ECNG 6700 - Stochastic Processes, Detection and Estimation

Signal Detection

Sean Rocke

October 31st , 2013

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Outline

Introduction Decision Tests Examples Conclusion

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Introduction

Hypothesis Testing
Motivation:

Sometimes we need to make decisions based upon observations of possibly nondeterministic phenomena. Examples:
Was a 0000 or a 0001 or a . . . or a 1111 transmitted along the communications signal link? Did the patient test negatively for diabetes? Is there really a hostile target on the radar screen?

So far we have an idea of how to statistically model nondeterministic phenomena and some basic tools to analyze the modelled phenomena. But given the possibility of several models, how do we decide which is the model to begin with?
Decision Theory/Hypothesis Testing
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Introduction

Hypothesis Testing
Denition: Statistical hypothesis: An assumption about the probability law of RVs. Conceptual Framework: Suppose we observe a random sample (x1 , . . . , xn ) of a RV, X with PDF, fX (x1 , . . . , xn ; ) which depends on parameter . We want to test the assumption = 0 versus = 1 . These are our hypotheses:
1 2

H0 : = 0 (Null Hypothesis) H1 : = 1 (Alternative hypothesis) H0 : = 0 vs H1 : = 1 (Simple HT ) H0 : = 0 vs H1 : = 1 (Composite HT )

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This is a Hypothesis Test (HT) . Two types:

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Introduction

Hypothesis Testing
In hypothesis testing we are interested in establishing the validity of a given hypothesis. The observed vector, x = (x1 , . . . , xn ), is a point in ndimensional space, Rn . Divide Rn into 2 regions: R0 (acceptance region) and R1 (rejection region). Decision Rule: Decide H0 if x R0 else decide H1 if x R1 . Possible Outcomes:
1

False Alarm / Type I Error: H0 true but H1 was decided based upon the data. Missed Detection / Type II Error: H1 true but H0 was decided based upon the data. Correct Decision: Hi true and Hi was decided based upon the data, i {0, 1}.
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Introduction

Hypothesis Testing
Outcomes can be characterized probabilistically.
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Let Di , i {0, 1} denote the decision made based upon the data False alarm probability, Pfa = = P (D1 |H0 ) = P (x R1 ; H0 ) Missed detection probability, Pmd = = P (D0 |H1 ) = P (x R0 ; H1 ) Probability of correct guess, 1 Pfa Pmd =
i {0,1}

P (x Ri ; Hi )

is also known as the level of signicance of the test. 1 is also known as the power of the test

Key issues: decision costs, error performance, vs tradeoff Lets explore these with an example . . .
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Introduction

Binary HT Example: PAM Detection

Question: Consider a digital comms system where the received signal is given by: r (t ) = Asin(2 fc t + ) + n(t ). n(t ) N (0, 1) represents a white Gaussian noise (WGN) process. Let A = 0 represent a 0 was transmitted and A = 2 represent a 1 was transmitted. This requires detection of the sine wave amplitude of the noisy signal.
1

2 3 4

Represent as a binary HT problem (i.e., Hypotheses, Decision Regions,. . . Discuss the key issues identied previously. How do we detect (i.e., Algorithms, Decision Regions,. . . )? How do we assess detection performance?
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Introduction

Binary HT Example: PAM Detection

0.4 f X|H (x|H0)

0

0.35 0.3 0.25

f X(x)|Hi

f X|H (x|H1)
1

0.2 0.15 0.1 0.05 0 -4

-3

-2

-1

1 x

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Decision Tests

MaximumLikelihood (ML) Test

Observation vector: Data samples, x = (x1 , . . . , xn ) Observation model: Probability of observing x given that Hi was true: P (x|Hi ), i {0, 1} Decision regions:
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R0 = {x : P (x|H0 ) > P (x|H1 )} R1 = {x : P (x|H0 ) < P (x|H1 )}

Decision rule: d (x) = Alternatively: (x) 1

H0 H1

H0 , H1 ,

if P (x|H0 ) > P (x|H1 ) if P (x|H0 ) < P (x|H1 )

Likelihood Ratio: (x) = Threshold Value: 1.

P (x|H1 ) P (x|H0 )

(=

fX|H1 (x|H1 ) fX|H0 (x|H0 )

for continuous RVs).

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Decision Tests

Maximum a Posteriori (MAP) Test

Observation vector and observation model same as before. Prior / a Priori Probabilities: P (Hi ), i {0, 1} Decision regions:
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R0 = {x : P (H0 |x) > P (H1 |x)} R1 = {x : P (H0 |x) < P (H1 |x)}

Decision rule: d (x) = Alternatively:

P (H1 |x) P (H0 |x)

H0 , H1 ,

if P (H0 |x) > P (H1 |x) if P (H0 |x) < P (H1 |x)

P (H1 |x) P (H0 |x)

H1 H0

1
H1 H0

Using Bayes rule:

=
P (x|H1 )P (H1 ) P (x|H0 )P (H0 )

1
H1 H0

Therefore, (x) =

P (x|H1 ) P (x|H0 )

P (H0 ) P (H1 ) .

Threshold Value: . For P (H0 ) = P (H1 ), = 1 and MAP and ML tests are equivalent.
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Decision Tests

NeymanPearson (NP) Test

Intuition: Cant simultaneously maximize and . NP test: Maximize 1 for a given level of signicance . How? Decision regions:
1

Select R1 such that 1 = P (D1 |H1 ) is maximum, subject to the constraint that = P (D1 |H0 ) = 0 . How? Choose R1 to maximize the objective function: J = (1 ) ( 0 ), 0.

Decision rule:
(x) =
P (x|H1 ) P (x|H0 ) H1 H0

Threshold Value: = . is chosen to satisfy the constraint, = 0 .

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Decision Tests

Bayes Test
Intuition: May be a cost associated with each possible decision. Let Di denote choosing Hi and Cij denote cost of Di , given Hj true. Average cost / Bayes risk: = C00 P (D0 , H0 ) + C10 P (D1 , H0 ) + C01 P (D0 , H1 ) + C11 P (D1 , H1 ) C Generally assume that C10 > C00 and C01 > C11 since it is usually costlier to make an incorrect decision (LAWSUITS!!!). . How? Bayes test: Minimize average cost, C Decision rule:
(x) =
P (x|H1 ) P (x|H0 ) H1 H0

.
(C10 C00 )P (H0 ) (C01 C11 )P (H1 ) .

Threshold Value: =

For C10 C00 = C01 C11 , Bayes test and MAP test are equivalent.
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Decision Tests

Minimax (MM) Test

Intuition: Bayes test requires knowledge of prior probabilities, which is frequently unknown. In such cases Bayes test cannot be applied. Average cost / Bayes risk: = C00 P (D0 , H0 ) + C10 P (D1 , H0 ) + C01 P (D0 , H1 ) + C11 P (D1 , H1 ) C Generally assume that C10 > C00 and C01 > C11 since it is usually costlier to make an incorrect decision (LAWSUITS!!!). for the value of P (H1 ) Minimax test: Minimize average cost, C which gives the maximum average cost. How? Decision regions:
1

Choose critical region, R 1 , such that maxP (H0 ) C [P (H0 ), R1 ] = minR1 maxP (H0 ) C [P (H0 ), R1 ] < maxP (H0 ) C [P (H0 ), R1 ] In other words, choose R 1 to minimize the Bayes risk for the least favorable P (H0 ).
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Decision Tests

Performance

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Examples

Worked Example
Question: In a simple binary communication system, during every T seconds, one of two possible signals s0 (t ) and s1 (t ) is transmitted.
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Formulate the detection problem for this scenario. Use the ML test to determine which signal is transmitted. Find Pfa and Pmd . If P (H0 ) = 2 3 use the MAP test to determine which signal was transmitted when x = 0.6. Find Pfa and Pmd . Now consider that we require that Pfa = = 0.25. Use the NP test to determine which signal was transmitted when x = 0.6. Find Pmd .
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Conclusion

Conclusion

We covered: Covered Decision Theory Concepts Your goals for next class: Continue working with MATLAB and Simulink Start HW5 and ask questions in the next class Review notes on everything in prep for next class

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Q&A

Thank You

Questions????

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