OCaml Scientific Computing

1st Edition (in progress)
Table of Contents

Signal Processing

Fast Fourier Transform


Think about an audio that lasts for 10 seconds. This audio can surely be described in the time domain, which means plotting its sound intensity against time as x axis. On the other hand, maybe less obviously, the sound can also be described in the frequency domain. For example, if all the 10 seconds are filled with only playing the A# note, then you can describe this whole audio with one frequency number: 466.16 Hz. If it’s a C note, then the number is 523.25 Hz, etc. The thing is that, the real-world sound is not always so pure, they are quite likely compounded from different frequencies. Perhaps this 10 seconds are about water flowing, or wind whispering, what frequencies it is built from then?

That’s where Discrete Fourier Transform (DFT) comes into play. It captures the idea of converting the two form of representing a signal: in time domain and in frequency domain. We can represent a signal with the values of some quantity \(h\) as a function of time: \(h(t)\), or this signal can be represented by giving its amplitude \(H\) as function of frequency: \(H(f)\). We can think they are two representation of the same thing, and Fourier Transform change between them:

\[ h(f) = \int H(f)\exp^{-2\pi~ift}df\] \[ H(f) = \int h(t)\exp^{2\pi~ift}dt\]

To put it simply: suppose Alice mix a unknown number of colour together, and let Bob to guess what those colours are, then perhaps Bob need a Fourier Transform machine of sorts.

(ADD: description of DFT)

You might be wondering, it’s cool that I can recognise how a sound is composed, but so what? Think of a classic example where you need to remove some high pitch noisy from some music. By using DFT, you can easily find out the frequency of this noisy, remove this frequency, and turn the signal back to the time domain by using something a reverse process.

Actually, the application of DFT is more than on sound signal processing. (EXAMPLES). It covers a very large of important computation problems that spans many fields and applications, such as music processing, data compressing, image processing, engineering, mathematics, etc.

The Fast Fourier Transform is an algorithm that reduces the DFT computation complexity from \(\mathcal{O}(n^2)\) to \(\mathcal{O}(n\log{}n)\). To introduce the algorithm itself or the detailed math of DFT/FFT is beyond the scope of this book, we encourage the readers to refer to other classic textbook on this topic (Phillips, Parr, and Riskin 2003).

FFT in Owl

Owl provides these basic FFT functions:

Functions Description
fft ~axis x Compute the one-dimensional discrete Fourier Transform
ifft ~axis x Compute the one-dimensional inverse discrete Fourier Transform
rfft ~axis otyp x Compute the one-dimensional discrete Fourier Transform for real input
irfft ~axis ~n otyp x Compute the one-dimensional inverse discrete Fourier Transform for real input


Example 1: remove the noise in audio (from matlab book)

Example 2: image processing (from scipy book; NR chap 12.6)

Kalman Filtering



Phillips, Charles L, John M Parr, and Eve A Riskin. 2003. Signals, Systems, and Transforms. Prentice Hall Upper Saddle River.

Next: Chapter 11Algorithmic Differentiation