Multi-Fidelity Cost-Aware Bayesian Optimization

TL;DR

This paper introduces a multi-fidelity Bayesian optimization framework that reduces costs and improves robustness by effectively integrating and managing multiple data sources of varying fidelity levels.

Contribution

The paper presents a novel acquisition function and an emulator tailored for multi-fidelity Bayesian optimization, enhancing efficiency and robustness over existing methods.

Findings

Outperforms state-of-the-art in efficiency, consistency, and robustness

Effectively identifies and excludes biased low-fidelity sources

Demonstrates advantages on analytic and engineering problems

Abstract

Bayesian optimization (BO) is increasingly employed in critical applications such as materials design and drug discovery. An increasingly popular strategy in BO is to forgo the sole reliance on high-fidelity data and instead use an ensemble of information sources which provide inexpensive low-fidelity data. The overall premise of this strategy is to reduce the overall sampling costs by querying inexpensive low-fidelity sources whose data are correlated with high-fidelity samples. Here, we propose a multi-fidelity cost-aware BO framework that dramatically outperforms the state-of-the-art technologies in terms of efficiency, consistency, and robustness. We demonstrate the advantages of our framework on analytic and engineering problems and argue that these benefits stem from our two main contributions: (1) we develop a novel acquisition function for multi-fidelity cost-aware BO that safeguards the convergence against the biases of low-fidelity data, and (2) we tailor a newly developed emulator for multi-fidelity BO which enables us to not only simultaneously learn from an ensemble of multi-fidelity datasets, but also identify the severely biased low-fidelity sources that should be excluded from BO.