Variable-fidelity expected improvement method for efficient global optimization of expensive functions

Abstract

The efficient global optimization method (EGO) based on kriging surrogate model and expected improvement (EI) has received much attention for optimization of high-fidelity, expensive functions. However, when the standard EI method is directly applied to a variable-fidelity optimization (VFO) introducing assistance from cheap, low-fidelity functions via hierarchical kriging (HK) or cokriging, only high-fidelity samples can be chosen to update the variable-fidelity surrogate model. The theory of infilling low-fidelity samples towards the improvement of high-fidelity function is still a blank area. This article proposes a variable-fidelity EI (VF-EI) method that can adaptively select new samples of both low and high fidelity. Based on the theory of HK model, the EI of the high-fidelity function associated with adding low- and high-fidelity sample points are analytically derived, and the resulting VF-EI is a function of both the design variables x and the fidelity level l. Through maximizing the VF-EI, both the sample location and fidelity level of next numerical evaluation are determined, which in turn drives the optimization converging to the global optimum of high-fidelity function. The proposed VF-EI is verified by six analytical test cases and demonstrated by two engineering problems, including aerodynamic shape optimizations of RAE 2822 airfoil and ONERA M6 wing. The results show that it can remarkably improve the optimization efficiency and compares favorably to the existing methods.