Add firls function (least-squares minimization based FIR filter des…

…ign)

Adds a new `firls` procedure that can be used to design a linear phase FIR filter using least-squares error criterion. This function is avaiable in `scpy` (as `scipy.signal.firls`). This version is similar but has some differences in its interface and also as some additional functionality (it can design a broader set of filter types).

`firls` eturns the coefficients of the linear phase FIR filter of the requested
order and type which best fullfills the desired frequency response
"constraints" described by the `bands` (i.e. frequency), `desired` (i.e. gain)
and `weights` (e.i. constraint weights) input tensors.

Depending on the order and the value of the `symmetric` argument, the
output filter coefficients will correspond to a Type I, II, III or IV
FIR filter.

The constraints are specified as a pair of tensors describing "constrained
frequency bands" indicating the start and end frequencies of each band `k`,
as well as the gain of the filter at those edge frequencies.

Inputs:
  - fir_order: The "order" of the filter (which is 1 less than the length
               of the output tensor).
  - bands: 2-column matrix of non-overlapping, normalized frequency band
           edges in ascending order. Each row in the matrix corresponds to
           the edges of a constrained frequency band (the column contains
           the start frequency of the band and the second column contains
           the end frequency).
           Frequencies between the specified bands are "unconstrained"
           (i.e. ignored during the error minimization process).
           Frequency values must be in the [0.0, fs/2] range (i.e. they
           cannot be negative or exceed the Nyquist frequency).
  - desired: 2-column matrix that specifies the gains of the desired
             frequency response at the band "edges". Thus the lengths of
             the `bands` and `desired` tensors must match. If they do not,
             an exception is raised.
             For each band `k` the desired filter frequency
             response is such that its gain linearly changes from the
             `desired[k, 0]` value at the start of the band (i.e. at the
             `bands[k, 0]` frequency) to the value `desired[k, 1]` at the
             end of the band (i.e. at `bands[k, 1]`).
  - weights: Optional rank-1 Tensor of weights. Controls which frequency
             response "contraints" are given more "weight" during the
             least-squares error minimization process. The default is that
             all constraints are given the same weight. If provided, its
             length must be half the length of `bands` (i.e. there must be
             one constraint per band). An exception is raised otherwise.
  - symmetric: When `true` (the default), the result will be a symmetric
               FIR filter (Type I when `fir_order` is even and Type II
               when `fir_order` is odd). When `false`, the result will be
               an anti-symmetric FIR filter (Type III when `fir_order` is
               even and Type IV when `fir_order` is odd).
  - fs: The sampling frequency of the signal (as a float). Each frequency
        in `bands` must be between 0.0 and `fs/2` (inclusive).
        Default is 2.0, which means that by default the band frequencies
        are expected to be on the 0.0 to 1.0 range.

Result:
  - A Tensor containing the `fir_order + 1` taps of the FIR filter that
    best approximates the desired frequency response (i.e. the filter that
    minimizes the least-squares error vs the given constraints).

Notes:
  - Contrary to numpy's firls, the first argument is the FIR filter order,
    not the FIR length. The filter length is `filter_order + 1`.
  - Frequencies between "constrained bands" are considered "don't care"
    regions for which the error is not minimized.
  - When designing a filter with a gain other than zero at the Nyquist
    frequency (i.e. when `bands[^1] != 0.0`), such as high-pass and
    band-stop filters, the filter order must be even. An exception is
    raised otherwise.
  - The `bands` and `desired` can also be flat rank-1 tensors, as long as
    their length is even (so that they can be reshaped into 2 column
    matrices.

Examples:
```nim
# Example of an order 4, Type I, low-pass FIR filter which targets being
# a pass-through in the 0.0 to 0.3 times Nyquist frequency range, while
# filtering frequencies in the 0.4 to 1.0 Nyquist frequency range
# Note that the range 0.3 to 0.4 is left unconstrained
# Also note how the result length is 6 and the filter is symmetric
# around the middle value:
echo firls(4, [[0.0, 0.3], [0.4, 1.0]].toTensor, [[1.0, 1.0], [0.0, 0.0]].toTensor)
# Tensor[system.float] of shape "[5]" on backend "Cpu"
#     0.126496    0.278552    0.345068    0.278552    0.126496

# Same filter as above, but using rank-1, even length tensors as inputs
echo firls(4, [0.0, 0.3, 0.4, 1.0].toTensor, [1.0, 1.0, 0.0, 0.0].toTensor)
# Tensor[system.float] of shape "[5]" on backend "Cpu"
#     0.126496    0.278552    0.345068    0.278552    0.126496

# Same filter as above, but using unnormalized frequencies and a sampling
# frequency of 10.0 Hz (note how all the frequencies are 5 times greater
# because the default fs is 2.0):
echo firls(4,
  [[0.0, 1.5], [2.0, 5.0]].toTensor,
  [[1.0, 1.0], [0.0, 0.0]].toTensor,
  fs = 10.0)
# Tensor[system.float] of shape "[5]" on backend "Cpu"
#     0.126496    0.278552    0.345068    0.278552    0.126496

# Same kind of filter, but give more weight to the pass-through constraint
echo firls(4,
  [[0.0, 0.3], [0.4, 1.0]].toTensor,
  [[1.0, 1.0], [0.0, 0.0]].toTensor,
  weights = [1.0, 0.5].toTensor)
# Tensor[system.float] of shape "[5]" on backend "Cpu"
#     0.110353    0.284473    0.360868    0.284473    0.110353

# A more complex, order 5, Type II, low-pass filter
echo firls(5,
  [[0.0, 0.3], [0.3, 0.6], [0.6, 1.0]].toTensor,
  [[1.0, 1.0], [1.0, 0.2], [0.0, 0.0]].toTensor)
# Tensor[system.float] of shape "[6]" on backend "Cpu"
#     -0.0560333      0.146107      0.430716      0.430716      0.146107    -0.0560333

# Example of an order 6 Type IV high-pass FIR filter:
echo firls(6,
  [[0.0, 0.4], [0.6, 1.0]].toTensor, [[0.0, 0.0], [0.9, 1.0]].toTensor,
  symmetric = false)
# Tensor[system.float] of shape "[7]" on backend "Cpu"
#    -0.13945   0.285186  -0.258596   0   0.258596   -0.285186   0.13945

Trying to design a high-pass filter with odd order generates an exception:
echo firls(5,
  [0.0, 0.5, 0.6, 1.0].toTensor, [0.0, 0.0, 1.0, 1.0].toTensor,
  symmetric = false)
# Filter order (5) must be even when the last
# frequency is 1.0 and its gain is not 0.0 [ValueError]
```

README.md

@@ -4,7 +4,7 @@ Impulse will be a collection of signal processing primitives for Nim.
 
 ## FFT
 
-Currently this library only consists of an FFT module, which wraps
+The FFT part of this library wraps
 [PocketFFT](https://gitlab.mpcdf.mpg.de/mtr/pocketfft).
 
 For the C++ backend an optimized version of PocketFFT is used, in the
@@ -189,6 +189,10 @@ As a convenience, a `tap_examples` function is provided. This function takes a
 The LFSR module implementation is favors simplicity over speed. As of 2024, it
 is able to generate 2^24 values in less than 1 minute on a mid-range laptop.
 
+## Signal
+
+The Signal modulei mplements several signal processing and related functions, such as a Kaiser window and a firls FIR filter design function. See the documentation of those functions for more details.
+
 ## License
 
 Licensed and distributed under either of

impulse.nimble

@@ -14,3 +14,4 @@ requires "arraymancer >= 0.7.28"
 task test, "Run standard tests":
   exec "nim c -r tests/test_fft.nim"
   exec "nim c -r tests/test_fft2.nim"
+  exec "nim c -r tests/test_signal.nim"

impulse/signal.nim

@@ -224,3 +224,319 @@ proc kaiser*[T: SomeFloat](size: int = 10, beta: T = 5.0): Tensor[T] =
   let n_vals = arange(T(0.0), T(size))
   let alpha = (T(size) - 1.0) / 2.0
   return i0(beta * sqrt(1.0 -. ((n_vals -. alpha) / alpha) ^. 2.0)) /. i0(beta)
+
+proc firls*(fir_order: int,
+    bands, desired: Tensor[float],
+    weights = newTensor[float](),
+    symmetric = true,
+    fs = 2.0): Tensor[float] =
+  ## Design a linear phase FIR filter using least-squares error criterion
+  ##
+  ## Returns the coefficients of the linear phase FIR filter of the requested
+  ## order and type which best fullfills the desired frequency response
+  ## "constraints" described by the `bands` (i.e. frequency), `desired` (i.e. gain)
+  ## and `weights` (e.i. constraint weights) input tensors.
+  ##
+  ## Depending on the order and the value of the `symmetric` argument, the
+  ## output filter coefficients will correspond to a Type I, II, III or IV
+  ## FIR filter.
+  ##
+  ## The constraints are specified as a pair of tensors describing "constrained
+  ## frequency bands" indicating the start and end frequencies of each band `k`,
+  ## as well as the gain of the filter at those edge frequencies.
+  ##
+  ## Inputs:
+  ##   - fir_order: The "order" of the filter (which is 1 less than the length
+  ##                of the output tensor).
+  ##   - bands: 2-column matrix of non-overlapping, normalized frequency band
+  ##            edges in ascending order. Each row in the matrix corresponds to
+  ##            the edges of a constrained frequency band (the column contains
+  ##            the start frequency of the band and the second column contains
+  ##            the end frequency).
+  ##            Frequencies between the specified bands are "unconstrained"
+  ##            (i.e. ignored during the error minimization process).
+  ##            Frequency values must be in the [0.0, fs/2] range (i.e. they
+  ##            cannot be negative or exceed the Nyquist frequency).
+  ##   - desired: 2-column matrix that specifies the gains of the desired
+  ##              frequency response at the band "edges". Thus the lengths of
+  ##              the `bands` and `desired` tensors must match. If they do not,
+  ##              an exception is raised.
+  ##              For each band `k` the desired filter frequency
+  ##              response is such that its gain linearly changes from the
+  ##              `desired[k, 0]` value at the start of the band (i.e. at the
+  ##              `bands[k, 0]` frequency) to the value `desired[k, 1]` at the
+  ##              end of the band (i.e. at `bands[k, 1]`).
+  ##   - weights: Optional rank-1 Tensor of weights. Controls which frequency
+  ##              response "contraints" are given more "weight" during the
+  ##              least-squares error minimization process. The default is that
+  ##              all constraints are given the same weight. If provided, its
+  ##              length must be half the length of `bands` (i.e. there must be
+  ##              one constraint per band). An exception is raised otherwise.
+  ##   - symmetric: When `true` (the default), the result will be a symmetric
+  ##                FIR filter (Type I when `fir_order` is even and Type II
+  ##                when `fir_order` is odd). When `false`, the result will be
+  ##                an anti-symmetric FIR filter (Type III when `fir_order` is
+  ##                even and Type IV when `fir_order` is odd).
+  ##   - fs: The sampling frequency of the signal (as a float). Each frequency
+  ##         in `bands` must be between 0.0 and `fs/2` (inclusive).
+  ##         Default is 2.0, which means that by default the band frequencies
+  ##         are expected to be on the 0.0 to 1.0 range.
+  ##
+  ## Result:
+  ##   - A Tensor containing the `fir_order + 1` taps of the FIR filter that
+  ##     best approximates the desired frequency response (i.e. the filter that
+  ##     minimizes the least-squares error vs the given constraints).
+  ##
+  ## Notes:
+  ##   - Contrary to numpy's firls, the first argument is the FIR filter order,
+  ##     not the FIR length. The filter length is `filter_order + 1`.
+  ##   - Frequencies between "constrained bands" are considered "don't care"
+  ##     regions for which the error is not minimized.
+  ##   - When designing a filter with a gain other than zero at the Nyquist
+  ##     frequency (i.e. when `bands[^1] != 0.0`), such as high-pass and
+  ##     band-stop filters, the filter order must be even. An exception is
+  ##     raised otherwise.
+  ##   - The `bands` and `desired` can also be flat rank-1 tensors, as long as
+  ##     their length is even (so that they can be reshaped into 2 column
+  ##     matrices.
+  ##
+  ## Examples:
+  ## ```nim
+  ## # Example of an order 4, Type I, low-pass FIR filter which targets being
+  ## # a pass-through in the 0.0 to 0.3 times Nyquist frequency range, while
+  ## # filtering frequencies in the 0.4 to 1.0 Nyquist frequency range
+  ## # Note that the range 0.3 to 0.4 is left unconstrained
+  ## # Also note how the result length is 6 and the filter is symmetric
+  ## # around the middle value:
+  ## echo firls(4, [[0.0, 0.3], [0.4, 1.0]].toTensor, [[1.0, 1.0], [0.0, 0.0]].toTensor)
+  ## # Tensor[system.float] of shape "[5]" on backend "Cpu"
+  ## #     0.126496    0.278552    0.345068    0.278552    0.126496
+  ##
+  ## # Same filter as above, but using rank-1, even length tensors as inputs
+  ## echo firls(4, [0.0, 0.3, 0.4, 1.0].toTensor, [1.0, 1.0, 0.0, 0.0].toTensor)
+  ## # Tensor[system.float] of shape "[5]" on backend "Cpu"
+  ## #     0.126496    0.278552    0.345068    0.278552    0.126496
+  ##
+  ## # Same filter as above, but using unnormalized frequencies and a sampling
+  ## # frequency of 10.0 Hz (note how all the frequencies are 5 times greater
+  ## # because the default fs is 2.0):
+  ## echo firls(4,
+  ##   [[0.0, 1.5], [2.0, 5.0]].toTensor,
+  ##   [[1.0, 1.0], [0.0, 0.0]].toTensor,
+  ##   fs = 10.0)
+  ## # Tensor[system.float] of shape "[5]" on backend "Cpu"
+  ## #     0.126496    0.278552    0.345068    0.278552    0.126496
+  ##
+  ## # Same kind of filter, but give more weight to the pass-through constraint
+  ## echo firls(4,
+  ##   [[0.0, 0.3], [0.4, 1.0]].toTensor,
+  ##   [[1.0, 1.0], [0.0, 0.0]].toTensor,
+  ##   weights = [1.0, 0.5].toTensor)
+  ## # Tensor[system.float] of shape "[5]" on backend "Cpu"
+  ## #     0.110353    0.284473    0.360868    0.284473    0.110353
+  ##
+  ## # A more complex, order 5, Type II, low-pass filter
+  ## echo firls(5,
+  ##   [[0.0, 0.3], [0.3, 0.6], [0.6, 1.0]].toTensor,
+  ##   [[1.0, 1.0], [1.0, 0.2], [0.0, 0.0]].toTensor)
+  ## # Tensor[system.float] of shape "[6]" on backend "Cpu"
+  ## #     -0.0560333      0.146107      0.430716      0.430716      0.146107    -0.0560333
+  ##
+  ## # Example of an order 6 Type IV high-pass FIR filter:
+  ## echo firls(6,
+  ##   [[0.0, 0.4], [0.6, 1.0]].toTensor, [[0.0, 0.0], [0.9, 1.0]].toTensor,
+  ##   symmetric = false)
+  ## # Tensor[system.float] of shape "[7]" on backend "Cpu"
+  ## #    -0.13945   0.285186  -0.258596   0   0.258596   -0.285186   0.13945
+  ##
+  ## Trying to design a high-pass filter with odd order generates an exception:
+  ## echo firls(5,
+  ##   [0.0, 0.5, 0.6, 1.0].toTensor, [0.0, 0.0, 1.0, 1.0].toTensor,
+  ##   symmetric = false)
+  ## # Filter order (5) must be even when the last
+  ## # frequency is 1.0 and its gain is not 0.0 [ValueError]
+  ## ```
+  if fs <= 0:
+    raise newException(ValueError,
+      "Sampling frequency fs must be positive but got " & $fs)
+
+  var bands = bands.flatten()
+  let desired = desired.flatten()
+  if bands.rank > 1:
+    raise newException(ValueError,
+      "Frequency band tensor rank (" & $bands.rank & ") is not 1")
+  if desired.rank > 1:
+    raise newException(ValueError,
+      "Desired gain pair tensor rank (" & $desired.rank & ") is not 1")
+
+  let nyquist_freq = fs / 2.0
+  if max(bands) > nyquist_freq or min(bands) < 0.0:
+    raise newException(ValueError,
+      "Some frequency values are outside of the valid [0.0, " &
+      $nyquist_freq & "] range:\n" &
+      $bands)
+
+  if (bands.len mod 2) != 0:
+    raise newException(ValueError, "Frequency band tensor length (" &
+      $bands.len & ") is not even")
+
+  if bands.len != desired.len:
+    raise newException(ValueError,
+      "Frequency and desired gain tensors must have the same length (" &
+      $bands.len & "!=" & $desired.len & ")")
+
+  # Check whether the filter order is valid
+  let even_order = (fir_order mod 2) == 0
+
+  if not even_order and bands[^1].item == 1.0 and desired[^1].item != 0.0:
+    raise newException(ValueError,
+      "Filter order (" & $fir_order &
+      ") must be even when the last frequency is 1.0 and its desired gain is not 0.0")
+
+  let weights = if weights.len == 0:
+      # When weights are not provided, make them constant
+      # (i.e. all bands have the same weight)
+      ones[float](bands.len div 2)
+    else:
+      weights
+  if bands.len != 2 * weights.len:
+    raise newException(ValueError,
+      "Weigth tensor length (" & $weights.len &
+      ") must be half the length of the frequency band and desired gain pair tensor lenghts (" &
+      $bands.len & ")")
+
+  # Note that df is only used
+  let df = diff_discrete(bands, axis=0)
+  if any(df <. 0.0):
+    raise newException(ValueError,
+      "Frequency band tensor values must increasing monotonically")
+
+  # We must normalize the band frequencies to the Nyquist frequency, but we
+  # must _also_ multiply them by 2.0. The result is that (internally to this
+  # function) we normalize them by the sampling frequency, but externally
+  # (i.e. in the function documentation) we say that we normalize to the
+  # Nyquist frequency
+  bands /= fs # Equivalent to `bands /= (0.5 * fs) * 2.0`!
+  let constant_weights = all((weights -. weights[0]) ==. 0.0)
+  # If there are no gaps between the constrained bands we consider that the
+  # constraints are "continuous"
+  let continuous_constraints = df.len == 1 or all(df[1 ..< df.len | 2] ==. 0.0)
+  # Only use the matrix inversion method when needed, since it is much slower
+  let requires_matrix_inversion = not (constant_weights and continuous_constraints)
+
+  # The half "length" is the length of the "half" of the filter that is
+  # symmetric or anti-symmetric with the other "half". "Half" is in quotes
+  # because when fir_order is even an additional middle coefficient must
+  # be added between the two "halfs"
+  let half_length = fir_order / 2
+
+  if symmetric:
+    # Symmetric (i.e. Type I or Type II) linear phase FIR
+    # Type I when fir_order is even, Type II otherwise
+    var k = arange(floor(half_length) + 1.0)
+    if not even_order:
+      k +.= 0.5
+
+    var sk_pos, sk_neg, q: Tensor[float]
+    if requires_matrix_inversion:
+      let k_right_tile = 2.0 * k.reshape_infer(-1, 1).tile(1, k.len)
+      let k_down_tile = 2.0 * k.tile(k.len, 1)
+      sk_pos = k_right_tile + k_down_tile
+      sk_neg = k_right_tile - k_down_tile
+      q = zeros[float](sk_pos.shape)
+    if even_order:
+      k = k[1.._]
+
+    # Note that we order the operations and make some pre-calculations
+    # to minimize the number of tensor ops
+    let trig_base = 2.0 * PI * k
+    let k_square_inv = 1.0 /. (k *. k)
+    var b0 = 0.0
+    var b = zeros[float](k.shape)
+    for idx in countup(0, bands.len - 1, 2):
+      let weight_pow = abs(weights[(idx+1) div 2])
+      if requires_matrix_inversion:
+        q +=
+          weight_pow * 0.5 * bands[idx+1] * (sinc(sk_pos * bands[idx+1]) + sinc(sk_neg * bands[idx+1])) -
+          weight_pow * 0.5 * bands[idx] * (sinc(sk_pos * bands[idx]) + sinc(sk_neg * bands[idx]))
+      let slope = (desired[idx+1] - desired[idx]) / (bands[idx+1] - bands[idx])
+      let b1 = desired[idx] - slope * bands[idx]
+      if even_order:
+        b0 += weight_pow *
+          (b1 * (bands[idx+1] - bands[idx]) + slope / 2.0 * (bands[idx+1]^2 - bands[idx]^2))
+      b += weight_pow *
+        (slope / (4.0 * PI^2) * (cos(trig_base * bands[idx+1]) - cos(trig_base * bands[idx])) *. k_square_inv)
+      b +=
+        weight_pow * bands[idx+1] * (slope * bands[idx+1] + b1) * sinc(2.0 * k * bands[idx+1]) -
+        weight_pow * bands[idx] * (slope * bands[idx] + b1) * sinc(2.0 * k * bands[idx])
+
+    if even_order:
+      b = concat([[b0].toTensor, b], axis = 0)
+
+    var a: Tensor[float]
+    if requires_matrix_inversion:
+      a = solve(q, b)
+    else:
+      a = 4.0 * weights[0] * b
+      if even_order:
+        a[0] /= 2.0
+
+    result = if even_order:
+        # Type I FIR filter: symmetric, even order, odd length
+        # Note that half_length, despite being a float, is an exact number when
+        # fir_order is even!
+        concat([a[half_length.int .. 1 | -1] * 0.5,
+          [a[0]].toTensor,
+          a[1 .. half_length.int] * 0.5], axis = 0)
+      else:
+        # Type II FIR filter: symmetric, odd order, even length
+        0.5 * concat([a[_|-1], a], axis = 0)
+  else:
+    # Anti-symmetric (i.e. Type III or Type IV) linear phase FIR
+    # Type III when fir_order is even, Type IV otherwise
+    var k = if even_order:
+        # Note that half_order is float but it is an exact number!
+        arange(1.0, floor(half_length) + 1.0)
+      else:
+        arange(floor(half_length) + 1.0) +. 0.5
+
+    var sk_pos, sk_neg, q: Tensor[float]
+    if requires_matrix_inversion:
+      let k_right_tile = 2.0 * k.reshape_infer(-1, 1).tile(1, k.len)
+      let k_down_tile = 2.0 * k.tile(k.len, 1)
+      # sk_pos is the base argument for the "positive" sincs
+      sk_pos = k_right_tile + k_down_tile
+      # sk_neg is the base argument for the "negative" sincs
+      sk_neg = k_right_tile - k_down_tile
+      q = zeros[float](sk_pos.shape)
+
+    # Note that we order the operations and make some pre-calculations
+    # to minimize the number of tensor ops
+    let trig_base = 2.0 * PI * k
+    let k_square_inv = 1.0 /. (k *. k)
+    var b = zeros[float](k.shape)
+    for idx in countup(0, bands.len - 1, 2):
+      let weight_pow = abs(weights[(idx+1) div 2])
+      if requires_matrix_inversion:
+        q +=
+          weight_pow * 0.5 * bands[idx+1] * (sinc(sk_pos * bands[idx+1]) - sinc(sk_neg * bands[idx+1])) -
+          weight_pow * 0.5 * bands[idx] * (sinc(sk_pos * bands[idx]) - sinc(sk_neg * bands[idx]))
+      let slope = (desired[idx+1] - desired[idx]) / (bands[idx+1] - bands[idx])
+      let b1 = desired[idx] - slope * bands[idx]
+      b += weight_pow *
+        (slope / (4.0 * PI^2) * (sin(trig_base * bands[idx+1]) - sin(trig_base * bands[idx])) *. k_square_inv)
+      b +=
+        (weight_pow * (slope * bands[idx] + b1) * cos(trig_base * bands[idx]) -
+        weight_pow * (slope * bands[idx+1] + b1) * cos(trig_base * bands[idx+1])) /. trig_base
+
+    let a = if requires_matrix_inversion:
+        solve(q, b)
+      else:
+        -4.0 * weights[0] * b
+
+    result = if even_order:
+        # Type III FIR filter: anti-symmetric, with a zero middle value
+        0.5 * concat([a[_|-1], [0.0].toTensor, -a], axis = 0)
+      else:
+        # Type IV FIR filter: anti-symmetric, no middle value
+        0.5 * concat([a[_|-1], -a], axis = 0)