AN ASTRONOMER S INTRODUCTION TO GAUSSIAN PROCESSES. Dan Foreman-Mackey // github.com/dfm // dfm.io
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1 AN ASTRONOMER S INTRODUCTION TO GAUSSIAN PROCESSES Dan Foreman-Mackey CCPP@NYU // github.com/dfm // dfm.io
2 cbnd Flickr user lizphung
3 github.com/dfm/gp
4 gaussianprocess.org/gpml Rasmussen & Williams
5 I write code for good & astrophysics.
6 I (probably) do data science.
7 not data science. Photo credit James Silvester silvesterphoto.tumblr.com
8 data science. cb Flickr user Marcin Wichary
9 Data Science PHYSICS DATA p(data physics)
10 I work with Kepler data.
11 I get really passionate about NOISE
12 relative flux time [KBJD] KIC 33000
13 Kepler 3
14 Kepler 3
15 relative flux time [KBJD] Kepler 3
16 HACKS * ALL HACKS and I m righteous!
17 Why not model all the things? with, for example, a Gaussian Process
18 1 The power of correlated noise.
19 y = mx+ b
20 The true covariance of the observations.
21 Let s assume that the noise is independent NX apple [yn f (x n )] log p(y x,, ) = 1 n=1 n + log n Gaussian with known variance
22 Or equivalently log p(y x,, ) = 1 rt C 1 r 1 log det C N log
23 Or equivalently data covariance log p(y x,, ) = 1 rt C 1 r 1 log det C N log
24 Or equivalently data covariance log p(y x,, ) = 1 rt C 1 r 1 log det C N log residual vector r = y 1 f (x 1 ) y f (x ) y n f (x n ) T
25 Or equivalently data covariance log p(y x,, ) = 1 rt C 1 r 1 log det C N log residual vector r = y 1 f (x 1 ) y f (x ) y n f (x n ) T
26 Linear least-squares. apple m b = SA T C 1 y S = A T C 1 A 1 maximum likelihood & in this case only mean of posterior posterior covariance A = 6 4 x 1 1 x 1.. x n C = n y = 6 4 y 1 y. y n 3 7 5
27 Linear least-squares. apple m b = SA T C 1 y S = A T C 1 A 1 maximum likelihood & in this case only mean of posterior posterior covariance assuming uniform priors A = 6 4 x 1 1 x 1.. x n C = n y = 6 4 y 1 y. y n 3 7 5
28 truth
29 4 3 1 posterior constraint? truth
30 4 3 1 posterior constraint? truth
31 But we know the true covariance matrix.
32 log p(y x,, ) = 1 rt C 1 r 1 log det C N log
33 Linear least-squares. apple m b = SA T C 1 y S = A T C 1 A 1 maximum likelihood & in this case only mean of posterior posterior covariance A = 6 4 x 1 1 x 1.. x n C = n y = 6 4 y 1 y. y n 3 7 5
34 Before
35 After
36 the responsible scientist. cbd Flickr user MyFWCmedia
37 So we re finished, right?
38 In The Real World, we never know the noise.
39 Just gotta model it!
40
41 Model it! log p(y x,,, ) = 1 rt K 1 r 1 log det K + C where K ij = i ij + k (x i,x j ) for example [xi x j ] k (x i,x j )=a exp l drop-in replacement for your current log-likelihood function!
42 emceethe arxiv.org/abs/ dan.iel.fm/emcee MCMC Hammer it's hammer time!
43 1 0 b 1.5 ln a ln s m b ln a ln s
44
45
46 Prediction?
47
48
49 take a deep breath. cba Flickr user kpjas
50 The formal Gaussian process.
51 The model. log p(y x,,, ) = 1 [y f (x)] T K (x, ) 1 [y f (x)] 1 log det K (x, ) N log where [K (x, )] ij = i ij + k (x i,x j ) drop-in replacement for your current log-likelihood function!
52 The model. y N(f (x), K (x, )) where [K (x, )] ij = i ij + k (x i,x j ) drop-in replacement for your current log-likelihood function!
53 the data are drawn from one HUGE Gaussian * * the dimension is the number of data points.
54 A generative model y N(f (x), K (x, )) a probability distribution for y values
55 Likelihood samples. k (x i,x j )=exp [xi x j ] ` 3 exponential squared l =0.5 l =1 l = t
56 Likelihood samples. k (x i,x j )=exp [xi x j ] ` 3 exponential squared exponential squared l =0.5 l =1 l = t
57 Likelihood samples. k (x i,x j )= " 1+ p # 3 xi x j ` exp xi x j ` cos xi x j P 3 quasi-periodic l =,P=3 l =3,P=3 l =3,P= t
58 Likelihood samples. k (x i,x j )= " 1+ p # 3 xi x j ` exp xi x j ` cos xi x j P 3 quasi-periodic quasi-periodic l =,P=3 l =3,P=3 l =3,P= t
59 The conditional distribution y N(f (x), K (x, )) apple y y? N apple f (x) f (x? ), apple K, x, x K, x,? y? y N K,?,x K 1, x, x [y f (x)] + f (x? ), K,?,? K,?,x K 1, x, x K, x,? ) just see Rasmussen & Williams (Chapter )
60 What s the catch? Kepler = Big Data (by some definition) Note: I hate myself for this slide too
61 Computational complexity. log p(y x,,, ) = 1 [y f (x)] T K (x, ) 1 [y f (x)] 1 log det K (x, ) N log compute factorization // evaluate log-det // apply inverse naïvely: O(N 3 )
62 import numpy as np from scipy.linalg import cho_factor, cho_solve! def simple_gp_lnlike(x, y, yerr, a, s): r = x[:, None] - x[none, :] C = np.diag(yerr**) + a*np.exp(-0.5*r**/(s*s)) factor, flag = cho_factor(c) logdet = *np.sum(np.log(np.diag(factor))) return -0.5 * (np.dot(y, cho_solve((factor, flag), y)) + logdet + len(x)*np.log(*np.pi))
63 1 log 10 runtime/seconds log 10 N
64 exponential squared quasi-periodic
65 exponential squared quasi-periodic
66 exponential squared quasi-periodic t
67 Aren t kernel matrices Hierarchical Off-Diagonal Low-Rank? no astronomer ever
68 = K (3) K 3 K K 1 K 0 Full rank; Low-rank; Identity matrix; Zero matrix; Ambikasaran, DFM, et al. (arxiv: )
69 github.com/dfm/george
70 import numpy as np from george import GaussianProcess, kernels! def george_lnlike(x, y, yerr, a, s): kernel = a * kernels.rbfkernel(s) gp = GaussianProcess(kernel) gp.compute(x, yerr) return gp.lnlikelihood(y)
71 1 log 10 runtime/seconds log 10 N
72 1 log 10 runtime/seconds log 10 N
73 and short cadence data? one month of data in 4 seconds
74 3 Applications to Kepler data.
75 Parameter Recovery
76 time since transit KIC injection
77 time since transit KIC injection
78 time since transit KIC injection
79 after median-filter figure generated detrending github.com/dfm/tr
80 time since transit KIC injection
81 time since transit KIC injection
82 using Gaussian process figure generated noise model github.com/dfm/tr
83 time [days] Ambikasaran, DFM, et al. (arxiv: )
84 q q t r/r? f? b q q t r/r? b
85 KOI with Bekki Dawson, et al.
86
87
88 Stellar Rotation with Ruth Angus
89 figures from Ruth Angus (Oxford)
90 figures from Ruth Angus (Oxford)
91 4 Conclusions & Summary.
92 correlated noise matters. a Gaussian process provides a drop-in replacement likelihood function if you can compute it
93 Resources gaussianprocess.org/gpml github.com/dfm/ gp george
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