 1;
k

k
)d
k
=

sgn () I
1
()I
2
() , (49)
where
I
1
() =

r
1
_
D4
k1

i=1

ti
r
i
e
r
i
0
F
1
_
t s + 1;
j

r
i
_
d
r
i
=
k1

i=1
_
+
x

ti
r
i
e
r
i
0
F
1
_
t s + 1;
j

r
i
_
d
r
i
,
(50)
I
2
() =

r
2
_
D5
s

i=k

ti
r
i
e
r
i
0
F
1
_
t s + 1;
j

r
i
_
d
r
i
=
s

i=k
_
x
0

ti
r
i
e
r
i
0
F
1
_
t s + 1;
j

r
i
_
d
r
i
.
(51)
ACKNOWLEDGMENT
This work was supported by National Natural Science
Foundation of China under Grants 60572072 and 60496311,
and the China High-Tech 863-FuTURE Project under Grant
2003AA123310, and the International Cooperation Project on
Beyond 3G Mobile of China under Grant 2005DFA10360.
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