Adaptive sampling-based bi-fidelity stochastic trust region method for stochastic derivative-free optimization
TL;DR
This paper proposes ASTRO-BFDF, an adaptive sampling trust-region method specifically designed for unconstrained bi-fidelity stochastic derivative-free optimization problems and proves that the iterates generated by ASTRO-BFDF converge to a first-order stationary point almost surely.
Abstract
Bi-fidelity stochastic optimization has gained increasing attention as an efficient approach to reduce computational costs by leveraging a low-fidelity (LF) model to optimize an expensive high-fidelity (HF) objective. In this paper, we propose ASTRO-BFDF, an adaptive sampling trust-region method specifically designed for unconstrained bi-fidelity stochastic derivative-free optimization problems. In ASTRO-BFDF, the LF function serves two purposes: (i) to identify better iterates for the HF function when the optimization process indicates a high correlation between them and (ii) to reduce the variance of the HF function estimates using bi-fidelity Monte Carlo (BFMC). The algorithm dynamically determines sample sizes while adaptively choosing between crude Monte Carlo and BFMC to balance the trade-off between optimization and sampling errors. We prove that the iterates generated by ASTRO-BFDF converge to a first-order stationary point almost surely. Additionally, we demonstrate the effectiveness of the proposed algorithm through numerical experiments on synthetic benchmarks and simulation optimization problems involving discrete event systems.