Safeguarding Multi-Fidelity Bayesian Optimization Against Large Model Form Errors and Heterogeneous Noise

Bayesian optimization (BO) is a sequential optimization strategy that is increasingly employed in a wide range of areas such as materials design. In real-world applications, acquiring high-fidelity (HF) data through physical experiments or HF simulations is the major cost component of BO. To alleviate this bottleneck, multi-fidelity (MF) methods are used to forgo the sole reliance on the expensive HF data and reduce the sampling costs by querying inexpensive low-fidelity (LF) sources whose data are correlated with HF samples. However, existing multi-fidelity BO (MFBO) methods operate under the following two assumptions that rarely hold in practical applications: (1) LF sources provide data that are well correlated with the HF data on a global scale, and (2) a single random process can model the noise in the MF data. These assumptions dramatically reduce the performance of MFBO when LF sources are only locally correlated with the HF source or when the noise variance varies across the data sources. In this paper, we view these two limitations and uncertainty sources and address them by building an emulator that more accurately quantifies uncertainties. Specifically, our emulator (1) learns a separate noise model for each data source, and (2) leverages strictly proper scoring rules in regularizing itself. We illustrate the performance of our method through analytical examples and engineering problems in materials design. The comparative studies indicate that our MFBO method outperforms existing technologies, provides interpretable results, and can leverage LF sources which are only locally correlated with the HF source.