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Cyclic Convolution Matrix

An infinite Toeplitz matrix implements, in principle, acyclic convolution (which is what we normally mean when we just say ``convolution''). In practice, the convolution of a signal $ x$ and an impulse response $ h$, in which both $ x$ and $ h$ are more than a hundred or so samples long, is typically implemented fastest using FFT convolution (i.e., performing fast convolution using the Fast Fourier Transform (FFT) [83]6.9). However, the FFT computes cyclic convolution unless sufficient zero padding is used [83]. The matrix representation of cyclic (or ``circular'') convolution is a circulant matrix, e.g.,

$\displaystyle \mathbf{h}= \left[\begin{array}{cccccc}
h_0 & 0 & 0 & 0 & h_2 & ...
... h_2 & h_1 & h_0 & 0 \\ [2pt]
0 & 0 & 0 & h_2 & h_1 & h_0

As in this example, each row of a circulant matrix is obtained from the previous row by a circular right-shift. Circulant matrices are thus always Toeplitz (but not vice versa). Circulant matrices have many interesting properties.6.10 For example, the eigenvectors of an $ N\times N$ circulant matrix are the DFT sinusoids for a length $ N$ DFT [83]. Similarly, the eigenvalues may be found by simply taking the DFT of the first row.

The DFT eigenstructure of circulant matrices is directly related to the DFT convolution theorem [83]. The above $ 6\times 6$ circulant matrix $ \mathbf{h}$, when multiplied times a length 6 vector $ {\underline{x}}$, implements cyclic convolution of $ {\underline{x}}$ with $ \underline{h}=[h_0,h_1,h_3,0,0,0]$. Using the DFT to perform the circular convolution can be expressed as

$\displaystyle \underline{y}={\underline{x}}\circledast \underline{h}=$IDFT$\displaystyle ($DFT$\displaystyle ({\underline{x}})\cdot$DFT$\displaystyle (\underline{h})),

where ` $ \circledast $' denotes circular convolution. Let $ \mathbf{S}$ denote the matrix of sampled DFT sinusoids for a length $ N$ DFT: $ \mathbf{S}[k,n]\isdef e^{j2\pi k n/N}$. Then $ \mathbf{S}^\ast$ is the DFT matrix, where `$ \ast $' denotes Hermitian transposition (transposition and complex-conjugation). The DFT of the length-$ N$ vector $ {\underline{x}}$ can be written as $ \underline{X}=\mathbf{S}^\ast\,{\underline{x}}$, and the corresponding inverse DFT is $ {\underline{x}}=(1/N)\mathbf{S}\underline{X}$. The DFT-eigenstructure of circulant matrices provides that a real $ N\times N$ circulant matrix $ \mathbf{h}$ having top row $ \underline{h}^T$ satisfies $ \mathbf{h}\mathbf{S}=
\mathbf{S}\cdot$   diag$ (\underline{H})$, where $ \underline{H}=\mathbf{S}^\ast\,\underline{h}$ is the length $ N$ DFT of $ \underline{h}$, and diag$ (\underline{H})$ denotes a diagonal matrix with the elements of $ \underline{H}$ along the diagonal. Therefore, diag$ (\underline{H})=\mathbf{S}^{-1}\mathbf{h}\mathbf{S}=(1/N)\mathbf{S}^\ast\,\mathbf{h}\,\mathbf{S}$. By the DFT convolution theorem,

\underline{y}=\underline{h}\circledast {\underline{x}}

Premultiplying by the IDFT matrix $ (1/N)\mathbf{S}$ yields

$\displaystyle \underline{y}= (1/N)\mathbf{S}\underline{Y}=(1/N)\mathbf{S}\mathbf{S}^\ast\,\mathbf{h}\,(1/N)\mathbf{S}\underline{X}= \mathbf{h}{\underline{x}}.

Thus, the DFT convolution theorem holds if and only if the circulant convolution matrix $ \mathbf{h}$ has eigenvalues $ \underline{H}$ and eigenvectors given by the columns of $ \mathbf{S}$ (the DFT sinusoids).

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``Introduction to Digital Filters with Audio Applications'', by Julius O. Smith III, (August 2006 Edition).
Copyright © 2007-02-02 by Julius O. Smith III
Center for Computer Research in Music and Acoustics (CCRMA),   Stanford University
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