arXiv · 2610.10174
A Unified Information-Theoretic Approach to Constrained Multi-Fidelity Multi-Objective Bayesian Optimization
Abstract
Bayesian optimization often involves multiple objectives, constraints, and fidelity levels. We address the challenge of jointly selecting where and at which fidelity to evaluate to identify the highest-fidelity feasible Pareto frontier in this combined setting. From a unified information-theoretic perspective, we measure query utility by the information gain about this frontier, provided by an observation. Since this mutual information is intractable, we derive a variational lower bound using a mixture of under- and over-truncated approximations to the Pareto-consistent region. Multi-fidelity surrogate models propagate the information to arbitrary fidelities, yielding a cost-aware acquisition function without separate heuristics for fidelity selection or constraint handling. Experiments on synthetic, benchmark, and real-world problems demonstrate effectiveness across diverse objective, constraint, and fidelity settings.
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Rikuto Matsumoto, Masanori Ishikura, Masayuki Karasuyama. 2026-10-07. A Unified Information-Theoretic Approach to Constrained Multi-Fidelity Multi-Objective Bayesian Optimization. https://arxiv.org/abs/2610.10174
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