Signal Denoising with Wavelets

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This tour uses wavelets to perform signal denoising using thresholding estimators. Wavelet thresholding properites were investigated in a series of papers by Donoho and Johnstone, see for instance DonJohn94 and DoJoKePi95.

In [2]:
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warning on

Loading a Signal and Making Noise

Here we consider a simple additive Gaussian white noise.

Size $N$ of the signal.

In [3]:
N = 2048*2;

First we load the 1-D signal.

In [4]:
name = 'piece-regular';
f0 = load_signal(name, N);
f0 = rescale(f0,.05,.95);

Variance $\si^2$ of the noise.

In [5]:
sigma = 0.05;

Generate a noisy signal $f = f_0 + w$ where $w \sim \Nn(0,\si^2 \text{Id})$.

In [6]:
f = f0 + randn(size(f0))*sigma;


In [7]:
plot(f0); axis([1 N 0 1]);
title('Clean signal');
plot(f); axis([1 N 0 1]);
title('Noisy signal');

Hard Thresholding vs. Soft Thresholding

A thresholding $\Theta : \RR^N \rightarrow \RR^N$ is a non-linear function that operates diagonaly, i.e. $$ \forall i, \quad \Theta(x)_i = \th(x_i) $$ where $\th : \RR \rightarrow \RR$ is the 1-D thresholding function.

The most important thresholding are the hard thresholding (related to $\ell^0$ minimization) and the soft thresholding (related to $\ell^1$ minimization).

The hard thresholding reads $$ \Theta^0_T(x)_i = \choice{ x_i \qifq \abs{x_i}>T, \\ 0 \quad \text{otherwise}. }$ $$

In [8]:
Theta0 = @(x,T)x .* (abs(x)>T);

The soft thresholding reads $$ \Theta^1_T(x)_i = \max\pa{ 0, 1-\frac{T}{\abs{x}} } x $$

In [9]:
Theta1 = @(x,T)max(0, 1-T./max(abs(x),1e-9)) .* x;

Display the thresholding.

In [10]:
t = linspace(-3,3,1024)'; T = 1;
plot( t, [Theta0(t,T), Theta1(t,T)], 'LineWidth', 2 );
axis('equal'); axis('tight');
legend('\Theta^0', '\Theta^1');

Wavelet Thresholding

It is possible to perform non linear denoising by thresholding the wavelet coefficients of $f$.

Shortcut for the foward orthogonal wavelet transform $W$ and the inverse wavelet transform $W^{-1}=W^*$.

In [11]:
options.ti = 0; Jmin = 4;
W  = @(f) perform_wavelet_transf(f,Jmin,+1,options);
Wi = @(fw)perform_wavelet_transf(fw,Jmin,-1,options);

Compute the wavelet coefficients $x=W(f)$.

In [12]:
x = W(f);

Threshold the wavelet coefficients $\tilde x=\Theta_0(x)$. Here we use $T=3\si$.

In [13]:
x1 = Theta0(x, 3*sigma);

Display the wavelet coefficients $W(f)$ and the hard thresholded coefficients $\Theta_0(W(f))$. Note how the wavelet coefficients are contaminated by a small amplitude Gaussian white noise, most of which are removew by thresholding.

In [14]:
plot_wavelet(x,Jmin); axis([1 N -1 1]);
plot_wavelet(Theta0(W(f),T),Jmin); axis([1 N -1 1]);

Reconstruct from the thresholded coefficients the final estimator $\tilde f = W^*(\tilde x)$.

In [15]:
f1 = Wi(x1);

Display noisy and denoised signal.

In [16]:
plot(f); axis([1 N 0 1]);
plot(f1); axis([1 N 0 1]);

Given a thresholding $\Theta$ (for instance $\Theta^0$ or $\Theta^1$), one thus defines a wavelet thresholding estimator as $$ \Theta_W(f) = W^* \circ \Theta \circ W. $$

Operator to re-inject the coarse scale noisy coefficients. Improves a little bit the result of soft thresholding denoising (because of the bias).

In [17]:
x = W(f); 
reinject = @(x1)assign(x1, 1:2^Jmin, x(1:2^Jmin));

Define the soft and hard thresholding estimators.

In [18]:
Theta0W = @(f,T)Wi(Theta0(W(f),T));
Theta1W = @(f,T)Wi(reinject(Theta1(W(f),T)));

The denoising performance of an estimator $\tilde f = \Theta_W(f)$ is measured using the $L^2$ error to the (unknown) ground trust $f_0$. One usually expresses it in dB using the SNR $$ SNR = -10\log_{10}\pa{ \frac{\norm{f_0-\tilde f}^2}{\norm{f_0}^2} }. $$

Exercise 1

Display the evolution of the denoising SNR when $T$ varies. Store in |fBest0| and |fBest1| the optimal denoising results. etrieve best

In [19]:
In [20]:
%% Insert your code here.

Display the results. For 1-D signals, hard thresholding seems to outperform soft thresholding. For natural images, on contrary, soft thresholding seems to be better.

In [21]:
plot(fBest0); axis([1 N 0 1]); e = snr(fBest0,f0);
title(['Hard, SNR=' num2str(e,3) 'dB']);
plot(fBest1); axis([1 N 0 1]); e = snr(fBest1,f0);
title(['Soft, SNR=' num2str(e,3) 'dB']);

Translation Invariant Wavelet Transform

Orthogonal wavelet transforms are not translation invariant. It means that the processing of an image and of a translated version of the image give different results. A translation invariant wavelet transform is implemented by ommitting the sub-sampling at each stage of the transform. This correspond to the decomposition of the image in a redundant familly of $N (J+1)$ atoms where $N$ is the number of samples and $J$ is the number of scales of the transforms.

The foward and backward transform algorithm is the so-called "a trou" algorithm, that was introduced in Holsch87. See also Fowler05 for a review. This algorithm runs in $O(J N)$ operations.

The invariant transform is obtained using the same function, by activating the switch |options.ti=1|.

In [22]:
options.ti = 1;
W  = @(f) perform_wavelet_transf(f,Jmin,+1,options);
Wi = @(fw)perform_wavelet_transf(fw,Jmin,-1,options);

Compute the invariant transform.

In [23]:
fw = W(f);

|fw(:,:,1)| corresponds to the low scale residual. Each |fw(:,1,j)| corresponds to a scale of wavelet coefficient, and has the same size as the original signal.

In [24]:
nJ = size(fw,3)-4;
subplot(5,1, 1);
plot(f0); axis('tight');
i = 0;
for j=1:3
    i = i+1;
    plot(fw(:,1,nJ-i+1)); axis('tight');
    title(strcat(['Scale=' num2str(j)]));
subplot(5,1, 5);
plot(fw(:,1,1)); axis('tight');
title('Low scale');

Translation Invariant Wavelet Denoising

Orthogonal wavelet denoising does not performs very well because of its lack of translation invariance. A much better result is obtained by not sub-sampling the wavelet transform, which leads to a redundant tight-frame.

Translation invariant denoising using cycle spinning is introduced in CoifDon95. We uwe here the a trou algorithm which is faster.

Operator to re-inject the coarse scales.

In [25]:
x = W(f); 
reinject = @(x1)assign(x1, 1:N, x(1:N));

Define the soft and hard thresholding estimators.

In [26]:
Theta0W = @(f,T)Wi(Theta0(W(f),T));
Theta1W = @(f,T)Wi(reinject(Theta1(W(f),T)));

Exercise 2

Display the evolution of the denoising SNR when $T$ varies. Store in |fBest0| and |fBest1| the optimal denoising results. etrieve best

In [27]:
In [28]:
%% Insert your code here.

Display the results.

In [29]:
plot(fBest0); axis([1 N 0 1]); e = snr(fBest0,f0);
title(['Hard TI, SNR=' num2str(e,3) 'dB']);
plot(fBest1); axis([1 N 0 1]); e = snr(fBest1,f0);
title(['Soft TI, SNR=' num2str(e,3) 'dB']);


  • [DonJohn94] D. L. Donoho and I. M. Johnstone, Ideal spatial adaptation via wavelet shrinkage, Biometrika, vol. 81, pp. 425-455, 1994.
  • [DoJoKePi95] Donoho, D.L., I.M. Johnstone, G. Kerkyacharian and D. Picard, Wavelet Shrinkage: Asymptopia, J. Roy. Statist. Soc. B 57 2, 301-369,1995.
  • [CoifDon95] R.R. Coifman and D.L. Donoho, Translation-Invariant De-Noising, in Wavelets and Statistics, A. Antoniadis and G. Oppenheim, Eds. San Diego, CA: Springer-Verlag, Lecture notes 1995.
  • [Fowler05] J. E. Fowler, The redundant discrete wavelet transform and additive noise, IEEE Signal Processing Letters, vol. 12, issue 9, pp. 629-632, 2005.
  • [Holsch87] M. Holschneider, R. Kronland-Martinet, J. Morlet, and P. Tchamitchian, A real-time algorithm for signal analysis with the help of the wavelet transform, in Wavelets: Time-Frequency Methods and Phase Space, Springer-Verlag, 1989, pp. 286 297, 1987