Multifidelity approaches for optimization under uncertainty

SUMMARY It is important to design robust and reliable systems by accounting for uncertainty and variability in the design process. However, performing optimization in this setting can be computationally expensive, requiring many evaluations of the numerical model to compute statistics of the system performance at every optimization iteration. This paper proposes a multifidelity approach to optimization under uncertainty that makes use of inexpensive, low‐fidelity models to provide approximate information about the expensive, high‐fidelity model. The multifidelity estimator is developed based on the control variate method to reduce the computational cost of achieving a specified mean square error in the statistic estimate. The method optimally allocates the computational load between the two models based on their relative evaluation cost and the strength of the correlation between them. This paper also develops an information reuse estimator that exploits the autocorrelation structure of the high‐fidelity model in the design space to reduce the cost of repeatedly estimating statistics during the course of optimization. Finally, a combined estimator incorporates the features of both the multifidelity estimator and the information reuse estimator. The methods demonstrate 90% computational savings in an acoustic horn robust optimization example and practical design turnaround time in a robust wing optimization problem. Copyright © 2014 John Wiley & Sons, Ltd.