Data Assimilation Using the Constrained Ensemble Kalman Filter

SPE Journal ◽  
2010 ◽  
Vol 16 (02) ◽  
pp. 331-342 ◽  
Author(s):  
Hemant A. Phale ◽  
Dean S. Oliver
Keyword(s):  
Kalman Filter ◽  
Data Assimilation ◽  
Ensemble Kalman Filter ◽  
History Matching ◽  
Model Parameters ◽  
State Variables ◽  
Reservoir Properties ◽  
Compositional Model ◽  
Highly Nonlinear ◽  
Nonnegativity Constraints

Summary When the ensemble Kalman filter (EnKF) is used for history matching, the resulting updates to reservoir properties sometimes exceed physical bounds, especially when the problem is highly nonlinear. Problems of this type are often encountered during history matching compositional models using the EnKF. In this paper, we illustrate the problem using an example in which the updated molar density of CO2 in some regions is observed to take negative values while molar densities of the remaining components are increased. Standard truncation schemes avoid negative values of molar densities but do not address the problem of increased molar densities of other components. The results can include a spurious increase in reservoir pressure with a subsequent inability to maintain injection. In this paper, we present a method for constrained EnKF (CEnKF), which takes into account the physical constraints on the plausible values of state variables during data assimilation. In the proposed method, inequality constraints are converted to a small number of equality constraints, which are used as virtual observations for calibrating the model parameters within plausible ranges. The CEnKF method is tested on a 2D compositional model and on a highly heterogeneous three-phase-flow reservoir model. The effect of the constraints on mass conservation is illustrated using a 1D Buckley-Leverett flow example. Results show that the CEnKF technique is able to enforce the nonnegativity constraints on molar densities and the bound constraints on saturations (all phase saturations must be between 0 and 1) and achieve a better estimation of reservoir properties than is obtained using only truncation with the EnKF.

An Iterative Ensemble Kalman Filter for Multiphase Fluid Flow Data Assimilation

SPE Journal ◽  
2007 ◽  
Vol 12 (04) ◽  
pp. 438-446 ◽  
Author(s):  
Yaqing Gu ◽  
Dean S. Oliver
Keyword(s):  
Porous Media ◽  
Kalman Filter ◽  
Data Assimilation ◽  
Ensemble Kalman Filter ◽  
Weather Forecasting ◽  
Weather Prediction ◽  
Flow In Porous Media ◽  
Petroleum Reservoir ◽  
State Variables ◽  
Highly Nonlinear

Summary The dynamical equations for multiphase flow in porous media are highly nonlinear and the number of variables required to characterize the medium is usually large, often two or more variables per simulator gridblock. Neither the extended Kalman filter nor the ensemble Kalman filter is suitable for assimilating data or for characterizing uncertainty for this type of problem. Although the ensemble Kalman filter handles the nonlinear dynamics correctly during the forecast step, it sometimes fails badly in the analysis (or updating) of saturations. This paper focuses on the use of an iterative ensemble Kalman filter for data assimilation in nonlinear problems, especially of the type related to multiphase ow in porous media. Two issues are key:iteration to enforce constraints andensuring that the resulting ensemble is representative of the conditional pdf (i.e., that the uncertainty quantification is correct). The new algorithm is compared to the ensemble Kalman filter on several highly nonlinear example problems, and shown to be superior in the prediction of uncertainty. Introduction For linear problems, the Kalman filter is optimal for assimilating measurements to continuously update the estimate of state variables. Kalman filters have occasionally been applied to the problem of estimating values of petroleum reservoir variables (Eisenmann et al. 1994; Corser et al. 2000), but they are most appropriate when the problems are characterized by a small number of variables and when the variables to be estimated are linearly related to the observations. Most data assimilation problems in petroleum reservoir engineering are highly nonlinear and are characterized by many variables, often two or more variables per simulator gridblock. The problem of weather forecasting is in many respects similar to the problem of predicting future petroleum reservoir performance. The economic impact of inaccurate predictions is substantial in both cases, as is the difficulty of assimilating very large data sets and updating very large numerical models. One method that has been recently developed for assimilating data in weather forecasting is ensemble Kalman filtering (Evensen 1994; Houtekamer and Mitchell 1998; Anderson and Anderson 1999; Hamill et al. 2000; Houtekamer and Mitchell 2001; Evensen 2003). It has been demonstrated to be useful for weather prediction over the North Atlantic. The method is now beginning to be applied for data assimilation in groundwater hydrology (Reichle et al. 2002; Chen and Zhang 2006) and in petroleum engineering (Nævdal et al. 2002, 2005; Gu and Oliver 2005; Liu and Oliver 2005a; Wen and Chen 2006, 2007; Zafari and Reynolds 2007; Gao et al. 2006; Lorentzen et al. 2005; Skjervheim et al. 2007; Dong et al. 2006), but the applications to state variables whose density functions are bimodal has proved problematic (Gu and Oliver 2006). For applications to nonlinear assimilation problems, it is useful to think of the ensemble Kalman filter as a least squares method that obtains an averaged gradient for minimization not from a variational approach but from an empirical correlation between model variables (Anderson 2003; Zafari et al. 2006). In addition to providing a mean estimate of the variables, a Monte Carlo estimate of uncertainty can be obtained directly from the variability in the ensemble.

scholarly journals Parameters Estimation and Prediction of Water Movement and Solute Transport in Layered, Variably Saturated Soils Using the Ensemble Kalman Filter

Water ◽  
2019 ◽  
Vol 11 (7) ◽  
pp. 1520
Author(s):  
Zheng Jiang ◽  
Quanzhong Huang ◽  
Gendong Li ◽  
Guangyong Li
Keyword(s):  
Kalman Filter ◽  
Solute Transport ◽  
Ensemble Kalman Filter ◽  
Water Movement ◽  
Parameters Estimation ◽  
Saturated Soils ◽  
Hydrological Models ◽  
State Variables ◽  
Ensemble Size ◽  
Highly Nonlinear

The parameters of water movement and solute transport models are essential for the accurate simulation of soil moisture and salinity, particularly for layered soils in field conditions. Parameter estimation can be achieved using the inverse modeling method. However, this type of method cannot fully consider the uncertainties of measurements, boundary conditions, and parameters, resulting in inaccurate estimations of parameters and predictions of state variables. The ensemble Kalman filter (EnKF) is well-suited to data assimilation and parameter prediction in Situations with large numbers of variables and uncertainties. Thus, in this study, the EnKF was used to estimate the parameters of water movement and solute transport in layered, variably saturated soils. Our results indicate that when used in conjunction with the HYDRUS-1D software (University of California Riverside, California, CA, USA) the EnKF effectively estimates parameters and predicts state variables for layered, variably saturated soils. The assimilation of factors such as the initial perturbation and ensemble size significantly affected in the simulated results. A proposed ensemble size range of 50–100 was used when applying the EnKF to the highly nonlinear hydrological models of the present study. Although the simulation results for moisture did not exhibit substantial improvement with the assimilation, the simulation of the salinity was significantly improved through the assimilation of the salinity and relative solutetransport parameters. Reducing the uncertainties in measured data can improve the goodness-of-fit in the application of the EnKF method. Sparse field condition observation data also benefited from the accurate measurement of state variables in the case of EnKF assimilation. However, the application of the EnKF algorithm for layered, variably saturated soils with hydrological models requires further study, because it is a challenging and highly nonlinear problem.

Data Assimilation of Coupled Fluid Flow and Geomechanics Using the Ensemble Kalman Filter

SPE Journal ◽  
2010 ◽  
Vol 15 (02) ◽  
pp. 382-394 ◽  
Author(s):  
Haibin Chang ◽  
Yan Chen ◽  
Dongxiao Zhang
Keyword(s):  
Fluid Flow ◽  
Kalman Filter ◽  
Data Assimilation ◽  
Material Properties ◽  
Ensemble Kalman Filter ◽  
Oil Field ◽  
Reservoir Rock ◽  
Model Parameters ◽  
Stress Strain ◽  
Reservoir Flow

Summary In reservoir history matching or data assimilation, dynamic data, such as production rates and pressures, are used to constrain reservoir models and to update model parameters. As such, even if under certain conceptualization the model parameters do not vary with time, the estimate of such parameters may change with the available observations and, thus, with time. In reality, the production process may lead to changes in both the flow and geomechanics fields, which are dynamically coupled. For example, the variations in the stress/strain field lead to changes in porosity and permeability of the reservoir and, hence, in the flow field. In weak formations, such as the Lost Hills oil field, fluid extraction may cause a large compaction to the reservoir rock and a significant subsidence at the land surface, resulting in huge economic losses and detrimental environmental consequences. The strong nonlinear coupling between reservoir flow and geomechanics poses a challenge to constructing a reliable model for predicting oil recovery in such reservoirs. On the other hand, the subsidence and other geomechanics observations can provide additional insight into the nature of the reservoir rock and help constrain the reservoir model if used wisely. In this study, the ensemble-Kalman-filter (EnKF) approach is used to estimate reservoir flow and material properties by jointly assimilating dynamic flow and geomechanics observations. The resulting model can be used for managing and optimizing production operations and for mitigating the land subsidence. The use of surface displacement observations improves the match to both production and displacement data. Localization is used to facilitate the assimilation of a large amount of data and to mitigate the effect of spurious correlations resulting from small ensembles. Because the stress, strain, and displacement fields are updated together with the material properties in the EnKF, the issue of consistency at the analysis step of the EnKF is investigated. A 3D problem with reservoir fluid-flow and mechanical parameters close to those of the Lost Hills oil field is used to test the applicability.

A Probabilistic Collocation-Based Kalman Filter for History Matching

SPE Journal ◽  
2011 ◽  
Vol 16 (02) ◽  
pp. 294-306 ◽  
Author(s):  
Lingzao Zeng ◽  
Haibin Chang ◽  
Dongxiao Zhang
Keyword(s):  
Kalman Filter ◽  
Data Assimilation ◽  
Ensemble Kalman Filter ◽  
History Matching ◽  
Initial Conditions ◽  
Collocation Point ◽  
Computational Effort ◽  
Production Data ◽  
Sampling Errors ◽  
Probabilistic Collocation

Summary The ensemble Kalman filter (EnKF) has been used widely for data assimilation. Because the EnKF is a Monte Carlo-based method, a large ensemble size is required to reduce the sampling errors. In this study, a probabilistic collocation-based Kalman filter (PCKF) is developed to adjust the reservoir parameters to honor the production data. It combines the advantages of the EnKF for dynamic data assimilation and the polynomial chaos expansion (PCE) for efficient uncertainty quantification. In this approach, all the system parameters and states and the production data are approximated by the PCE. The PCE coefficients are solved with the probabilistic collocation method (PCM). Collocation realizations are constructed by choosing collocation point sets in the random space. The simulation for each collocation realization is solved forward in time independently by means of an existing deterministic solver, as in the EnKF method. In the analysis step, the needed covariance is approximated by the PCE coefficients. In this study, a square-root filter is employed to update the PCE coefficients. After the analysis, new collocation realizations are constructed. With the parameter collocation realizations as the inputs and the state collocation realizations as initial conditions, respectively, the simulations are forwarded to the next analysis step. Synthetic 2D water/oil examples are used to demonstrate the applicability of the PCKF in history matching. The results are compared with those from the EnKF on the basis of the same analysis. It is shown that the estimations provided by the PCKF are comparable to those obtained from the EnKF. The biggest improvement of the PCKF comes from the leading PCE approximation, with which the computational burden of the PCKF can be greatly reduced by means of a smaller number of simulation runs, and the PCKF outperforms the EnKF for a similar computational effort. When the correlation ratio is much smaller, the PCKF still provides estimations with a better accuracy for a small computational effort.

Data Assimilation for Strongly Nonlinear Problems by Transformed Ensemble Kalman Filter

SPE Journal ◽  
2014 ◽  
Vol 20 (01) ◽  
pp. 202-221 ◽  
Author(s):  
Qinzhuo Liao ◽  
Dongxiao Zhang
Keyword(s):  
Kalman Filter ◽  
Data Assimilation ◽  
Ensemble Kalman Filter ◽  
History Matching ◽  
Homogeneous Medium ◽  
Forward Model ◽  
Dynamic State ◽  
Initial Time ◽  
Static State ◽  
Strongly Nonlinear

Summary The ensemble Kalman filter (EnKF) has been widely used for data assimilation. It is challenging, however, when the relation of state and observation is strongly nonlinear. For example, near the flooding front in an immiscible flow, directly updating the saturation by use of the EnKF may lead to nonphysical results. One possible solution, which may be referred to as the restarted EnKF (REnKF), is to update the static state (e.g., permeability and porosity) and rerun the forward model from the initial time to obtain the updated dynamic state (e.g., pressure and saturation). However, it may become time-consuming, especially when the number of assimilation steps is large. In this study, we develop a transformed EnKF (TEnKF), in which the state is represented by displacement as an alternative variable. The displacement is first transformed from the forecasted state, then updated, and finally transformed back to obtain the updated state. Because the relation between displacement and observation is relatively linear, this new method provides a physically meaningful updated state without resolving the forward model. The TEnKF is tested in the history matching of multiphase flow in a 1D homogeneous medium, a 2D heterogeneous reservoir, and a 3D PUNQ-S3 model. The case studies show that the TEnKF produces physical results without the oscillation problem that occurs in the traditional EnKF, whereas the computational effort is reduced compared with the REnKF.

Use of Phase Streamlines for Covariance Localization in Ensemble Kalman Filter for Three-Phase History Matching

2012 ◽  
Vol 15 (03) ◽  
pp. 273-289 ◽  
Author(s):  
Shingo Watanabe ◽  
Akhil Datta-Gupta
Keyword(s):  
Kalman Filter ◽  
Gas Phase ◽  
Ensemble Kalman Filter ◽  
History Matching ◽  
Model Parameters ◽  
Ensemble Size ◽  
Three Phase ◽  
Cross Covariance ◽  
The Cross ◽  
Water Cut

Summary The ensemble Kalman filter (EnKF) has gained increased popularity for history matching and continuous reservoir-model updating. It is a sequential Monte Carlo approach that works with an ensemble of reservoir models. Specifically, the method uses cross covariance between measurements and model parameters estimated from the ensemble. For practical field applications, the ensemble size needs to be kept small for computational efficiency. However, this leads to poor approximations of the cross covariance and can cause loss of geologic realism from unrealistic model updates outside the region of the data influence and/or loss of variance leading to ensemble collapse. A common approach to remedy the situation is to limit the influence of the data through covariance localization. In this paper, we show that for three-phase-flow conditions, the region of covariance localization strongly depends on the underlying flow dynamics as well as on the particular data type that is being assimilated, for example, water cut or gas/oil ratio (GOR). This makes the traditional distance-based localizations suboptimal and, often, ineffective. Instead, we propose the use of water- and gas-phase streamlines as a means for covariance localization for water-cut- and GOR-data assimilation. The phase streamlines can be computed on the basis of individual-phase velocities which are readily available after flow simulation. Unlike the total velocity streamlines, phase streamlines can be discontinuous. We show that the discontinuities in water-phase and gas-phase streamlines naturally define the region of influence for water-cut and GOR data and provide a flow-relevant covariance localization during EnKF updating. We first demonstrate the validity of the proposed localization approach using a waterflood example in a quarter-five-spot pattern. Specifically, we compare the phase streamline trajectories with cross-covariance maps computed using an ensemble size of 2,000 for both water-cut and GOR data. The results show a close correspondence between the time evolution of phase streamlines and the cross-covariance maps of water-cut and GOR data. A benchmark uncertainty quantification (the PUNQ-S3) (Carter 2007) model application shows that our proposed localization outperforms the distance-based localization method. The updated models show improved forecasts while preserving geologic realism.

scholarly journals Do surface lateral flows matter for data assimilation of soil moisture observations into hyperresolution land models?

2020 ◽  
Author(s):  
Yohei Sawada
Keyword(s):  
Soil Moisture ◽  
Kalman Filter ◽  
Data Assimilation ◽  
Ensemble Kalman Filter ◽  
Land Surface ◽  
Pressure Head ◽  
Surface Flow ◽  
State Variables ◽  
Background Error ◽  
Water Flows

Abstract. It is expected that hyperresolution land modeling substantially innovates the simulation of terrestrial water, energy, and carbon cycles. The major advantage of hyperresolution land models against conventional one-dimensional land surface models is that hyperresolution land models can explicitly simulate lateral water flows. Despite many efforts on data assimilation of hydrological observations into those hyperresolution land models, how surface water flows driven by local topography matter for data assimilation of soil moisture observations has not been fully clarified. Here I perform two minimalist synthetic experiments where soil moisture observations are assimilated into an integrated surface-groundwater land model by an ensemble Kalman filter. I discuss how differently the ensemble Kalman filter works when surface lateral flows are switched on and off. A horizontal background error covariance provided by overland flows is important to adjust the unobserved state variables (pressure head and soil moisture) and parameters (saturated hydraulic conductivity). However, the non-Gaussianity of the background error provided by the nonlinearity of a topography-driven surface flow harms the performance of data assimilation. It is difficult to efficiently constrain model states at the edge of the area where the topography-driven surface flow reaches by linear-Gaussian filters. It brings the new challenge in land data assimilation for hyperresolution land models. This study highlights the importance of surface lateral flows in hydrological data assimilation.

scholarly journals Do surface lateral flows matter for data assimilation of soil moisture observations into hyperresolution land models?

2020 ◽  
Vol 24 (8) ◽  
pp. 3881-3898
Author(s):  
Yohei Sawada
Keyword(s):  
Soil Moisture ◽  
Kalman Filter ◽  
Data Assimilation ◽  
Ensemble Kalman Filter ◽  
Land Surface ◽  
Pressure Head ◽  
Surface Flow ◽  
State Variables ◽  
Background Error ◽  
Water Flows

Abstract. It is expected that hyperresolution land modeling substantially innovates the simulation of terrestrial water, energy, and carbon cycles. The major advantage of hyperresolution land models against conventional 1-D land surface models is that hyperresolution land models can explicitly simulate lateral water flows. Despite many efforts on data assimilation of hydrological observations into those hyperresolution land models, how surface water flows driven by local topography matter for data assimilation of soil moisture observations has not been fully clarified. Here I perform two minimalist synthetic experiments where soil moisture observations are assimilated into an integrated surface–groundwater land model by an ensemble Kalman filter. I discuss how differently the ensemble Kalman filter works when surface lateral flows are switched on and off. A horizontal background error covariance provided by overland flows is important for adjusting the unobserved state variables (pressure head and soil moisture) and parameters (saturated hydraulic conductivity). However, the non-Gaussianity of the background error provided by the nonlinearity of a topography-driven surface flow harms the performance of data assimilation. It is difficult to efficiently constrain model states at the edge of the area where the topography-driven surface flow reaches by linear-Gaussian filters. It brings the new challenge in land data assimilation for hyperresolution land models. This study highlights the importance of surface lateral flows in hydrological data assimilation.

One-Dimensional Soil Moisture Simulation Using Ensemble Kalman Filter

2012 ◽  
Vol 212-213 ◽  
pp. 177-180
Author(s):  
Xiao Lei Fu ◽  
Zhong Bo Yu ◽  
Yu Li ◽  
Hai Shen Lv ◽  
Di Liu ◽  
...  
Keyword(s):  
Soil Moisture ◽  
Kalman Filter ◽  
Data Assimilation ◽  
Ensemble Kalman Filter ◽  
Soil Layer ◽  
Model Parameters ◽  
Deep Soil ◽  
One Dimensional ◽  
Initial Soil Moisture ◽  
Initial Soil

Data assimilation is a method which integrates model and observation. In hydrology, ensemble Kalman filter (EnKF) as a sequential data assimilation method is often used to correct model parameters, thus improve the simulated accuracy. In this study, we conduct one numerical experiment to predict soil moisture using the one-dimensional soil moisture system based on ensemble Kalman filter and Simple Biosphere (SiB2) Model at Meilin study area, China. The simulated period is divided into two parts: 0-60h and 60-240h. The results show that EnKF is an efficient method in assimilating the soil moisture, especially in soil surface layer and deep soil layer; in addition, the efficiency of EnKF depends on the selection of initial soil moisture profile. With different initial soil moisture profiles, the performance of EnKF is different at the first few assimilated time, but with time grows, it can improve the simulated accuracy significantly.

History Matching Using the Ensemble Kalman Filter With Multiscale Parameterization: A Field Case Study

SPE Journal ◽  
2010 ◽  
Vol 16 (02) ◽  
pp. 307-317 ◽  
Author(s):  
Yanfen Zhang ◽  
Dean S. Oliver
Keyword(s):  
Kalman Filter ◽  
Ensemble Kalman Filter ◽  
History Matching ◽  
Multiple Scales ◽  
Gaussian Random Fields ◽  
Rock Properties ◽  
Real Field ◽  
Production Data ◽  
Reservoir Properties ◽  
Water Cut

Summary The increased use of optimization in reservoir management has placed greater demands on the application of history matching to produce models that not only reproduce the historical production behavior but also preserve geological realism and quantify forecast uncertainty. Geological complexity and limited access to the subsurface typically result in a large uncertainty in reservoir properties and forecasts. However, there is a systematic tendency to underestimate such uncertainty, especially when rock properties are modeled using Gaussian random fields. In this paper, we address one important source of uncertainty: the uncertainty in regional trends by introducing stochastic trend coefficients. The multiscale parameters including trend coefficients and heterogeneities can be estimated using the ensemble Kalman filter (EnKF) for history matching. Multiscale heterogeneities are often important, especially in deepwater reservoirs, but are generally poorly represented in history matching. In this paper, we describe a method for representing and updating multiple scales of heterogeneity in the EnKF. We tested our method for updating these variables using production data from a deepwater field whose reservoir model has more than 200,000 unknown parameters. The match of reservoir simulator forecasts to real field data using a standard application of EnKF had not been entirely satisfactory because it was difficult to match the water cut of a main producer in the reservoir. None of the realizations of the reservoir exhibited water breakthrough using the standard parameterization method. By adding uncertainty in large-scale trends of reservoir properties, the ability to match the water cut and other production data was improved substantially. The results indicate that an improvement in the generation of the initial ensemble and in the variables describing the property fields gives an improved history match with plausible geology. The multiscale parameterization of property fields reduces the tendency to underestimate uncertainty while still providing reservoir models that match data.

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