Contour location via entropy reduction leveraging multiple information sources

Understand

We introduce an algorithm to locate contours of functions that are expensive to evaluate.

• The problem of locating contours arises in many applications, including classification, constrained optimization, and performance analysis of mechanical and dynamical systems (reliability, probability of failure, stability, etc.).
• Our algorithm locates contours using information from multiple sources, which are available in the form of relatively inexpensive, biased, and possibly noisy approximations to the original function.
• Considering multiple information sources can lead to significant cost savings.