Summary
Generating an estimate of uncertainty in production forecasts has become nearly standard in the oil industry, but is often performed with procedures that yield at best a highly approximate uncertainty quantification. Formally, the uncertainty quantification of a production forecast can be achieved by generating a correct characterization of the posterior probability-density function (PDF) of reservoir-model parameters conditional to dynamic data and then sampling this PDF correctly. Although Markov-chain Monte Carlo (MCMC) provides a theoretically rigorous method for sampling any target PDF that is known up to a normalizing constant, in reservoir-engineering applications, researchers have found that it might require extraordinarily long chains containing millions to hundreds of millions of states to obtain a correct characterization of the target PDF. When the target PDF has a single mode or has multiple modes concentrated in a small region, it might be possible to implement a proposal distribution dependent on a random walk so that the resulting MCMC algorithm derived from the Metropolis-Hastings acceptance probability can yield a good characterization of the posterior PDF with a computationally feasible chain length. However, for a high-dimensional multimodal PDF with modes separated by large regions of low or zero probability, characterizing the PDF with MCMC using a random walk is not computationally feasible. Although methods such as population MCMC exist for characterizing a multimodal PDF, their computational cost generally makes the application of these algorithms far too costly for field application. In this paper, we design a new proposal distribution using a Gaussian mixture PDF for use in MCMC where the posterior PDF can be multimodal with the modes spread far apart. Simply put, the method generates modes using a gradient-based optimization method and constructs a Gaussian mixture model (GMM) to use as the basic proposal distribution. Tests on three simple problems are presented to establish the validity of the method. The performance of the new MCMC algorithm is compared with that of random-walk MCMC and is also compared with that of population MCMC for a target PDF that is multimodal.
Ergodicity of Markov chain Monte Carlo with reversible proposal
