Optimally Balancing Exploration and Exploitation to Automate Multifidelity Statistical Estimation*

Multifidelity methods that use an ensemble of models to compute a Monte Carlo estimator of the expectation of a high-fidelity model can significantly reduce computational costs compared to single-model approaches. These methods use oracle statistics, specifically the covariance between models, to optimally allocate samples to each model in the ensemble. However, in practice, the oracle statistics are estimated using additional model evaluations, whose computational cost and induced error are typically ignored. To address this issue, this paper proposes an adaptive algorithm to optimally balance the resources between oracle statistics estimation and final multifidelity estimator construction, leveraging ideas from multilevel best linear unbiased estimators in Schaden and Ullmann (SIAM/ASA J. Uncertain. Quantif., 8 (2020), pp. 601–635) and a bandit-learning procedure in Xu et al. (SIAM J. Sci. Comput., 44 (2022), pp. A150–A175). Under mild assumptions, we demonstrate that the multifidelity estimator produced by the proposed algorithm exhibits mean-squared error commensurate with that of the best linear unbiased estimator under the optimal allocation computed with oracle statistics. Our theoretical findings are supported by detailed numerical experiments, including a parametric elliptic PDE and an ice-sheet mass-change modeling problem.