scholarly journals Gaussian Processes Proxy Model with Latent Variable Models and Variogram-Based Sensitivity Analysis for Assisted History Matching

Energies ◽  
2020 ◽  
Vol 13 (17) ◽  
pp. 4290
Author(s):  
Dongmei Zhang ◽  
Yuyang Zhang ◽  
Bohou Jiang ◽  
Xinwei Jiang ◽  
Zhijiang Kang
Keyword(s):  
Sensitivity Analysis ◽  
Gaussian Processes ◽  
Latent Variable ◽  
History Matching ◽  
Latent Variable Models ◽  
High Dimensional ◽  
Model Parameters ◽  
Variable Model ◽  
Assisted History Matching ◽  
Proxy Models

Reservoir history matching is a well-known inverse problem for production prediction where enormous uncertain reservoir parameters of a reservoir numerical model are optimized by minimizing the misfit between the simulated and history production data. Gaussian Process (GP) has shown promising performance for assisted history matching due to the efficient nonparametric and nonlinear model with few model parameters to be tuned automatically. Recently introduced Gaussian Processes proxy models and Variogram Analysis of Response Surface-based sensitivity analysis (GP-VARS) uses forward and inverse Gaussian Processes (GP) based proxy models with the VARS-based sensitivity analysis to optimize the high-dimensional reservoir parameters. However, the inverse GP solution (GPIS) in GP-VARS are unsatisfactory especially for enormous reservoir parameters where the mapping from low-dimensional misfits to high-dimensional uncertain reservoir parameters could be poorly modeled by GP. To improve the performance of GP-VARS, in this paper we propose the Gaussian Processes proxy models with Latent Variable Models and VARS-based sensitivity analysis (GPLVM-VARS) where Gaussian Processes Latent Variable Model (GPLVM)-based inverse solution (GPLVMIS) instead of GP-based GPIS is provided with the inputs and outputs of GPIS reversed. The experimental results demonstrate the effectiveness of the proposed GPLVM-VARS in terms of accuracy and complexity. The source code of the proposed GPLVM-VARS is available at https://github.com/XinweiJiang/GPLVM-VARS.

scholarly journals Efficient Dimensionality Reduction Methods in Reservoir History Matching

Energies ◽  
2021 ◽  
Vol 14 (11) ◽  
pp. 3137
Author(s):  
Amine Tadjer ◽  
Reider B. Bratvold ◽  
Remus G. Hanea
Keyword(s):  
Data Assimilation ◽  
Dimensionality Reduction ◽  
Gaussian Process ◽  
Latent Variable ◽  
History Matching ◽  
Production Performance ◽  
Latent Variable Model ◽  
Variable Model ◽  
Multiple Data ◽  
Ensemble Smoother

Production forecasting is the basis for decision making in the oil and gas industry, and can be quite challenging, especially in terms of complex geological modeling of the subsurface. To help solve this problem, assisted history matching built on ensemble-based analysis such as the ensemble smoother and ensemble Kalman filter is useful in estimating models that preserve geological realism and have predictive capabilities. These methods tend, however, to be computationally demanding, as they require a large ensemble size for stable convergence. In this paper, we propose a novel method of uncertainty quantification and reservoir model calibration with much-reduced computation time. This approach is based on a sequential combination of nonlinear dimensionality reduction techniques: t-distributed stochastic neighbor embedding or the Gaussian process latent variable model and clustering K-means, along with the data assimilation method ensemble smoother with multiple data assimilation. The cluster analysis with t-distributed stochastic neighbor embedding and Gaussian process latent variable model is used to reduce the number of initial geostatistical realizations and select a set of optimal reservoir models that have similar production performance to the reference model. We then apply ensemble smoother with multiple data assimilation for providing reliable assimilation results. Experimental results based on the Brugge field case data verify the efficiency of the proposed approach.

Evaluating Measurement Invariance in Categorical Data Latent Variable Models with the EPC-Interest

2015 ◽  
Vol 23 (4) ◽  
pp. 550-563 ◽  
Author(s):  
Daniel L. Oberski ◽  
Jeroen K. Vermunt ◽  
Guy B. D. Moors
Keyword(s):  
Social Sciences ◽  
Sensitivity Analysis ◽  
Measurement Invariance ◽  
Categorical Data ◽  
Latent Variable ◽  
Latent Variable Models ◽  
Continuous Data ◽  
External Variable ◽  
The Social ◽  
The World

Many variables crucial to the social sciences are not directly observed but instead are latent and measured indirectly. When an external variable of interest affects this measurement, estimates of its relationship with the latent variable will then be biased. Such violations of “measurement invariance” may, for example, confound true differences across countries in postmaterialism with measurement differences. To deal with this problem, researchers commonly aim at “partial measurement invariance” that is, to account for those differences that may be present and important. To evaluate this importance directly through sensitivity analysis, the “EPC-interest” was recently introduced for continuous data. However, latent variable models in the social sciences often use categorical data. The current paper therefore extends the EPC-interest to latent variable models for categorical data and demonstrates its use in example analyses of U.S. Senate votes as well as respondent rankings of postmaterialism values in the World Values Study.

scholarly journals Bayesian machine learning for financial modeling

2021 ◽  
Author(s):  
◽  
Rajbir Singh Nirwan
Keyword(s):  
Machine Learning ◽  
Order Statistics ◽  
Gaussian Processes ◽  
Asset Allocation ◽  
Latent Variable ◽  
Nonlinear Models ◽  
Rotational Symmetry ◽  
Variable Model ◽  
Advantages And Disadvantages ◽  
Latent Space

Machine Learning (ML) is so pervasive in our todays life that we don't even realise that, more often than expected, we are using systems based on it. It is also evolving faster than ever before. When deploying ML systems that make decisions on their own, we need to think about their ignorance of our uncertain world. The uncertainty might arise due to scarcity of the data, the bias of the data or even a mismatch between the real world and the ML-model. Given all these uncertainties, we need to think about how to build systems that are not totally ignorant thereof. Bayesian ML can to some extent deal with these problems. The specification of the model using probabilities provides a convenient way to quantify uncertainties, which can then be included in the decision making process. In this thesis, we introduce the Bayesian ansatz to modeling and apply Bayesian ML models in finance and economics. Especially, we will dig deeper into Gaussian processes (GP) and Gaussian process latent variable model (GPLVM). Applied to the returns of several assets, GPLVM provides the covariance structure and also a latent space embedding thereof. Several financial applications can be build upon the output of the GPLVM. To demonstrate this, we build an automated asset allocation system, a predictor for missing asset prices and identify other structure in financial data. It turns out that the GPLVM exhibits a rotational symmetry in the latent space, which makes it harder to fit. Our second publication reports, how to deal with that symmetry. We propose another parameterization of the model using Householder transformations, by which the symmetry is broken. Bayesian models are changed by reparameterization, if the prior is not changed accordingly. We provide the correct prior distribution of the new parameters, such that the model, i.e. the data density, is not changed under the reparameterization. After applying the reparametrization on Bayesian PCA, we show that the symmetry of nonlinear models can also be broken in the same way. In our last project, we propose a new method for matching quantile observations, which uses order statistics. The use of order statistics as the likelihood, instead of a Gaussian likelihood, has several advantages. We compare these two models and highlight their advantages and disadvantages. To demonstrate our method, we fit quantiled salary data of several European countries. Given several candidate models for the fit, our method also provides a metric to choose the best option. We hope that this thesis illustrates some benefits of Bayesian modeling (especially Gaussian processes) in finance and economics and its usage when uncertainties are to be quantified.

Parameters Estimation for Chemical Flooding Modeling Using Ensemble-Based Method

2021 ◽  
Author(s):  
Xindan Wang ◽  
Yin Zhang ◽  
Abhijit Dandekar ◽  
Yudou Wang
Keyword(s):  
Simulation Model ◽  
Oil Recovery ◽  
History Matching ◽  
Simulation Models ◽  
Parameters Estimation ◽  
Model Parameters ◽  
Chemical Flooding ◽  
Multiple Model ◽  
Assisted History Matching ◽  
Matching Techniques

Abstract Chemical flooding has been widely used to enhance oil recovery after conventional waterflooding. However, it is always a challenge to model chemical flooding accurately since many of the model parameters of the chemical flooding cannot be measured accurately in the lab and even some parameters cannot be obtained from the lab. Recently, the ensemble-based assisted history matching techniques have been proven to be efficient and effective in simultaneously estimating multiple model parameters. Therefore, this study validates the effectiveness of the ensemble-based method in estimating model parameters for chemical flooding simulation, and the half-iteration EnKF (HIEnKF) method has been employed to conduct the assisted history matching. In this work, five surfactantpolymer (SP) coreflooding experiments have been first conducted, and the corresponding core scale simulation models have been built to simulate the coreflooding experiments. Then the HIEnKF method has been applied to calibrate the core scale simulation models by assimilating the observed data including cumulative oil production and pressure drop from the corresponding coreflooding experiments. The HIEnKF method has been successively applied to simultaneously estimate multiple model parameters, including porosity and permeability fields, relative permeabilities, polymer viscosity curve, polymer adsorption curve, surfactant interfacial tension (IFT) curve and miscibility function curve, for the SP flooding simulation model. There exists a good agreement between the updated simulation results and observation data, indicating that the updated model parameters are appropriate to characterize the properties of the corresponding porous media and the fluid flow properties in it. At the same time, the effectiveness of the ensemble-based assisted history matching method in chemical enhanced oil recovery (EOR) simulation has been validated. Based on the validated simulation model, numerical simulation tests have been conducted to investigate the influence of injection schemes and operating parameters of SP flooding on the ultimate oil recovery performance. It has been found that the polymer concentration, surfactant concentration and slug size of SP flooding have a significant impact on oil recovery, and these parameters need to be optimized to achieve the maximum economic benefit.

Analytical global sensitivity analysis with Gaussian processes

2017 ◽  
Vol 31 (3) ◽  
pp. 235-250 ◽  
Author(s):  
Ankur Srivastava ◽  
Arun K. Subramaniyan ◽  
Liping Wang
Keyword(s):  
Sensitivity Analysis ◽  
Gaussian Processes ◽  
Global Sensitivity Analysis ◽  
Decomposition Methods ◽  
Variance Decomposition ◽  
Model Representation ◽  
High Dimensional ◽  
High Dimensional Model Representation ◽  
Sobol Indices ◽  
Global Sensitivity

AbstractMethods for efficient variance-based global sensitivity analysis of complex high-dimensional problems are presented and compared. Variance decomposition methods rank inputs according to Sobol indices that can be computationally expensive to evaluate. Main and interaction effect Sobol indices can be computed analytically in the Kennedy and O'Hagan framework with Gaussian processes. These methods use the high-dimensional model representation concept for variance decomposition that presents a unique model representation when inputs are uncorrelated. However, when the inputs are correlated, multiple model representations may be possible leading to ambiguous sensitivity ranking with Sobol indices. In this work, we present the effect of input correlation on sensitivity analysis and discuss the methods presented by Li and Rabitz in the context of Kennedy and O'Hagan's framework with Gaussian processes. Results are demonstrated on simulated and real problems for correlated and uncorrelated inputs and demonstrate the utility of variance decomposition methods for sensitivity analysis.

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