def test_grad_log_likelihood(kernel, seed=42, eps=1.34e-7):
np.random.seed(seed)
x = np.sort(np.random.rand(100))
yerr = np.random.uniform(0.1, 0.5, len(x))
y = np.sin(x)
if not terms.HAS_AUTOGRAD:
gp = GP(kernel)
gp.compute(x, yerr)
with pytest.raises(ImportError):
_, grad = gp.grad_log_likelihood(y)
return
for fit_mean in [True, False]:
gp = GP(kernel, fit_mean=fit_mean)
gp.compute(x, yerr)
_, grad = gp.grad_log_likelihood(y)
grad0 = np.empty_like(grad)
v = gp.get_parameter_vector()
for i, pval in enumerate(v):
v[i] = pval + eps
gp.set_parameter_vector(v)
ll = gp.log_likelihood(y)
v[i] = pval - eps
gp.set_parameter_vector(v)
ll -= gp.log_likelihood(y)
grad0[i] = 0.5 * ll / eps
v[i] = pval
assert np.allclose(grad, grad0)
def test_grad_log_likelihood(kernel, with_general, seed=42, eps=1.34e-7):
np.random.seed(seed)
x = np.sort(np.random.rand(100))
yerr = np.random.uniform(0.1, 0.5, len(x))
y = np.sin(x)
if with_general:
U = np.vander(x - np.mean(x), 4).T
V = U * np.random.rand(4)[:, None]
A = np.sum(U * V, axis=0) + 1e-8
else:
A = np.empty(0)
U = np.empty((0, 0))
V = np.empty((0, 0))
if not terms.HAS_AUTOGRAD:
gp = GP(kernel)
gp.compute(x, yerr, A=A, U=U, V=V)
with pytest.raises(ImportError):
_, grad = gp.grad_log_likelihood(y)
return
for fit_mean in [True, False]:
gp = GP(kernel, fit_mean=fit_mean)
gp.compute(x, yerr, A=A, U=U, V=V)
_, grad = gp.grad_log_likelihood(y)
grad0 = np.empty_like(grad)
v = gp.get_parameter_vector()
for i, pval in enumerate(v):
v[i] = pval + eps
gp.set_parameter_vector(v)
ll = gp.log_likelihood(y)
v[i] = pval - eps
gp.set_parameter_vector(v)
ll -= gp.log_likelihood(y)
grad0[i] = 0.5 * ll / eps
v[i] = pval
assert np.allclose(grad, grad0)
def test_log_likelihood(with_general, seed=42):
np.random.seed(seed)
x = np.sort(np.random.rand(10))
yerr = np.random.uniform(0.1, 0.5, len(x))
y = np.sin(x)
if with_general:
U = np.vander(x - np.mean(x), 4).T
V = U * np.random.rand(4)[:, None]
A = np.sum(U * V, axis=0) + 1e-8
else:
A = np.empty(0)
U = np.empty((0, 0))
V = np.empty((0, 0))
# Check quiet argument with a non-positive definite kernel.
class NPDTerm(terms.Term):
parameter_names = ("par1", )
def get_real_coefficients(self, params): # NOQA
return [params[0]], [0.1]
gp = GP(NPDTerm(-1.0))
with pytest.raises(celerite.solver.LinAlgError):
gp.compute(x, 0.0)
with pytest.raises(celerite.solver.LinAlgError):
gp.log_likelihood(y)
assert np.isinf(gp.log_likelihood(y, quiet=True))
if terms.HAS_AUTOGRAD:
assert np.isinf(gp.grad_log_likelihood(y, quiet=True)[0])
kernel = terms.RealTerm(0.1, 0.5)
gp = GP(kernel)
with pytest.raises(RuntimeError):
gp.log_likelihood(y)
termlist = [(0.1 + 10. / j, 0.5 + 10. / j) for j in range(1, 4)]
termlist += [(1.0 + 10. / j, 0.01 + 10. / j, 0.5, 0.01)
for j in range(1, 10)]
termlist += [(0.6, 0.7, 1.0), (0.3, 0.05, 0.5, 0.6)]
for term in termlist:
if len(term) > 2:
kernel += terms.ComplexTerm(*term)
else:
kernel += terms.RealTerm(*term)
gp = GP(kernel)
assert gp.computed is False
with pytest.raises(ValueError):
gp.compute(np.random.rand(len(x)), yerr)
gp.compute(x, yerr, A=A, U=U, V=V)
assert gp.computed is True
assert gp.dirty is False
ll = gp.log_likelihood(y)
K = gp.get_matrix(include_diagonal=True)
ll0 = -0.5 * np.dot(y, np.linalg.solve(K, y))
ll0 -= 0.5 * np.linalg.slogdet(K)[1]
ll0 -= 0.5 * len(x) * np.log(2 * np.pi)
assert np.allclose(ll, ll0)
# Check that changing the parameters "un-computes" the likelihood.
gp.set_parameter_vector(gp.get_parameter_vector())
assert gp.dirty is True
assert gp.computed is False
# Check that changing the parameters changes the likelihood.
gp.compute(x, yerr, A=A, U=U, V=V)
ll1 = gp.log_likelihood(y)
params = gp.get_parameter_vector()
params[0] += 10.0
gp.set_parameter_vector(params)
gp.compute(x, yerr, A=A, U=U, V=V)
ll2 = gp.log_likelihood(y)
assert not np.allclose(ll1, ll2)
gp[1] += 10.0
assert gp.dirty is True
gp.compute(x, yerr, A=A, U=U, V=V)
ll3 = gp.log_likelihood(y)
assert not np.allclose(ll2, ll3)
# Test zero delta t
ind = len(x) // 2
x = np.concatenate((x[:ind], [x[ind]], x[ind:]))
y = np.concatenate((y[:ind], [y[ind]], y[ind:]))
yerr = np.concatenate((yerr[:ind], [yerr[ind]], yerr[ind:]))
gp.compute(x, yerr)
ll = gp.log_likelihood(y)
K = gp.get_matrix(include_diagonal=True)
ll0 = -0.5 * np.dot(y, np.linalg.solve(K, y))
ll0 -= 0.5 * np.linalg.slogdet(K)[1]
ll0 -= 0.5 * len(x) * np.log(2 * np.pi)
assert np.allclose(ll, ll0)