Comparison of Multi-Fidelity Modelling Methods for Bayesian Optimization

In process systems engineering (PSE), obtaining accurate process models for optimization can be expensive and time-consuming. Black-box Bayesian Optimization (BO) with Gaussian process (GP) surrogates offers a promising approach. However, full black-box optimization neglects valuable prior knowledge, which could otherwise improve the optimization process. This work explores methods of integrating prior knowledge in the form of low-fidelity data into BO by evaluating these methods on synthetic multi-fidelity test functions. Our results highlight possibilities for improved convergence of the BO optimization. However, our work further highlights potential pitfalls of these multi-fidelity models, such as bias, convergence to local optima, and overfitting on low-fidelity data. Hence, leveraging low-fidelity data in multi-fidelity models can improve BO convergence, but there are instances where the algorithms are more susceptible to failure.