Structural health monitoring (SHM) allows the acquisition of information on the structural integrity of any mechanical system by processing data, measured through a set of sensors, in order to estimate relevant mechanical parameters and indicators of performance. Herein we present a method to perform the cost–benefit optimization of a sensor network by defining the density, type, and positioning of the sensors to be deployed. The effectiveness (benefit) of an SHM system may be quantified by means of information theory, namely through the expected Shannon information gain provided by the measured data, which allows the inherent uncertainties of the experimental process (i.e., those associated with the prediction error and the parameters to be estimated) to be accounted for. In order to evaluate the computationally expensive Monte Carlo estimator of the objective function, a framework comprising surrogate models (polynomial chaos expansion), model order reduction methods (principal component analysis), and stochastic optimization methods is introduced. Two optimization strategies are proposed: the maximization of the information provided by the measured data, given the technological, identifiability, and budgetary constraints; and the maximization of the information–cost ratio. The application of the framework to a large-scale structural problem, the Pirelli tower in Milan, is presented, and the two comprehensive optimization methods are compared.