Some considerations regarding the use of multi-fidelity Kriging in the construction of surrogate models

Surrogate models or metamodels are commonly used to exploit expensive computational simulations within a design optimization framework. The application of multi-fidelity surrogate modeling approaches has recently been gaining ground due to the potential for further reductions in simulation effort over single fidelity approaches. However, given a black box problem when exactly should a designer select a multi-fidelity approach over a single fidelity approach and vice versa? Using a series of analytical test functions and engineering design examples from the literature, the following paper illustrates the potential pitfalls of choosing one technique over the other without a careful consideration of the optimization problem at hand. These examples are then used to define and validate a set of guidelines for the creation of a multi-fidelity Kriging model. The resulting guidelines state that the different fidelity functions should be well correlated, that the amount of low fidelity data in the model should be greater than the amount of high fidelity data and that more than 10 % and less than 80 % of the total simulation budget should be spent on low fidelity simulations in order for the resulting multi-fidelity model to perform better than the equivalent costing high fidelity model.