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Heron

The heron project is an attempt to use Gaussian Process Regression to improve gravitational wave searches for compact binary coalesences from black holes.

Heron builds a GPR surrogate model trained off data from numerical relativity simulations which can then be used to generate waveforms at locations in the BBH parameter space which have not been sampled by NR. By exaxmining the quality of the GPR’s predictions we can also identify the locations in the parameter space which are most in need of new samples being taken.

The paper draft for this project is in a git repository here.

The detection and analysis of gravitational wave signals is heavily dependent on matched filtering, a process which matches pre-computed template waveforms to signals in noisy data. In the case of gravitational wave detection, problems which can be fruitfully addressed by this technique include the detection of signals from compact binary coalesences (CBCs), such as binary black hole (BBH) and binary neutron star (BNS) mergers, where it is possible to predict the waveform that the event will produce, and the analysis of the features of the signal to identify the properties of the generating physical system—a process known as `parameter estimation’ (PE).

Accurate parameter estimation requires accurate templates; highly accurate templates can be generated using numerical relativity (NR) simulations, however doing so is computationally costly, and as a result only a small number of these high-accuracy templates are available. To provide greater coverage of the physical parameter space it is necessary to form an interpolant to these simulations, which maintains accuracy over the entire waveform.

A number of approaches to this problem exist, including the production of “post-Newtonian approximants” (PN) such as the TaylorT2 approximant, or Inspiral-Merger-Ringdown models, which are calibrated against the NR data, such as the effective one-body-NR (EOBNR) and IMRPhenom families of waveforms, spline interpolant surrogate models. While these models of the waveform can be evaluated with comparitive speed, they are prone to introducing a systematic error into the PE process, as the parameter-space values of the best-matching template generated from them is generally different from those of the true source parameters.

Methods for improving this situation were suggested in [Moore et al], who propose a method for incorporating a measure of the difference between the NR waveform and the approximant which is itself interpolated over the entire parameter space using Gaussian Process Regression (GPR), having been sampled at a number of locations constrained by the existence of NR waveforms.

The approach presented here attempts to by-pass this two-stage interpolation by combining the interpolation of the waveforms and the associated uncertainty, using GPR to interpolate the entire waveform, trained from NR data. GPR assumes that the waveform data are drawn from a Gaussian Process (GP) over the physical parameter space, wWith the mean and the covariance of the estimated from the NR data, and the covariance structure pre-defined by the smoothness conditions on the waveform. This GPR approach is capable not only of producing an interpolated function, but also a Gaussian probability distribution for that waveform, encapsulating the uncertainty in the interpolant at each point in parameter space. This provides a means not only of improving the accuracy of matched filtering, but also provides information about which regions of the parameter space are most poorly understood, and can therefore motivate the placement of future waveform simulations.

This note outlines the theory behind GPR, and briefly discusses the problems which are encountered with thiss technique when addressing a large problem such as this using Gaussian Processes; we then discuss the implementation which we use to by-pass some of these difficulties. We then discuss the training data which was used to produce our GPR surrogate model, and the details of the model itself: GPR is a “non-parametric” regression technique, and as such a minimal number of choices are made about the form of the interpolant, with most learned from the training data, however we did need to make specific choices with regards to the covariance function used to generate the GP. After discussing the details of the model, we cover the process of training that model (selecting the correct hyperparameters for the covariance function), and then address the methods for testing the trained model.

Theory of Gaussian Processes

Gaussian processes are Bayesian models which associate every point an some input space with a probability distribution—specifically a normal distribution, and a collection of input points will form a multi-variate normal distribution. Gaussian processes are a non-parametric supervised machine learning technique\cite{barberBRML2012,mackay2003information}.

To make a prediction, we need to first have a set of prior observations and information about the parameters of the physical system which produced those observations. These combined form the training data for the predictor.

A completely untrained Gaussian process forms the job of a prior probability distribution in a Bayesian analysis; where it is more conventional to consider a prior over a set of, for example, real values, such as a normal distribution, the Gaussian process forms a prior over the functions which might form the regression fit to any observed data. While this prior is intially untrained it still contains information about our preconceptions of the data, for example, whether or not we expect the fit to be analytic, and the average of the functions. By providing training data we can update the Gaussian process, in the same way that the posterior distribution is updated by the addition of new data in a standard Bayesian context, and a posterior on the set of all possible functions to fit the data is produced. We can take the mean of this posterior in the place of the “best fit line” which other techniques produce, and then use the variance to produce an estimate of the uncertainty of the prediction.

The possibility of using Gaussian Processes in the analysis of data from gravitational wave detectors has been proposed by Moore and Gair\cite{2014PhRvL.113y1101M,2016PhRvD..93f4001M} who propose its use to calculate the uncertainties in current generation post-Newtonian approximants to numerical relativity simulations, and to incorporate this into the current matched-filtering analyses which are conducted on triggers from gravitational wave detectors.

Gaussian processes trained with $N$ data require the ability to both store and invert an $N× N$ matrix of covariances between observations; this can be a considerable computational challenge, and there are a number of approaches to get around this problem, including sparse Gaussian processes, where a limit on the parameter-space distance between training points is set, and the covariance of points outside this radius are ignored\cite{EPFL-CONF-161319}, and heirarchical methods\cite{hodlr}.

Gaussian processes can be extended from the case of a single-dimensional input predicting a single-dimensional output to the ability to predict a multi-dimensional output from a multi-dimensional input\cite{Alvarez2011,Alvarez2011a,Bonilla2007}.

Covariance Functions

The covariance function defines the similarity of a pair of data points, according to some relationship with suitable properties. The similarity of input data is assumed to be related to the similarity of the output, and therefore the more similar two inputs are the more likely their outputs are to be similar.

As such, the form of the covariance function represents prior knowledge about the data, and can encode understanding of effects such as periodicity within the data.

Stationary Covariance Function
A stationary covariance function is a

function $f(\vec{x} - \vec{x}’)$, and which is thus invariant to translations in the input space.

Isotropic Covariance Function
If a covariance function is a function of

the form $f(|\vec{x} - \vec{x}’|)$ then it is isotropic, and invariant under all rigid motions.

One of the most frequently encountered covariance functions in the literature is the exponential squared covariance functions \cite{rasmussen2006gaussian}

$$\label{eq:squaredexponentialkernel} k\mathrm{SE}(r) = exp( - \frac{r^2}{2 l^2} )$$

for $r$ the Euclidean distance of a datum from the centre of the parameter space, and $l$ is a scale factor associated with the axis along which the data are defined.

Kernel algebra

It is possible to define new kernels from the standard set through a series of defined operations.

Consider two covariance functions, $f_1$ and $f_2$, then

Kernel Addition $f = f_1 + f_2$ is a covariance function.

Kernel product $f = f_1 f_2$ is a covariance function.

Non-stationarity of the parameter space

Gaussian Process implementation

Computational Complexity

One severe disadvantage of Gaussian Processes as a data analysis tool are their high computational complexity. Producing a prediction from a GP requires inverting the covariance matrix; matrix inversion is an $\mathcal{O}(N^3)$ process in time, and scales with $\mathcal{O}(N^2)$ in memory use. This effectively limits the number of training points which can be input to a GP to fewer than $10^4$. A number of approaches have been developed in the literature to address this short-coming by utilising computationally tractable approximations to either the matrix inversion or the Gaussian process.

These approaches can be grouped into three broad categories; sparse Gaussian processes, which use a modified covariance function to force the covariance matrix to have a near-diagonal structure; hierarchical approaches, which do not modify the covariancec function, but approximate the off-diagonal terms’ influence on the inversion; and local expert approaches, in which the parameter space is divided into many sub-spaces, and each sub-space is modelled using an independent Gaussian process.

Sparse Gaussian proceses

Hierarchical Gaussian processes

Gaussian process local experts

Local expert approaches attempt to improve the computational performance of GPs by diving the parameter space of the model into multiple sub-spaces. In a conventional GP the training data, $\mathcal{D} = \{ (x^n, y^n), n=1,…,N \} = \mathcal{X} ∪ \mathcal{Y},$ is used in its entirity to train a single GP. If these data were instead divided into $M$ subsets, of size $K$, we can train $M$ separate GPs, which will each provide an independent prediction for any given point in the parameter space. The network structure which is established by this subdivision of the parameter space is known as a gating network.

Early approaches to using local experts in GPs used kd-trees\cite{shen2005fast} to sub-divide the parameter space, and then modelled each subspace with its own GP. The GPs were trained together, with each having the same kernel hyper-parameters. Final predictions were then produced as a weighted sum of the individual GPs’ predictions. While this approach was somewhat effective, it enforced a stationary structure on the covariance matrix, and the paper does not treat the combination of the prediction uncertainties.

Approaches which follow the work of \cite{Jacobs:1991:AML:1351011.1351018} on mixtures of local experts have had some more promise, allowing each GP to have its own set of hyper-parameters, allowing greater freedom in modelling heteroscedastic and non-stationary data.

Deciding on the number of sub-models is a non-trivial problem; one approach is to model the parameter space using an infinite mixture model (IMM)\cite{rasmussen2002infinite}, in which the gating network is effectively a Dirichlet process over the training data. The predictions from each sub-model are then summed to find the global prediction. While this approach offers greater flexibility for modelling more complex underlying functions, it does little to improve the speed of GP predictions. Additional IMM approaches are proposed by \cite{meeds2006alternative}, and a comparable, variational approach is taken by \cite{yuan2009variational}.

All of these approaches have the difficulty of requiring the gating network to assign a weight (often called a responsibility to each sub-model’s prediction when calculating the global prediction, adding an additional layer of inference, which normally requires an MCMC sampler to perform. Product-of-experts models avoid this complication by multiplying the sub-model predictions, but these models have either turned out to be excessively confident,\cite{2014arXiv1412.3078N}, or excessively conservative\cite{2014arXiv1410.7827C}.

These problems have lead to the development of the Bayesian Committee Machine (BCM)\cite{tresp2000bayesian}, which assigns a weight to each sub-model’s prediction which is equal to the inverse of the prediction’s covariance, in order that sub-models which better observe the predicted region are given a greater weight in the global prediction. This approach can suffer as a result of models which contains week experts, and so the robust Bayesian Committee Machine\cite{deisenroth2015distributed} has been proposed to provide a more robust framework for Gaussian process regression with many experts. This approach also allows for the computation of the model’s prediction to be highly-parallelised, with the potential for each sub-model being evaluated on separate compute nodes, and combined together by another process running on another node.

Training Data

The data set being used for initial testing of heron is from the Georgia tech catalogue.

Spin-free catalogue

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Catalogue

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167GT0529SS_D6.2_a0.6_th150_M10310.30-0.5196-0.30-0.5196000.90050.96310.51820.1063
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172GT0535SS_D6.2_a0.6_th240_M1031-0.51960-0.30.51960-0.3000.8778NaNNaN0.104
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Data model

Predictive model

In order to make a prediction using the Gaussian Process model we require a new input at which the prediction should be made, which is denoted $x^*$. In order to form the predictive distribution we must then calculate the covariance of the new input with the existing training data, which we denote $Kx, x^*$, and the autocovariance of the input, $Kx^*, x^*$. We then define a new covariance matrix, $K+$, which has the block structure

$$\label{eq:blockK-plus-mat} K^+ = \begin{bmatrix} Kx,x & Kx,x^* \ Kx^*,x & Kx^*, x^* \end{bmatrix}$$

for $Kx,x$ the covariance matrix of the training inputs, and $Kx^*,x = Kx,x^*^T$.

The predictive distribution can then be found as

$$\label{eq:predictive-gp} p(y^* | x^*, \mathcal{D}) = \mathcal{N}(y^* | Kx^*,x Kx,x-1 y, Kx^*, x^* - Kx^*,xK-1x,x Kx,x^*).$$

Training the Gaussian Process

Once the Gaussian process model has been constructed it is necessary to train the model. This is done by choosing a set of hyperparameters for the covariance (kernel) function of the model which maximise some figure of merit of the model:

marginal likelihood (evidence)
This is the most common method used to train a GPR model, and allows the training step to be conducted in a fully Bayesian framework.
cross validation
By comparing the output of the model to some set of test data we can produce a figure of merit from the deviation of the model predictions from the test set. By minimising this quantity we can find a model which is best capable of reproducing the test data.

Performing this optimisation can be done in a number of ways, either by sampling the hyperparameter space using MCMC or nested sampling, or using a quasi-Newtonian method like BFGS. This approach works well for simple models, but rapidly becomes intractable for larger models, as the hyperparameter space seems to produce an area where there is a plateau in the overall evidence.

This problem has held Heron back for some time, but a solution in the form of nested sampling seems to allow us to find the correct (or at least a sufficiently correct) maximum in the marginal likelihood function for a given model (and in reasonable time: ~30 minutes for a model with 40 waveforms). Even nested sampling suffers from the plateau-ing problem, however, and it seems to be important to find a stopping criterion for the optimisation to prevent the process becoming stuck.

Finished models

Paper Model 1?

This model is composed of 40 waveforms from the fr (S-Series-v2) set from the Georgia tech catalogue, and involves dynamic range in the (t, q, a1x) parameters (check this!)

Check GPR evidence plateau

Is this real, or is this the result of a sign-flip in the code somewhere? It seems odd that the evidence should be the same as the hyperparameters keep getting smaller. Do we just need to penalise for this in the prior?

  • It might be a good idea to run some tests with a normal distribution around the `best guess’ value from HERON.

Determine the best optimisation method

It looks like ADAM is the most effective method.

Marginalising over the hyperparameters

Assessing the model

In order to assess the global accuracy of our Gaussian Process surrogate to the underlying function it is standing-in for we require some means of quantitatively measuring deviations between the two. We introduce two measures: the root-mean-squared error, and the correlation. Both methods require access to test data; some fraction of the available evaluations of the function which are not used to train the Gaussian process, but which are held aside, and to which predictions from the GP can be compared.

Let $x_*$ and $y_*$ be respectively the test inputs and test outputs for the Gaussian process, then let $\hat{y}$ be the set of model predictions drawn from the Gaussian Process with inputs $\vec{x}_*$.

Mean-squared error

$$\mathrm{RMSE} = \sqrt{ \frac{ ∑i=0n_i (y_*(i) - \hat{y}(i))^2 } { n_t } }$$

for $n_t$ the size of the test set.

Correlation

$$\label{eq:correlation} ρ^2 = \left( \frac{ \cov(y^*, \hat{y})} { \sqrt{ \vary(y) \vary(\hat{y}) } } \right)^2$$

Forrester\cite{forrester2008engineering} suggests that a $ρ^2 \geq 0.8$ provides a surrogate model with good global predictive abilities, which corresponds to an RMSE of around $0.1$.

Matched filtering

We can use the Gaussian Process to generate waveforms with which to perform matched filtering, and perform matched filtering in much the same way as the standard method. However, normal matched filtering assumes the templates to have no uncertainty, whereas the GPR-generated waveforms come with some measure of their error.

The abb:gpr uncertainty can be incorporated into the matched filtering process by considering the covariance (gram) matrix of the Gaussian process, and using this as part of the error term in the matched filter likelihood.

In a situation with Gaussian and stationary noise the likelihood of a match can be defined as

\[ L(s | \vec{λ}) \propto exp(-0.5 \inp{s - h(\vec{λ})} ) \]

With the noise-weighted inner product is defined as

\[ \inp{x}{y} = 4 \re{ ∫0^∞ \dd{f} \frac{x(f) y(f)}{Sₙ(f)} \]

Related Papers

Gaussian Processes

Marginalizing Gaussian Process Hyperparameters using Sequential Monte Carlo

PDF

Gravitational Waves

Optimizing gravitational waveforms using Gaussian Process Regression

Abstract

Models of gravitational waveforms play a principal role in detecting and estimating parameters of grav- itational waves (GWs) from compact binary coalescences. We present a Gaussian-process-regression ( GPR ) method which optimizes three aspects of compact binary coalescence gravitational waveforms. Using only a training set of accurate waveforms, the method (a) regresses waveforms with uncertain- ties to reduce biases in parameter estimates, (b) suggests where new accurate waveforms should be generated to minimize model error, and (c) allows fast waveform evaluation. As a proof of concept, we use a training set of IMRPhenomD waveforms with varied mass ratios and equal, aligned spins to build a GPR model which is compared back to IMRPhenomD. With 1000 training waveforms, a waveform with uncertainties from the GPR model can be evaluated in ∼ 3 ms. We then describe how the GPR uncertainties can be used to select parameter values at which to add new training waveforms. The benefit of such a method is that numerical relativity waveforms can be used as the training set to train a GPR model for use in parameter estimation, and the GPR can then in turn suggest parameter values for new numerical relativity simulations.

Method

This method is comparable to the HERON method except that the training data is generated from IMRPhenom waveforms, which are then reprojected into a ROM basis. The GP is then trained with these waveforms, using a Matérn-5/2 kernel (which they justify because of its differentiation properties, but there are advantages to it for the optimisation of the hyperparameters too). They appear to perform a MAP-based optimisation, however they do provide plots of the hyperposterior for a range of hyperparameter values in the case of non-spinning waveforms.

Placing new training waveforms

They propose using posterior uncertainties to guide the placement of future waveforms; this appears to work by training the GPR with a small number of points near the boundary of the parameter space, and then evaluating the model using a fine grid, and then calculating the waveform mismatch at each point in that grid. They then place a new waveform at the location with the largest value of the mismatch. This is naiively a sensible idea, and works for them in a 2D situation, but is computationally inefficient, and will lead to an extremely large number of samples being evaluated.

Publications

HERON Paper 1: Prototype model

Add new waveform points to the corner plot

Make aligned NR comparison plot

Change the units to code units

Project logbook

Out-of-sample testing issues

During out of sample testing efforts (week of 2019-06-10) a few interesting new issues have arisen with the rebuilt model (which appear to be a problem with the hyperparameter choices for the model). This manifests itself as an incorrectly predicted amplitude for the wave, and doesn’t seem to have any obvious solution.

Make data products for the training data

It would be desirable to be able to split the production of training data away from the actual operation of the model. It should be fairly straight forward to do this, but it would require a bit of alteration of the code.

Bibliography & Reading

Improving gravitational-wave parameter estimation using Gaussian process regression

PDF

Eccentric, nonspinning, inspiral, Gaussian-process merger approximant for the detection and characterization of eccentric binary black hole mergers