def gp_fit(t, y, yerr, t_grid, integrated=False, exp_time=60.):
# optimize kernel hyperparameters and return fit + predictions
with pm.Model() as model:
logS0 = pm.Normal("logS0", mu=0.4, sd=5.0, testval=np.log(np.var(y)))
logw0 = pm.Normal("logw0", mu=-3.9, sd=0.1)
logQ = pm.Normal("logQ", mu=3.5, sd=5.0)
# Set up the kernel and GP
kernel = terms.SHOTerm(log_S0=logS0, log_w0=logw0, log_Q=logQ)
if integrated:
kernel_int = terms.IntegratedTerm(kernel, exp_time)
gp = GP(kernel_int, t, yerr**2)
else:
gp = GP(kernel, t, yerr**2)
# Add a custom "potential" (log probability function) with the GP likelihood
pm.Potential("gp", gp.log_likelihood(y))
with model:
map_soln = xo.optimize(start=model.test_point)
mu, var = xo.eval_in_model(gp.predict(t_grid, return_var=True),
map_soln)
sd = np.sqrt(var)
y_pred = xo.eval_in_model(gp.predict(t), map_soln)
return map_soln, mu, sd, y_pred
def test_broadcast_dim():
logS0 = tt.scalar()
logw0 = tt.scalar()
logQ = tt.scalar()
logS0.tag.test_value = -5.0
logw0.tag.test_value = -2.0
logQ.tag.test_value = 1.0
kernel = terms.SHOTerm(S0=tt.exp(logS0), w0=tt.exp(logw0), Q=tt.exp(logQ))
x = tt.vector()
y = tt.vector()
diag = tt.vector()
x.tag.test_value = np.zeros(2)
y.tag.test_value = np.zeros(2)
diag.tag.test_value = np.ones(2)
gp = GP(kernel, x, diag, J=2)
loglike = gp.log_likelihood(y)
args = [logS0, logw0, logQ, x, y, diag]
grad = theano.function(args, theano.grad(loglike, args))
np.random.seed(42)
N = 50
x = np.sort(10 * np.random.rand(N))
y = np.sin(x)
diag = np.random.rand(N)
grad(-5.0, -2.0, 1.0, x, y, diag)
def test_sho_reparam(seed=6083):
S0 = 10.0
w0 = 0.5
Q = 3.2
kernel1 = terms.SHOTerm(S0=S0, w0=w0, Q=Q)
kernel2 = terms.SHOTerm(Sw4=S0 * w0**4, w0=w0, Q=Q)
func1 = theano.function([], kernel1.coefficients)
func2 = theano.function([], kernel2.coefficients)
for a, b in zip(func1(), func2()):
assert np.allclose(a, b)
kernel2 = terms.SHOTerm(log_Sw4=np.log(S0) + 4 * np.log(w0), w0=w0, Q=Q)
func2 = theano.function([], kernel2.coefficients)
for a, b in zip(func1(), func2()):
assert np.allclose(a, b)
Q = 0.1
kernel1 = terms.SHOTerm(S0=S0, w0=w0, Q=Q)
kernel2 = terms.SHOTerm(Sw4=S0 * w0**4, w0=w0, Q=Q)
func1 = theano.function([], kernel1.coefficients)
func2 = theano.function([], kernel2.coefficients)
for a, b in zip(func1(), func2()):
assert np.allclose(a, b)
kernel2 = terms.SHOTerm(log_Sw4=np.log(S0) + 4 * np.log(w0), w0=w0, Q=Q)
func2 = theano.function([], kernel2.coefficients)
for a, b in zip(func1(), func2()):
assert np.allclose(a, b)
def test_fortran_order(seed=5091986):
np.random.seed(seed)
kernel = terms.SHOTerm(log_S0=0.1, log_Q=1.0, log_w0=0.5)
x = np.sort(np.random.uniform(0, 100, 100))
y = np.sin(x)
yerr = np.random.uniform(0.1, 0.5, len(x))
diag = yerr**2
gp = GP(kernel, x, diag)
loglike = gp.log_likelihood(y).eval()
loglike_f = gp.log_likelihood(np.asfortranarray(y)).eval()
assert np.allclose(loglike, loglike_f)
def multi_gp_predict(t, y, yerr, t_grid, integrated=False, exp_time=60.):
# this code is GARBAGE. but in principle does gp_predict() for a full comb of modes.
a_max = 0.55 # amplitude of central mode in m/s
nu_max = 3.1e-3 # peak frequency in Hz
c_env = 0.331e-3 # envelope width in Hz
delta_nu = 0.00013 # Hz
gamma = 1. / (2 * 24. * 60. * 60.) # s^-1 ; 2-day damping timescale
freq_grid = np.arange(nu_max - 0.001, nu_max + 0.001,
delta_nu) # magic numbers
amp_grid = a_max**2 * np.exp(-(freq_grid - nu_max)**2 /
(2. * c_env**2)) # amplitudes in m/s
driving_amp_grid = np.sqrt(amp_grid * gamma * dt)
log_S0_grid = [
np.log(d**2 / (dt * o)) for o, d in zip(omega_grid, driving_amp_grid)
]
with pm.Model() as model:
kernel = None
for o, lS in zip(omega_grid, log_S0_grid):
if kernel is None:
kernel = terms.SHOTerm(log_S0=lS,
log_w0=np.log(o),
log_Q=np.log(o / gamma))
else:
kernel += terms.SHOTerm(log_S0=lS,
log_w0=np.log(o),
log_Q=np.log(o / gamma))
if integrated:
kernel_int = terms.IntegratedTerm(kernel, exp_time)
gp = GP(kernel_int, t, yerr**2)
else:
gp = GP(kernel, t, yerr**2)
gp.condition(y)
mu, var = xo.eval_in_model(gp.predict(t_grid, return_var=True))
sd = np.sqrt(var)
y_pred = xo.eval_in_model(gp.predict(t))
return y_pred, mu, sd
def test_integrated_diag(seed=1234):
np.random.seed(seed)
x = np.sort(np.random.uniform(0, 100, 100))
dt = 0.4 * np.min(np.diff(x))
yerr = np.random.uniform(0.1, 0.5, len(x))
diag = yerr**2
kernel = terms.SHOTerm(log_S0=0.1, log_Q=1.0, log_w0=0.5)
kernel += terms.RealTerm(log_a=0.1, log_c=0.4)
a = kernel.get_celerite_matrices(x, diag)[0].eval()
k0 = kernel.value(tt.zeros(1)).eval()
assert np.allclose(a, k0 + diag)
kernel = terms.IntegratedTerm(kernel, dt)
a = kernel.get_celerite_matrices(x, diag)[0].eval()
k0 = kernel.value(tt.zeros(1)).eval()
assert np.allclose(a, k0 + diag)
def _get_theano_kernel(celerite_kernel):
import celerite.terms as cterms
if isinstance(celerite_kernel, cterms.TermSum):
result = _get_theano_kernel(celerite_kernel.terms[0])
for k in celerite_kernel.terms[1:]:
result += _get_theano_kernel(k)
return result
elif isinstance(celerite_kernel, cterms.TermProduct):
return _get_theano_kernel(celerite_kernel.k1) * _get_theano_kernel(
celerite_kernel.k2)
elif isinstance(celerite_kernel, cterms.RealTerm):
return terms.RealTerm(log_a=celerite_kernel.log_a,
log_c=celerite_kernel.log_c)
elif isinstance(celerite_kernel, cterms.ComplexTerm):
if not celerite_kernel.fit_b:
return terms.ComplexTerm(
log_a=celerite_kernel.log_a,
b=0.0,
log_c=celerite_kernel.log_c,
log_d=celerite_kernel.log_d,
)
return terms.ComplexTerm(
log_a=celerite_kernel.log_a,
log_b=celerite_kernel.log_b,
log_c=celerite_kernel.log_c,
log_d=celerite_kernel.log_d,
)
elif isinstance(celerite_kernel, cterms.SHOTerm):
return terms.SHOTerm(
log_S0=celerite_kernel.log_S0,
log_Q=celerite_kernel.log_Q,
log_w0=celerite_kernel.log_omega0,
)
elif isinstance(celerite_kernel, cterms.Matern32Term):
return terms.Matern32Term(
log_sigma=celerite_kernel.log_sigma,
log_rho=celerite_kernel.log_rho,
)
raise NotImplementedError()
def gp_predict(t,
y,
yerr,
t_grid,
logS0=0.4,
logw0=-3.9,
logQ=3.5,
integrated=False,
exp_time=60.):
# take kernel hyperparameters as fixed inputs, train + predict
with pm.Model() as model:
kernel = terms.SHOTerm(log_S0=logS0, log_w0=logw0, log_Q=logQ)
if integrated:
kernel_int = terms.IntegratedTerm(kernel, exp_time)
gp = GP(kernel_int, t, yerr**2)
else:
gp = GP(kernel, t, yerr**2)
gp.condition(y)
mu, var = xo.eval_in_model(gp.predict(t_grid, return_var=True))
sd = np.sqrt(var)
y_pred = xo.eval_in_model(gp.predict(t))
return y_pred, mu, sd
with pm.Model() as model:
mean = pm.Normal("mean", mu=0.0, sigma=1.0)
S1 = pm.InverseGamma(
"S1", **estimate_inverse_gamma_parameters(0.5**2, 10.0**2))
S2 = pm.InverseGamma(
"S2", **estimate_inverse_gamma_parameters(0.25**2, 1.0**2))
w1 = pm.InverseGamma(
"w1", **estimate_inverse_gamma_parameters(2 * np.pi / 10.0, np.pi))
w2 = pm.InverseGamma(
"w2", **estimate_inverse_gamma_parameters(0.5 * np.pi, 2 * np.pi))
log_Q = pm.Uniform("log_Q", lower=np.log(2), upper=np.log(10))
# Set up the kernel an GP
kernel = terms.SHOTerm(S_tot=S1, w0=w1, Q=1.0 / np.sqrt(2))
kernel += terms.SHOTerm(S_tot=S2, w0=w2, log_Q=log_Q)
gp = GP(kernel, t, yerr**2, mean=mean)
# Condition the GP on the observations and add the marginal likelihood
# to the model
gp.marginal("gp", observed=y)
with model:
map_soln = xo.optimize(start=model.test_point)
with model:
mu, var = xo.eval_in_model(
gp.predict(true_t, return_var=True, predict_mean=True), map_soln)
# Plot the prediction and the 1-sigma uncertainty
def build_model(mask=None, start=None):
with pm.Model() as model:
# The baseline flux
mean = pm.Normal("mean", mu=0.0, sd=0.00001)
# The time of a reference transit for each planet
t0 = pm.Normal("t0", mu=t0s, sd=1.0, shape=1)
# The log period; also tracking the period itself
logP = pm.Normal("logP", mu=np.log(periods), sd=0.01, shape=1)
rho_star = pm.Normal("rho_star", mu=0.14, sd=0.01, shape=1)
r_star = pm.Normal("r_star", mu=2.7, sd=0.01, shape=1)
period = pm.Deterministic("period", pm.math.exp(logP))
# The Kipping (2013) parameterization for quadratic limb darkening paramters
u = xo.distributions.QuadLimbDark("u", testval=np.array([0.3, 0.2]))
r = pm.Uniform("r", lower=0.01, upper=0.3, shape=1, testval=0.15)
b = xo.distributions.ImpactParameter("b", ror=r, shape=1, testval=0.5)
# Transit jitter & GP parameters
logs2 = pm.Normal("logs2", mu=np.log(np.var(y)), sd=10)
logw0 = pm.Normal("logw0", mu=0, sd=10)
logSw4 = pm.Normal("logSw4", mu=np.log(np.var(y)), sd=10)
# Set up a Keplerian orbit for the planets
orbit = xo.orbits.KeplerianOrbit(period=period,
t0=t0,
b=b,
rho_star=rho_star,
r_star=r_star)
# Compute the model light curve using starry
light_curves = xo.LimbDarkLightCurve(u).get_light_curve(orbit=orbit,
r=r,
t=t)
light_curve = pm.math.sum(light_curves, axis=-1) + mean
# Here we track the value of the model light curve for plotting
# purposes
pm.Deterministic("light_curves", light_curves)
S1 = pm.InverseGamma(
"S1", **estimate_inverse_gamma_parameters(0.5**2, 10.0**2))
S2 = pm.InverseGamma(
"S2", **estimate_inverse_gamma_parameters(0.25**2, 1.0**2))
w1 = pm.InverseGamma(
"w1", **estimate_inverse_gamma_parameters(2 * np.pi / 10.0, np.pi))
w2 = pm.InverseGamma(
"w2", **estimate_inverse_gamma_parameters(0.5 * np.pi, 2 * np.pi))
log_Q = pm.Uniform("log_Q", lower=np.log(2), upper=np.log(10))
# Set up the kernel an GP
kernel = terms.SHOTerm(S_tot=S1, w0=w1, Q=1.0 / np.sqrt(2))
kernel += terms.SHOTerm(S_tot=S2, w0=w2, log_Q=log_Q)
gp = GP(kernel, t, yerr**2, mean=mean)
gp.marginal("gp", observed=y)
pm.Deterministic("gp_pred", gp.predict())
# The likelihood function assuming known Gaussian uncertainty
pm.Normal("obs", mu=light_curve, sd=yerr, observed=y)
# Fit for the maximum a posteriori parameters given the simuated
# dataset
map_soln = xo.optimize(start=model.test_point)
return model, map_soln
loglike0 = -np.sum(np.log(np.diag(factor[0])))
loglike0 -= 0.5 * len(x) * np.log(2 * np.pi)
loglike0 -= 0.5 * np.dot(y, cho_solve(factor, y))
assert np.allclose(loglike, loglike0)
@pytest.mark.parametrize(
"kernel",
[
terms.RealTerm(log_a=0.1, log_c=0.5),
terms.RealTerm(log_a=0.1, log_c=0.5) +
terms.RealTerm(log_a=-0.1, log_c=0.7),
terms.ComplexTerm(log_a=0.1, b=0.0, log_c=0.5, log_d=0.1),
terms.ComplexTerm(log_a=0.1, log_b=-0.2, log_c=0.5, log_d=0.1),
terms.SHOTerm(log_S0=0.1, log_Q=-1, log_w0=0.5),
terms.SHOTerm(log_S0=0.1, log_Q=1.0, log_w0=0.5),
terms.SHOTerm(log_S0=0.1, log_Q=1.0, log_w0=0.5) +
terms.RealTerm(log_a=0.1, log_c=0.4),
terms.SHOTerm(log_S0=0.1, log_Q=1.0, log_w0=0.5) *
terms.RealTerm(log_a=0.1, log_c=0.4),
terms.Matern32Term(log_sigma=0.1, log_rho=0.4),
],
)
def test_integrated(kernel, seed=1234):
np.random.seed(seed)
x = np.sort(np.random.uniform(0, 100, 100))
dt = 0.4 * np.min(np.diff(x))
y = np.sin(x)
yerr = np.random.uniform(0.1, 0.5, len(x))
diag = yerr**2
def run_gp_single(Sgv, wgv, S1v, w1v, Q1v, opt=opt):
if (opt == 1):
print('Running Gp Single Optimiziation', 'Sgv', Sgv, 'wgv', wgv, 'S1v',
S1v, 'w1v', w1v, 'Q1v', Q1v)
with pm.Model() as model:
logs2 = pm.Normal("logs2",
mu=2 * np.log(np.mean(yerr)),
sigma=100.0,
testval=100)
logSg = pm.Normal("logSg", mu=Sgv, sigma=100.0, testval=Sgv)
logwg = pm.Normal("logwg", mu=wgv, sigma=100.0, testval=wgv)
logS1 = pm.Normal("logS1", mu=S1v, sigma=100.0, testval=S1v)
logw1 = pm.Normal("logw1", mu=w1v, sigma=100.0, testval=w1v)
logQ1 = pm.Normal("logQ1", mu=Q1v, sigma=100.0, testval=Q1v)
# Set up the kernel an GP
bg_kernel = terms.SHOTerm(log_S0=logSg,
log_w0=logwg,
Q=1.0 / np.sqrt(2))
star_kernel1 = terms.SHOTerm(log_S0=logS1, log_w0=logw1, log_Q=logQ1)
kernel = star_kernel1 + bg_kernel
gp = GP(kernel, t, yerr**2 + pm.math.exp(logs2))
gp_star1 = GP(star_kernel1, t, yerr**2 + pm.math.exp(logs2))
gp_bg = GP(bg_kernel, t, yerr**2 + pm.math.exp(logs2))
# Condition the GP on the observations and add the marginal likelihood
# to the model
gp.marginal("gp", observed=y)
with model:
val = gp.kernel.psd(omega)
psd_init = xo.eval_in_model(val)
bg_val = gp_bg.kernel.psd(omega)
star_val_1 = gp_star1.kernel.psd(omega)
bg_psd_init = xo.eval_in_model(bg_val)
star_1_psd_init = xo.eval_in_model(star_val_1)
# print('done_init_plot')
map_soln = model.test_point
if (opt == 1):
map_soln = xo.optimize(start=map_soln, vars=[logSg])
#ask about this, do i need to scale when I show this?
map_soln = xo.optimize(start=map_soln, vars=[logwg])
map_soln = xo.optimize(start=map_soln, vars=[logw1])
map_soln = xo.optimize(start=map_soln, vars=[logS1])
map_soln = xo.optimize(start=map_soln)
print(map_soln.values())
mu, var = xo.eval_in_model(gp.predict(t, return_var=True),
map_soln)
plt.figure()
plt.errorbar(t, y, yerr=yerr, fmt=".k", capsize=0, label="data")
sd = np.sqrt(var)
art = plt.fill_between(t, mu + sd, mu - sd, color="C1", alpha=0.3)
art.set_edgecolor("none")
plt.plot(t, mu, color="C1", label="prediction")
plt.legend(fontsize=12)
plt.xlabel("t")
plt.ylabel("y")
plt.xlim(0, 10)
_ = plt.ylim(-2.5, 2.5)
psd_final = xo.eval_in_model(gp.kernel.psd(omega), map_soln)
bg_psd_fin = xo.eval_in_model(bg_val, map_soln)
star_1_psd_fin = xo.eval_in_model(star_val_1, map_soln)
return psd_init, star_1_psd_init, bg_psd_init, psd_final, star_1_psd_fin, bg_psd_fin, map_soln
def run_gp_binary(Sg, wg, S1, w1, Q1, S2, w2, Q2, opt=opt):
with pm.Model() as model:
logs2 = pm.Normal("logs2",
mu=2 * np.log(np.mean(yerr)),
sigma=100.0,
testval=-100)
mean = pm.Normal("mean", mu=np.mean(y), sigma=1.0)
logSg = pm.Normal("logSg", mu=0.0, sigma=15.0, testval=Sg)
logwg = pm.Normal("logwg",
mu=0.0,
sigma=15.0,
testval=wg - np.log(1e6))
logS1 = pm.Normal("logS1", mu=0.0, sigma=15.0, testval=S1)
logw1 = pm.Normal("logw1",
mu=0.0,
sigma=15.0,
testval=w1 - np.log(1e6))
logQ1 = pm.Normal("logQ1", mu=0.0, sigma=15.0, testval=Q1)
logS2 = pm.Normal("logS2", mu=0.0, sigma=15.0, testval=S2)
logw2 = pm.Normal("logw2",
mu=0.0,
sigma=15.0,
testval=w2 - np.log(1e6))
logQ2 = pm.Normal("logQ2", mu=0.0, sigma=15.0, testval=Q2)
# Set up the kernel an GP
bg_kernel = terms.SHOTerm(log_S0=logSg,
log_w0=logwg,
Q=1.0 / np.sqrt(2))
star_kernel1 = terms.SHOTerm(log_S0=logS1, log_w0=logw1, log_Q=logQ1)
star_kernel2 = terms.SHOTerm(log_S0=logS2, log_w0=logw2, log_Q=logQ2)
kernel = star_kernel1 + star_kernel2 + bg_kernel
gp = GP(kernel, t, yerr**2 + pm.math.exp(logs2), mean=mean)
gp_star1 = GP(star_kernel1, t, yerr**2 + pm.math.exp(logs2), mean=mean)
gp_bg = GP(bg_kernel, t, yerr**2 + pm.math.exp(logs2), mean=mean)
gp_star2 = GP(star_kernel2, t, yerr**2 + pm.math.exp(logs2), mean=mean)
# Condition the GP on the observations and add the marginal likelihood
# to the model
gp.marginal("gp", observed=y)
with model:
val = gp.kernel.psd(omega)
psd_init = xo.eval_in_model(val)
bg_val = gp_bg.kernel.psd(omega)
star_val_1 = gp_star1.kernel.psd(omega)
star_val_2 = gp_star2.kernel.psd(omega)
bg_psd_init = xo.eval_in_model(bg_val)
star_1_psd_init = xo.eval_in_model(star_val_1)
star_2_psd_init = xo.eval_in_model(star_val_2)
# print('done_init_plot')
map_soln = model.test_point
if (opt == 1):
print('running opt')
map_soln = xo.optimize(start=map_soln, vars=[logSg])
#ask about this, do i need to scale when I show this?
map_soln = xo.optimize(start=map_soln, vars=[logwg])
#map_soln = xo.optimize(start=map_soln, vars=[logS1,logw1])
#map_soln = xo.optimize(start=map_soln, vars=[logS2,logw2])
psd_final = xo.eval_in_model(gp.kernel.psd(omega), map_soln)
bg_psd_fin = xo.eval_in_model(bg_val, map_soln)
star_1_psd_fin = xo.eval_in_model(star_val_1, map_soln)
star_2_psd_fin = xo.eval_in_model(star_val_2, map_soln)
return psd_init, star_1_psd_init, star_2_psd_init, bg_psd_init, psd_final, star_1_psd_fin, star_2_psd_fin, bg_psd_fin, map_soln
# %%
import pymc3 as pm
import theano.tensor as tt
from exoplanet.gp import terms, GP
with pm.Model() as model:
mean = pm.Normal("mean", mu=0.0, sigma=1.0)
logS1 = pm.Normal("logS1", mu=0.0, sigma=15.0, testval=np.log(np.var(y)))
logw1 = pm.Normal("logw1", mu=0.0, sigma=15.0, testval=np.log(3.0))
logS2 = pm.Normal("logS2", mu=0.0, sigma=15.0, testval=np.log(np.var(y)))
logw2 = pm.Normal("logw2", mu=0.0, sigma=15.0, testval=np.log(3.0))
logQ = pm.Normal("logQ", mu=0.0, sigma=15.0, testval=0)
# Set up the kernel an GP
kernel = terms.SHOTerm(log_S0=logS1, log_w0=logw1, Q=1.0 / np.sqrt(2))
kernel += terms.SHOTerm(log_S0=logS2, log_w0=logw2, log_Q=logQ)
gp = GP(kernel, t, yerr**2, mean=mean)
# Condition the GP on the observations and add the marginal likelihood
# to the model
gp.marginal("gp", observed=y)
# %% [markdown]
# A few comments here:
#
# 1. The `term` interface in *exoplanet* only accepts keyword arguments with names given by the `parameter_names` property of the term. But it will also interpret keyword arguments with the name prefaced by `log_` to be the log of the parameter. For example, in this case, we used `log_S0` as the parameter for each term, but `S0=tt.exp(log_S0)` would have been equivalent. This is useful because many of the parameters are required to be positive so fitting the log of those parameters is often best.
# 2. The third argument to the :class:`exoplanet.gp.GP` constructor should be the *variance* to add along the diagonal, not the standard deviation as in the original [celerite implementation](https://celerite.readthedocs.io).
# 3. Finally, the :class:`exoplanet.gp.GP` constructor takes an optional argument `J` which specifies the width of the problem if it is known at compile time. Just to be confusing, this is actually two times the `J` from [the celerite paper](https://arxiv.org/abs/1703.09710). There are various technical reasons why this is difficult to work out in general and this code will always work if you don't provide a value for `J`, but you can get much better performance (especially for small `J`) if you know what it will be for your problem. In general, most terms cost `J=2` with the exception of a :class:`exoplanet.gp.terms.RealTerm` (which costs `J=1`) and a :class:`exoplanet.gp.terms.RotationTerm` (which costs `J=4`).
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# To start, let's fit for the maximum a posteriori (MAP) parameters and look the the predictions that those make.
