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A common scenario in engineering design is the availability of several black-box functions that describe an event with different levels of accuracy and evaluation cost. Solely employing the highest fidelity, often the most expensive, black-box function leads to lengthy and costly design cycles. Multi-fidelity modeling improves the efficiency of the design cycle by combining information from a small set of observations of the high-fidelity function and large sets of observations of the low-fidelity, fast-to-evaluate functions. In the context of Bayesian optimization, the most popular multi-fidelity model is the auto-regressive (AR) model, also known as the co-kriging surrogate. The main building block of the AR model is a weighted sum of two Gaussian processes (GPs). Therefore, the AR model is well suited to exploit information generated by sources that present strong linear correlations.