A Stochastic Optimization Algorithm for Automatic History Matching

SPE Journal ◽  
2007 ◽  
Vol 12 (02) ◽  
pp. 196-208 ◽  
Author(s):  
Guohua Gao ◽  
Gaoming Li ◽  
Albert Coburn Reynolds

Summary For large- scale history- matching problems, optimization algorithms which require only the gradient of the objective function and avoid explicit computation of the Hessian appear to be the best approach. Unfortunately, such algorithms have not been extensively used in practice because computation of the gradient of the objective function by the adjoint method requires explicit knowledge of the simulator numerics and expertise in simulation development. Here we apply the simultaneous perturbation stochastic approximation (SPSA) method to history match multiphase flow production data. SPSA, which has recently attracted considerable international attention in a variety of disciplines, can be easily combined with any reservoir simulator to do automatic history matching. The SPSA method uses stochastic simultaneous perturbation of all parameters to generate a down hill search direction at each iteration. The theoretical basis for this probabilistic perturbation is that the expectation of the search direction generated is the steepest descent direction. We present modifications for improvement in the convergence behavior of the SPSA algorithm for history matching and compare its performance to the steepest descent, gradual deformation and LBFGS algorithm. Although the convergence properties of the SPSA algorithm are not nearly as good as our most recent implementation of a quasi-Newton method (LBFGS), the SPSA algorithm is not simulator specific and it requires only a few hours of work to combine SPSA with any commercial reservoir simulator to do automatic history matching. To the best of our knowledge, this is the first introduction of SPSA into the history matching literature. Thus, we make considerable effort to put it in a proper context.

2015 ◽  
Vol 733 ◽  
pp. 156-160
Author(s):  
Xia Yan ◽  
Jun Li ◽  
Hui Zhao

A novel and simple parameterization method using an ensemble of unconditional model realizations is applied to decrease the dimension of the misfit objective function in large-scale history matching problems. The major advantage of this parameterization method is that the singular value decomposition (SVD) calculation is completely avoided, which saves time and cost for huge matrix decomposition and the eigenvectors computations in parameterization process. After objective function transforms from a higher dimension to a lower dimension by parameterization, a Monte Carlo approach is introduced to evaluate the gradient information in the lower domain. Unlike the adjoint-gradient algorithms, the gradient in our method is estimated by Monte Carlo stochastic method, which can be easily coupled with different numerical simulator and avoid complicated adjoint code. When the estimated gradient information is obtained, any gradient-based algorithm can be implemented for optimizing the objective function. The Monte Carlo algorithm combined with the parameterization method is applied to Brugge reservoir field. The result shows that our present method gives a good estimation of reservoir properties and decreases the geological uncertainty without SVD but with a lower final objective function value, which provides a more efficient and useful way for history matching in large scale field.


1980 ◽  
Vol 20 (06) ◽  
pp. 521-532 ◽  
Author(s):  
A.T. Watson ◽  
J.H. Seinfeld ◽  
G.R. Gavalas ◽  
P.T. Woo

Abstract An automatic history-matching algorithm based onan optimal control approach has been formulated forjoint estimation of spatially varying permeability andporosity and coefficients of relative permeabilityfunctions in two-phase reservoirs. The algorithm usespressure and production rate data simultaneously. The performance of the algorithm for thewaterflooding of one- and two-dimensional hypotheticalreservoirs is examined, and properties associatedwith the parameter estimation problem are discussed. Introduction There has been considerable interest in thedevelopment of automatic history-matchingalgorithms. Most of the published work to date onautomatic history matching has been devoted tosingle-phase reservoirs in which the unknownparameters to be estimated are often the reservoirporosity (or storage) and absolute permeability (ortransmissibility). In the single-phase problem, theobjective function usually consists of the deviationsbetween the predicted and measured reservoirpressures at the wells. Parameter estimation, orhistory matching, in multiphase reservoirs isfundamentally more difficult than in single-phasereservoirs. The multiphase equations are nonlinear, and in addition to the porosity and absolutepermeability, the relative permeabilities of each phasemay be unknown and subject to estimation. Measurements of the relative rates of flow of oil, water, and gas at the wells also may be available forthe objective function. The aspect of the reservoir history-matchingproblem that distinguishes it from other parameterestimation problems in science and engineering is thelarge dimensionality of both the system state and theunknown parameters. As a result of this largedimensionality, computational efficiency becomes aprime consideration in the implementation of anautomatic history-matching method. In all parameterestimation methods, a trade-off exists between theamount of computation performed per iteration andthe speed of convergence of the method. Animportant saving in computing time was realized insingle-phase automatic history matching through theintroduction of optimal control theory as a methodfor calculating the gradient of the objective functionwith respect to the unknown parameters. Thistechnique currently is limited to first-order gradientmethods. First-order gradient methods generallyconverge more slowly than those of higher order.Nevertheless, the amount of computation requiredper iteration is significantly less than that requiredfor higher-order optimization methods; thus, first-order methods are attractive for automatic historymatching. The optimal control algorithm forautomatic history matching has been shown toproduce excellent results when applied to field problems. Therefore, the first approach to thedevelopment of a general automatic history-matchingalgorithm for multiphase reservoirs wouldseem to proceed through the development of anoptimal control approach for calculating the gradientof the objective function with respect to theparameters for use in a first-order method. SPEJ P. 521^


2012 ◽  
Vol 518-523 ◽  
pp. 4376-4379
Author(s):  
Bao Yi Jiang ◽  
Zhi Ping Li

With the increase in computational capability, numerical reservoir simulation has become an essential tool for reservoir engineering. To minimize the objective function involved in the history matching procedure, we need to apply the optimization algorithms. This paper is based on the optimization algorithms used in automatic history matching.


2019 ◽  
Author(s):  
Guohua Gao ◽  
Hao Jiang ◽  
Chaohui Chen ◽  
Jeroen C. Vink ◽  
Yaakoub El Khamra ◽  
...  

2008 ◽  
Vol 12 (2) ◽  
pp. 209-225 ◽  
Author(s):  
Dmitry Eydinov ◽  
Sigurd Ivar Aanonsen ◽  
Jarle Haukås ◽  
Ivar Aavatsmark

SPE Journal ◽  
2006 ◽  
Vol 11 (01) ◽  
pp. 5-17 ◽  
Author(s):  
Guohua Gao ◽  
Albert C. Reynolds

Summary For large scale history matching problems, where it is not feasible to compute individual sensitivity coefficients, the limited memory Broyden-Fletcher-Goldfarb-Shanno (LBFGS) is an efficient optimization algorithm, (Zhang and Reynolds, 2002; Zhang, 2002). However, computational experiments reveal that application of the original implementation of LBFGS may encounter the following problems:converge to a model which gives an unacceptable match of production data;generate a bad search direction that either leads to false convergence or a restart with the steepest descent direction which radically reduces the convergence rate;exhibit overshooting and undershooting, i.e., converge to a vector of model parameters which contains some abnormally high or low values of model parameters which are physically unreasonable. Overshooting and undershooting can occur even though all history matching problems are formulated in a Bayesian framework with a prior model providing regularization. We show that the rate of convergence and the robustness of the algorithm can be significantly improved by:a more robust line search algorithm motivated by the theoretical result that the Wolfe conditions should be satisfied;an application of a data damping procedure at early iterations orenforcing constraints on the model parameters. Computational experiments also indicate thata simple rescaling of model parameters prior to application of the optimization algorithm can improve the convergence properties of the algorithm although the scaling procedure used can not be theoretically validated. Introduction Minimization of a smooth objective function is customarily done using a gradient based optimization algorithm such as the Gauss- Newton (GN) method or Levenberg-Marquardt (LM) algorithm. The standard implementations of these algorithms (Tan and Kalogerakis, 1991; Wu et al., 1999; Li et al., 2003), however, require the computation of all sensitivity coefficients in order to formulate the Hessian matrix. We are interested in history matching problems where the number of data to be matched ranges from a few hundred to several thousand and the number of reservoir variables or model parameters to be estimated or simulated ranges from a few hundred to a hundred thousand or more. For the larger problems in this range, the computer resources required to compute all sensitivity coefficients would prohibit the use of the standard Gauss- Newton and Levenberg-Marquardt algorithms. Even for the smallest problems in this range, computation of all sensitivity coefficients may not be feasible as the resulting GN and LM algorithms may require the equivalent of several hundred simulation runs. The relative computational efficiency of GN, LM, nonlinear conjugate gradient and quasi-Newton methods have been discussed in some detail by Zhang and Reynolds (2002) and Zhang (2002).


1975 ◽  
Vol 15 (01) ◽  
pp. 19-38 ◽  
Author(s):  
Wen H. Chen ◽  
John H. Seinfeld

Abstract This paper considers the problem of estimating the shape of a petroleum reservoir on the basis of pressure data from wells within the boundaries of pressure data from wells within the boundaries of the reservoir. It is assumed that the reservoir properties, such as permeability and porosity, are properties, such as permeability and porosity, are known but that the location of the boundary is unknown. Thus, this paper addresses a new class of history-matching problems in which the boundary position is the reservoir property to be estimated. position is the reservoir property to be estimated. The problem is formulated as an optimal-control problem (the location of the boundary being the problem (the location of the boundary being the control variable). Two iterative methods are derived for the determination of the boundary location that minimizes a functional, depending on the deviation between observed and predicted pressures at the wells. The steepest-descent pressures at the wells. The steepest-descent algorithm is illustrated in two sample problems:the estimation of the radius of a bounded circular reservoir with a centrally located well, andthe estimation of the shape of a two-dimensional, single-phase reservoir with a constant-pressure outer boundary. Introduction A problem of substantial economic importance is the determination of the size and shape of a reservoir. Seismic data serve to define early the probable area occupied by the reservoir; however, probable area occupied by the reservoir; however, a means of using initial well-pressure data to determine further the volume and shape of the reservoir would be valuable. On the basis of representing the pressure behavior in a single-phase bounded reservoir in terms of an eigenfunction expansion, Gavalas and Seinfeld have shown how the total pore volume of an arbitrarily shaped reservoir can be estimated from late transient pressure data at the completed wells. We consider pressure data at the completed wells. We consider here the related problem of the estimation of the shape (or the location of the boundary) of a reservoir from pressure data at an arbitrary number of wells. For reasons of economy, the time allowable for closing wells is limited. It is important, therefore, that any method developed for estimating the shape of a reservoir be applicable, in principle, from the time at which the wells are completed until the current time. Thus, the problem we consider here may be viewed as one in the general realm of history matching, but also one in which the boundary location is the property to be estimated rather than the reserved physical properties. The formulation in the present study assumes that everything is known about the reservoir except its boundary. In actual practice, the reverse is generally true. (By the time sufficient information is available regarding the spatial distribution of permeability and porosity, the boundaries may be fairly well known.) Nevertheless, relatively early in the life of a reservoir, when initial drillstem tests have served to identify an approximate distribution of properties, it may be of some importance to attempt to estimate the reservoir shape. Since knowledge of reservoir properties such as permeability and porosity is at properties such as permeability and porosity is at best a result of initial estimates from well testing, core data, etc., the assumption that these properties are known will, of course, lead only to an approximate reservoir boundary. As the physical properties are identified more accurately, the reservoir boundary can be more accurately estimated. It is the object of this paper to formulate in a general manner and develop and initially test computational algorithms for the class of history-matching problems in which the boundary is the unknown property.There are virtually no prior available results on the estimation of the location of the boundary of a region over which the dependent variable(s) is governed by partial differential equations. The method developed here, based on the variation of a functional on a variable region, is applicable to a system governed by a set of nonlinear partial differential equations with general boundary conditions. The derivation of necessary conditions for optimality and the development of two computational gradient algorithms for determination of the optimal boundary are presented in the Appendix. To illustrate the steepest-descent algorithm we present two computational examples using simulated reservoir data. SPEJ P. 19


2018 ◽  
Vol 7 (3.28) ◽  
pp. 72
Author(s):  
Siti Farhana Husin ◽  
Mustafa Mamat ◽  
Mohd Asrul Hery Ibrahim ◽  
Mohd Rivaie

In this paper, we develop a new search direction for Steepest Descent (SD) method by replacing previous search direction from Conjugate Gradient (CG) method, , with gradient from the previous step,  for solving large-scale optimization problem. We also used one of the conjugate coefficient as a coefficient for matrix . Under some reasonable assumptions, we prove that the proposed method with exact line search satisfies descent property and possesses the globally convergent. Further, the numerical results on some unconstrained optimization problem show that the proposed algorithm is promising. 


2005 ◽  
Vol 8 (03) ◽  
pp. 214-223 ◽  
Author(s):  
Fengjun Zhang ◽  
Jan-Arild Skjervheim ◽  
Albert C. Reynolds ◽  
Dean S. Oliver

Summary The Bayesian framework allows one to integrate production and static data into an a posteriori probability density function (pdf) for reservoir variables(model parameters). The problem of generating realizations of the reservoir variables for the assessment of uncertainty in reservoir description or predicted reservoir performance then becomes a problem of sampling this a posteriori pdf to obtain a suite of realizations. Generation of a realization by the randomized-maximum-likelihood method requires the minimization of an objective function that includes production-data misfit terms and a model misfit term that arises from a prior model constructed from static data. Minimization of this objective function with an optimization algorithm is equivalent to the automatic history matching of production data, with a prior model constructed from static data providing regularization. Because of the computational cost of computing sensitivity coefficients and the need to solve matrix problems involving the covariance matrix for the prior model, this approach has not been applied to problems in which the number of data and the number of reservoir-model parameters are both large and the forward problem is solved by a conventional finite-difference simulator. In this work, we illustrate that computational efficiency problems can be overcome by using a scaled limited-memory Broyden-Fletcher-Goldfarb-Shanno (LBFGS) algorithm to minimize the objective function and by using approximate computational stencils to approximate the multiplication of a vector by the prior covariance matrix or its inverse. Implementation of the LBFGS method requires only the gradient of the objective function, which can be obtained from a single solution of the adjoint problem; individual sensitivity coefficients are not needed. We apply the overall process to two examples. The first is a true field example in which a realization of log permeabilities at26,019 gridblocks is generated by the automatic history matching of pressure data, and the second is a pseudo field example that provides a very rough approximation to a North Sea reservoir in which a realization of log permeabilities at 9,750 gridblocks is computed by the automatic history matching of gas/oil ratio (GOR) and pressure data. Introduction The Bayes theorem provides a general framework for updating a pdf as new data or information on the model becomes available. The Bayesian setting offers a distinct advantage. If one can generate a suite of realizations that represent a correct sampling of the a posteriori pdf, then the suite of samples provides an assessment of the uncertainty in reservoir variables. Moreover, by predicting future reservoir performance under proposed operating conditions for each realization, one can characterize the uncertainty in future performance predictions by constructing statistics for the set of outcomes. Liu and Oliver have recently presented a comparison of methods for sampling the a posteriori pdf. Their results indicate that the randomized-maximum-likelihood method is adequate for evaluating uncertainty with a relatively limited number of samples. In this work, we consider the case in which a prior geostatistical model constructed from static data is available and is represented by a multivariate Gaussian pdf. Then, the a posteriori pdf conditional to production data is such that calculation of the maximum a posteriori estimate or generation of a realization by the randomized-maximum-likelihood method is equivalent to the minimization of an appropriate objective function. History-matching problems of interest to us involve a few thousand to tens of thousands of reservoir variables and a few hundred to a few thousand production data. Thus, an optimization algorithm suitable for large-scale problems is needed. Our belief is that nongradient-based algorithms such as simulated annealing and the genetic algorithm are not competitive with gradient-based algorithms in terms of computational efficiency. Classical gradient-based algorithms such as the Gauss-Newton and Levenberg-Marquardt typically converge fairly quickly and have been applied successfully to automatic history matching for both single-phase- and multiphase-flow problems. No multiphase-flow example considered in these papers involved more than 1,500reservoir variables. For single-phase-flow problems, He et al. and Reynolds et al. have generated realizations of models involving up to 12,500 reservoir variables by automatic history matching of pressure data. However, they used a procedure based on their generalization of the method of Carter et al. to calculate sensitivity coefficients; this method assumes that the partial-differential equation solved by reservoir simulation is linear and does not apply for multiphase-flow problems.


Sign in / Sign up

Export Citation Format

Share Document