Upgrading from celerite

This package, celerite2, is a complete rewrite of the celerite library. While the interface is qualitatively similar, the new implementation is not backwards compatible and this page provides some information about how to update existing code.

Why does this even exist?

First, let’s say a few words about why celerite2 exists and why you might want to use it. For the average user, the experience shouldn’t be very different (the computational speed is essentially identical), and in some ways the new package has fewer features. In particular, all of the model building features have been removed. These have been removed because they were always a kludge and it doesn’t really make sense for a model building framework to be implemented within a simple Gaussian Process library.

Since the original package was released (and before too), there have been many interesting developments in the context of probabilistic model building driven, in many cases, by excitement about deep learning. And there are now many Python libraries that implement the features needed to build the probabilistic models such as PyMC3 (built on Theano), TensorFlow Probability, and Pyro (built on PyTorch), to name only a few. Unfortunately the original celerite package was not compatible with any of these frameworks and a rewrite was required to provide consistent support across a range of use cases.

What interfaces are available in celerite2?

At this point, celerite2 includes:

  • A mature and production-tested interface implemented in Theano, providing compatibility with PyMC3. This interface was originally implemented as part of the exoplanet project, and it is the recommended interface for most use cases.

  • A simple pure-Python interface that can be used for evaluating celerite models that is suitable for use with inference tools like scipy.optimize.minimize(), emcee, and dynesty. Note, however that in all of these cases, users will be responsible for defining their own models.

  • An experimental interfaces implemented in JAX, that is not as optimized or as well documented as the other two, but that should change in the future.

A simple example

If you’re starting on a new project, it would be best to start with the tutorials, but this section provides a simple example of how the syntax for celerite2 compares to the original celerite package.

Let’s say that we have the following model defined using celerite:

import numpy as np

import celerite
from celerite import terms

x, y, yerr = data

kernel = terms.SHOTerm(log_S0=np.log(1.0), log_Q=np.log(2.5), log_omega0=np.log(0.2))
gp = celerite.GP(kernel, mean=2.123)
gp.compute(x, yerr)
print("Initial log likelihood: {0}".format(gp.log_likelihood(y)))

You can define the equivalent model in celerite2 as follows:

import numpy as np

import celerite2
from celerite2 import terms

x, y, yerr = data

kernel = terms.SHOTerm(S0=1.0, Q=2.5, w0=0.2)
gp = celerite2.GaussianProcess(kernel, mean=2.123)
gp.compute(x, yerr=yerr)
print("Initial log likelihood: {0}".format(gp.log_likelihood(y)))

While this looks quite similar, the major differences include:

  • the term parameters are no longer logarithmic,

  • the computation class is called celerite2.GaussianProcess instead of GP, and

  • yerr must now be passed as a keyword.

To find the maximum likelihood model using scipy, you would execute something like the following:

from scipy.optimize import minimize

def set_params(params, gp):
    gp.mean = params[0]
    theta = np.exp(params[1:])
    gp.kernel = terms.SHOTerm(S0=theta[0], Q=theta[1], w0=theta[2])
    return gp

def neg_log_like(params, gp):
    gp = set_params(params, gp)
    return -gp.log_likelihood(y)

initial_params = [2.123, np.log(kernel.S0), np.log(kernel.Q), np.log(kernel.w0)]
soln = minimize(neg_log_like, initial_params, method="L-BFGS-B", args=(gp,))
opt_gp = set_params(soln.x, gp)

This is somewhat more verbose than the equivalent operation using celerite and it doesn’t include all the niceties like built in parameter bounds, but it wouldn’t be too much to implement these for a specific use case.