Bayesian Optimization Meets Search Based Optimization: A Hybrid Approach for Multi-Fidelity Optimization

Many real-life problems require optimizing functions with expensive evaluations. Bayesian Optimization (BO) and Search-based Optimization (SO) are two broad families of algorithms that try to find the global optima of a function with the goal of minimizing the number of function evaluations. A large body of existing work deals with the single-fidelity setting, where function evaluations are very expensive but accurate. However, in many applications, we have access to multiple-fidelity functions that vary in their cost and accuracy of evaluation. In this paper, we propose a novel approach called Multi-fidelity Hybrid (MF-Hybrid) that combines the best attributes of both BO and SO methods to discover the global optima of a black-box function with minimal cost. Our experiments on multiple benchmark functions show that the MF-Hybrid algorithm outperforms existing single-fidelity and multi-fidelity optimization algorithms.