Multi-fidelity Bayesian experimental design to quantify extreme-event statistics

Abstract: In this work, we develop a multi-fidelity Bayesian experimental design framework to efficiently quantify the extreme-event statistics of an input-to-response (ItR) system with given input probability and expensive function evaluations. The key idea here is to leverage low-fidelity samples whose responses can be computed with a cost of a certain fraction of that for high-fidelity samples, in an optimized configuration to reduce the total computational cost. To accomplish this goal, we employ a multi-fidelity Gaussian process as the surrogate model of the ItR function, and develop a new acquisition based on which the optimized next sample can be selected in terms of its location in the sample space and the fidelity level. In addition, we develop an inexpensive analytical evaluation of the acquisition and its derivative, avoiding numerical integrations that are prohibitive for high-dimensional problems. The new method is tested in a bi-fidelity context for a series of synthetic problems with varying dimensions, low-fidelity model accuracy and computational costs. Comparing with the single-fidelity method and the bi-fidelity method with a pre-defined fidelity hierarchy, our method consistently shows the best (or among the best) performance for all the test cases. Finally, we demonstrate the superiority of our method in solving an engineering problem of estimating the extreme ship motion statistics in irregular waves, using computational fluid dynamics (CFD) with two different grid resolutions as the high and low fidelity models.