Multi-Information Source Optimization

We consider Bayesian methods for multi-information source optimization (MISO), in which we seek to optimize an expensive-to-evaluate black-box objective function while also accessing cheaper but biased and noisy approximations ("information sources"). We present a novel algorithm that outperforms the state of the art for this problem by using a joint statistical model of the information sources better suited to MISO than those used by previous approaches, and a novel acquisition function based on a one-step optimality analysis supported by efficient parallelization. We provide a guarantee on the asymptotic quality of the solution provided by this algorithm. Experimental evaluations demonstrate that this algorithm consistently finds designs of higher value at less cost than previous approaches.