Gaussian mixture Markov chain Monte Carlo method for linear seismic inversion

Geophysics ◽  
2019 ◽  
Vol 84 (3) ◽  
pp. R463-R476 ◽  
Author(s):  
Leandro Passos de Figueiredo ◽  
Dario Grana ◽  
Mauro Roisenberg ◽  
Bruno B. Rodrigues
Keyword(s):  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Elastic Properties ◽  
Posterior Distribution ◽  
Seismic Data ◽  
Gaussian Mixture ◽  
Gaussian Component ◽  
Well Test ◽  
Mcmc Method

We have developed a Markov chain Monte Carlo (MCMC) method for joint inversion of seismic data for the prediction of facies and elastic properties. The solution of the inverse problem is defined by the Bayesian posterior distribution of the properties of interest. The prior distribution is a Gaussian mixture model, and each component is associated to a potential configuration of the facies sequence along the seismic trace. The low frequency is incorporated by using facies-dependent depositional trend models for the prior means of the elastic properties in each facies. The posterior distribution is also a Gaussian mixture, for which the Gaussian component can be analytically computed. However, due to the high number of components of the mixture, i.e., the large number of facies configurations, the computation of the full posterior distribution is impractical. Our Gaussian mixture MCMC method allows for the calculation of the full posterior distribution by sampling the facies configurations according to the acceptance/rejection probability. The novelty of the method is the use of an MCMC framework with multimodal distributions for the description of the model properties and the facies along the entire seismic trace. Our method is tested on synthetic seismic data, applied to real seismic data, and validated using a well test.

Efficient History Matching Using the Markov-Chain Monte Carlo Method by Means of the Transformed Adaptive Stochastic Collocation Method

SPE Journal ◽  
2019 ◽  
Vol 24 (04) ◽  
pp. 1468-1489 ◽  
Author(s):  
Qinzhuo Liao ◽  
Lingzao Zeng ◽  
Haibin Chang ◽  
Dongxiao Zhang
Keyword(s):  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Collocation Method ◽  
Posterior Distribution ◽  
History Matching ◽  
Stochastic Collocation ◽  
Mcmc Method ◽  
Stochastic Collocation Method ◽  
Surrogate System

Summary Bayesian inference provides a convenient framework for history matching and prediction. In this framework, prior knowledge, system nonlinearity, and measurement errors can be directly incorporated into the posterior distribution of the parameters. The Markov-chain Monte Carlo (MCMC) method is a powerful tool to generate samples from the posterior distribution. However, the MCMC method usually requires a large number of forward simulations. Hence, it can be a computationally intensive task, particularly when dealing with large-scale flow and transport models. To address this issue, we construct a surrogate system for the model outputs in the form of polynomials using the stochastic collocation method (SCM). In addition, we use interpolation with the nested sparse grids and adaptively take into account the different importance of parameters for high-dimensional problems. Furthermore, we introduce an additional transform process to improve the accuracy of the surrogate model in case of strong nonlinearities, such as a discontinuous or unsmooth relation between the input parameters and the output responses. Once the surrogate system is built, we can evaluate the likelihood with little computational cost. Numerical results demonstrate that the proposed method can efficiently estimate the posterior statistics of input parameters and provide accurate results for history matching and prediction of the observed data with a moderate number of parameters.

Multimodal Markov chain Monte Carlo method for nonlinear petrophysical seismic inversion

Geophysics ◽  
2019 ◽  
Vol 84 (5) ◽  
pp. M1-M13 ◽  
Author(s):  
Leandro Passos de Figueiredo ◽  
Dario Grana ◽  
Mauro Roisenberg ◽  
Bruno B. Rodrigues
Keyword(s):  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Posterior Distribution ◽  
Seismic Inversion ◽  
Forward Model ◽  
Model Parameters ◽  
Petrophysical Properties ◽  
Mcmc Method ◽  
Data Set

One of the main objectives in the reservoir characterization is estimating the rock properties based on seismic measurements. We have developed a stochastic sampling method for the joint prediction of facies and petrophysical properties, assuming a nonparametric mixture prior distribution and a nonlinear forward model. The proposed methodology is based on a Markov chain Monte Carlo (MCMC) method specifically designed for multimodal distributions for nonlinear problems. The vector of model parameters includes the facies sequence along the seismic trace as well as the continuous petrophysical properties, such as porosity, mineral fractions, and fluid saturations. At each location, the distribution of petrophysical properties is assumed to be multimodal and nonparametric with as many modes as the number of facies; therefore, along the seismic trace, the distribution is multimodal with the number of modes being equal to the number of facies power the number of samples. Because of the nonlinear forward model, the large number of modes and as a consequence the large dimension of the model space, the analytical computation of the full posterior distribution is not feasible. We then numerically evaluate the posterior distribution by using an MCMC method in which we iteratively sample the facies, by moving from one mode to another, and the petrophysical properties, by sampling within the same mode. The method is extended to multiple seismic traces by applying a first-order Markov chain that accounts for the lateral continuity of the model properties. We first validate the method using a synthetic 2D reservoir model and then we apply the method to a real data set acquired in a carbonate field.

scholarly journals Simulation of the Energy Efficiency Auction Prices via the Markov Chain Monte Carlo Method

Energies ◽  
2020 ◽  
Vol 13 (17) ◽  
pp. 4544
Author(s):  
Javier Linkolk López-Gonzales ◽  
Reinaldo Castro Souza ◽  
Felipe Leite Coelho da Silva ◽  
Natalí Carbo-Bustinza ◽  
Germán Ibacache-Pulgar ◽  
...  
Keyword(s):  
Energy Efficiency ◽  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Kernel Method ◽  
Original Data ◽  
Gaussian Mixture ◽  
Energy Price ◽  
Energy Prices ◽  
Mcmc Method

Over the years, electricity consumption behavior in Brazil has been analyzed due to financial and social problems. In this context, it is important to simulate energy prices of the energy efficiency auctions in the Brazilian electricity market. The Markov Chain Monte Carlo (MCMC) method generated simulations; thus, several samples were generated with different sizes. It is possible to say that the larger the sample, the better the approximation to the original data. Then, the Kernel method and the Gaussian mixture model used to estimate the density distribution of energy price, and the MCMC method were crucial in providing approximations of the original data and clearly analyzing its impact. Next, the behavior of the data in each histogram was observed with 500, 1000, 5000 and 10,000 samples, considering only one scenario. The sample which best approximates the original data in accordance with the generated histograms is the 10,000th sample, which consistently follows the behavior of the data. Therefore, this paper presents an approach to generate samples of auction energy prices in the energy efficiency market, using the MCMC method through the Metropolis–Hastings algorithm. The results show that this approach can be used to generate energy price samples.

Markov Chain Monte Carlo

2015 ◽  
Author(s):  
N. Thompson Hobbs ◽  
Mevin B. Hooten
Keyword(s):  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Bayesian Analysis ◽  
Posterior Distribution ◽  
Mcmc Algorithm ◽  
Bayesian Analyses ◽  
Seminal Paper ◽  
Formal Treatment ◽  
High Level

This chapter explains how to implement Bayesian analyses using the Markov chain Monte Carlo (MCMC) algorithm, a set of methods for Bayesian analysis made popular by the seminal paper of Gelfand and Smith (1990). It begins with an explanation of MCMC with a heuristic, high-level treatment of the algorithm, describing its operation in simple terms with a minimum of formalism. In this first part, the chapter explains the algorithm so that all readers can gain an intuitive understanding of how to find the posterior distribution by sampling from it. Next, the chapter offers a somewhat more formal treatment of how MCMC is implemented mathematically. Finally, this chapter discusses implementation of Bayesian models via two routes—by using software and by writing one's own algorithm.

scholarly journals Measuring Stellar Radial Velocity using Markov Chain Monte Carlo(MCMC) Method

2013 ◽  
Vol 9 (S298) ◽  
pp. 441-441
Author(s):  
Yihan Song ◽  
Ali Luo ◽  
Yongheng Zhao
Keyword(s):  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Probability Distribution ◽  
Radial Velocity ◽  
Mcmc Methods ◽  
Mcmc Method ◽  
Stellar Spectra ◽  
Mcmc Simulation ◽  
Template Fitting

AbstractStellar radial velocity is estimated by using template fitting and Markov Chain Monte Carlo(MCMC) methods. This method works on the LAMOST stellar spectra. The MCMC simulation generates a probability distribution of the RV. The RV error can also computed from distribution.

A two-step inversion approach for seismic-reservoir characterization and a comparison with a single-loop Markov-chain Monte Carlo algorithm

Geophysics ◽  
2018 ◽  
Vol 83 (3) ◽  
pp. R227-R244 ◽  
Author(s):  
Mattia Aleardi ◽  
Fabio Ciabarri ◽  
Timur Gukov
Keyword(s):  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Reservoir Characterization ◽  
Gaussian Mixture ◽  
Petrophysical Properties ◽  
Mcmc Algorithm ◽  
Prior Model ◽  
Single Loop ◽  
Seismic Reservoir

We have evaluated a two-step Bayesian algorithm for seismic-reservoir characterization, which, thanks to some simplifying assumptions, is computationally very efficient. The applicability and reliability of this method are assessed by comparison with a more sophisticated and computer-intensive Markov-chain Monte Carlo (MCMC) algorithm, which in a single loop directly estimates petrophysical properties and lithofluid facies from prestack data. The two-step method first combines a linear rock-physics model (RPM) with the analytical solution of a linearized amplitude versus angle (AVA) inversion, to directly estimate the petrophysical properties, and related uncertainties, from prestack data under the assumptions of a Gaussian prior model and weak elastic contrasts at the reflecting interface. In particular, we use an empirical, linear RPM, properly calibrated for the investigated area, to reparameterize the linear time-continuous P-wave reflectivity equation in terms of petrophysical contrasts instead of elastic constants. In the second step, a downward 1D Markov-chain prior model is used to infer the lithofluid classes from the outcomes of the first step. The single-loop (SL) MCMC algorithm uses a convolutional forward modeling based on the exact Zoeppritz equations, and it adopts a nonlinear RPM. Moreover, it assumes a more realistic Gaussian mixture distribution for the petrophysical properties. Both approaches are applied on an onshore 3D seismic data set for the characterization of a gas-bearing, clastic reservoir. Notwithstanding the differences in the forward-model parameterization, in the considered RPM, and in the assumed a priori probability density functions, the two methods yield maximum a posteriori solutions that are consistent with well-log data, although the Gaussian mixture assumption adopted by the SL method slightly improves the description of the multimodal behavior of the petrophysical parameters. However, in the considered reservoir, the main difference between the two approaches remains the very different computational times, the SL method being much more computationally intensive than the two-step approach.

scholarly journals IMPLEMENTASI METODE MARKOV CHAIN MONTE CARLO DALAM PENENTUAN HARGA KONTRAK BERJANGKA KOMODITAS

2015 ◽  
Vol 4 (3) ◽  
pp. 122
Author(s):  
PUTU AMANDA SETIAWANI ◽  
KOMANG DHARMAWAN ◽  
I WAYAN SUMARJAYA
Keyword(s):  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Simulation Method ◽  
Commodity Price ◽  
Future Contract ◽  
Mcmc Method ◽  
Futures Contract ◽  
Mcmc Simulation ◽  
Hit And Run

The aim of the research is to implement Markov Chain Monte Carlo (MCMC) simulation method to price the futures contract of cocoa commodities. The result shows that MCMC is more flexible than Standard Monte Carlo (SMC) simulation method because MCMC method uses hit-and-run sampler algorithm to generate proposal movements that are subsequently accepted or rejected with a probability that depends on the distribution of the target that we want to be achieved. This research shows that MCMC method is suitable to be used to simulate the model of cocoa commodity price movement. The result of this research is a simulation of future contract prices for the next three months and future contract prices that must be paid at the time the contract expires. Pricing future contract by using MCMC method will produce the cheaper contract price if it compares to Standard Monte Carlo simulation.

Sign in / Sign up

Export Citation Format

Share Document