Fast and Scalable Gaussian Process Modeling with Applications to Astronomical Time Series

Foreman-Mackey, Daniel and Agol, Eric and Ambikasaran, Sivaram and Angus, Ruth (2017) Fast and Scalable Gaussian Process Modeling with Applications to Astronomical Time Series. In: ASTRONOMICAL JOURNAL, 154 (6).

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Abstract

The growing field of large-scale time domain astronomy requires methods for probabilistic data analysis that are computationally tractable, even with large data sets. Gaussian processes (GPs) are a popular class of models used for this purpose, but since the computational cost scales, in general, as the cube of the number of data points, their application has been limited to small data sets. In this paper, we present a novel method for GPs modeling in one dimension where the computational requirements scale linearly with the size of the data set. We demonstrate the method by applying it to simulated and real astronomical time series data sets. These demonstrations are examples of probabilistic inference of stellar rotation periods, asteroseismic oscillation spectra, and transiting planet parameters. The method exploits structure in the problem when the covariance function is expressed as a mixture of complex exponentials, without requiring evenly spaced observations or uniform noise. This form of covariance arises naturally when the process is a mixture of stochastically driven damped harmonic oscillators-providing a physical motivation for and interpretation of this choice-but we also demonstrate that it can be a useful effective model in some other cases. We present a mathematical description of the method and compare it to existing scalable GP methods. The method is fast and interpretable, with a range of potential applications within astronomical data analysis and beyond. We provide well-tested and documented open-source implementations of this method in C++, Python, and Julia.

Item Type:	Journal Article
Publication:	ASTRONOMICAL JOURNAL
Additional Information:	Copy right for this article belongs to the IOP PUBLISHING LTD, TEMPLE CIRCUS, TEMPLE WAY, BRISTOL BS1 6BE, ENGLAND
Department/Centre:	Division of Interdisciplinary Sciences > Computational and Data Sciences
Date Deposited:	01 Dec 2017 06:58
Last Modified:	18 Oct 2018 13:35
URI:	http://eprints.iisc.ac.in/id/eprint/58336

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