Constrained multi-fidelity Bayesian optimization with automatic stop condition

• URL: http://arxiv.org/abs/2503.01126v2
• Date: Fri, 21 Mar 2025 22:41:37 GMT
• Title: Constrained multi-fidelity Bayesian optimization with automatic stop condition
• Authors: Zahra Zanjani Foumani, Ramin Bostanabad,
• Abstract summary: We develop a constrained cost-aware multi-fidelity BO (CMFBO) framework.<n>Our goal is to minimize overall sampling costs by utilizing inexpensive low-fidelity sources while ensuring feasibility.<n>We also introduce a systematic stopping criterion that addresses the long-lasting issue associated with BO's convergence assessment.
• Score: 0.0
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Bayesian optimization (BO) is increasingly employed in critical applications to find the optimal design with minimal cost. While BO is known for its sample efficiency, relying solely on costly high-fidelity data can still result in high costs. This is especially the case in constrained search spaces where BO must not only optimize but also ensure feasibility. A related issue in the BO literature is the lack of a systematic stopping criterion. To solve these challenges, we develop a constrained cost-aware multi-fidelity BO (CMFBO) framework whose goal is to minimize overall sampling costs by utilizing inexpensive low-fidelity sources while ensuring feasibility. In our case, the constraints can change across the data sources and may be even black-box functions. We also introduce a systematic stopping criterion that addresses the long-lasting issue associated with BO's convergence assessment. Our framework is publicly available on GitHub through the GP+ Python package and herein we validate it's efficacy on multiple benchmark problems.

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