Multi-Fidelity Cost-Aware Bayesian Optimization

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.

References in corpus (7)

• Practical Bayesian Optimization of Machine Learning Algorithms
• Predictive Entropy Search for Efficient Global Optimization of Black-box Functions
• Bayesian Optimization with Unknown Constraints
• Composite Gaussian process models for emulating expensive functions
• Latent Map Gaussian Processes for Mixed Variable Metamodeling
• The reparameterization trick for acquisition functions
• Two-step Lookahead Bayesian Optimization with Inequality Constraints

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• Co-orchestration of Multiple Instruments to Uncover Structure-Property Relationships in Combinatorial Libraries
• Bayesian Parameter Inference and Uncertainty Quantification for a Computational Pulmonary Hemodynamics Model Using Gaussian Processes
• Bayesian Calibration and Uncertainty Quantification for a Large Nutrient Load Impact Model