Groundwater parameter estimation using the ensemble Kalman filter with localization

The ensemble Kalman filter (EnKF), an efficient data assimilation method showing advantages in many numerical experiments, is deficient when used in approximating covariance from an ensemble of small size. Implicit localization is used to add distance-related weight to covariance and filter spurious correlations which weaken the EnKF??s capability to estimate uncertainty correctly. The effect of this kind of localization is studied in two-dimensional (2D) and three-dimensional (3D) synthetic cases. It is found that EnKF with localization can capture reliably both the mean and variance of the hydraulic conductivity field with higher efficiency; it can also greatly stabilize the assimilation process as a small-size ensemble is used. Sensitivity experiments are conducted to explore the effect of localization function format and filter lengths. It is suggested that too long or too short filter lengths will prevent implicit localization from modifying the covariance appropriately. Steep localization functions will greatly disturb local dynamics like the 0-1 function even if the function is continuous; four relatively gentle localization functions succeed in avoiding obvious disturbance to the system and improve estimation. As the degree of localization of the L function increases, the parameter sensitivity becomes weak, making parameter selection easier, but more information may be lost in the assimilation process.     

集合卡尔曼滤波估计水文地质参数的局域化修正

集合卡尔曼滤波(Ensemble Kalman Filter,EnKF)作为一种有效的数据同化方法,在众多数值实验中体现优势的同时,也暴露了它使用小集合估计协方差情况下精度较低的缺陷。为了降低取样噪声对协方差估计的干扰并提高滤波精度,应用局域化函数对小集合估计的协方差进行修正,即在协方差矩阵中以舒尔积的形式增加空间距离权重以限制远距离相关。在一个二维理想孔隙承压含水层模型中的运行结果表明,局域化对集合卡尔曼滤波估计地下水参数的修正十分有效,局域化可以很好地过滤小集合估计中噪声的影响,节省计算量的同时又可以防止滤波发散。相关长度较小的水文地质参数(如对数渗透系数)更容易受到噪声的干扰,更有必要进行局域化修正。     

A multiresolution ensemble Kalman filter using the wavelet decomposition

We present a method of using classical wavelet-based multiresolution analysis to separate scales in model and observations during data assimilation with the ensemble Kalman filter. In many applications, the underlying physics of a phenomena involve the interaction of features at multiple scales. Blending of observational and model error across scales can result in large forecast inaccuracies since large errors at one scale are interpreted as inexact data at all scales due to the misrepresentation of observational error. Our method uses a partitioning of the range of the observation operator into separate observation scales. This naturally induces a transformation of the observation covariance and we put forward several algorithms to efficiently compute the transformed covariance. Another advantage of our multiresolution ensemble Kalman filter is that scales can be weighted independently to adjust each scale’s affect on the forecast. To demonstrate feasibility, we present applications to a one-dimensional Kuramoto-Sivashinsky (K–S) model with scale-dependent observation noise and an application involving the forecasting of solar photospheric flux. The solar flux application uses the Air Force Data Assimilative Photospheric Transport (ADAPT) model which has model and observation error exhibiting strong scale dependence. Results using our multiresolution ensemble Kalman filter show significant improvement in solar forecast error compared to traditional ensemble Kalman filtering.     

Improved initial sampling for the ensemble Kalman filter

In this paper, we discuss several possible approaches to improving the performance of the ensemble Kalman filter (EnKF) through improved sampling of the initial ensemble. Each of the approaches addresses a different limitation of the standard method. All methods, however, attempt to make the results from a small ensemble as reliable as possible. The validity and usefulness of each method for creating the initial ensemble is based on three criteria: (1) does the sampling result in unbiased Monte Carlo estimates for nonlinear flow problems, (2) does the sampling reduce the variability of estimates compared to ensembles of realizations from the prior, and (3) does the sampling improve the performance of the EnKF? In general, we conclude that the use of dominant eigenvectors ensures the orthogonality of the generated realizations, but results in biased forecasts of the fractional flow of water. We show that the addition of high frequencies from remaining eigenvectors can be used to remove the bias without affecting the orthogonality of the realizations, but the method did not perform significantly better than standard Monte Carlo sampling. It was possible to identify an appropriate importance weighting to reduce the variance in estimates of the fractional flow of water, but it does not appear to be possible to use the importance weighted realizations in standard EnKF when the data relationship is nonlinear. The biggest improvement came from use of the pseudo-data with corrections to the variance of the actual observations.     

Mapping hydraulic fractures from tiltmeter data using the ensemble Kalman filter

Hydraulic fracturing involves the initiation and propagation of fractures in rock formations by the injection of pressurized fluid. The largest use of hydraulic fracturing is in enhancing oil and gas production. Tiltmeters are sometimes used in the process to monitor the generated fracture geometry by measuring the fracture‐induced deformations. Fracture growth parameters obtained from tiltmeter mapping can be used to study the effectiveness of such stimulations. In this work, we present a novel scheme that uses the ensemble Kalman Filter (EnKF) to assimilate tiltmeter data using a simple process model to describe the evolution of fracture growth parameters, and an observation model that maps the fracture geometry with the observed tilt. The forward observation model is based on the analytical solution for computing the displacements and tilts due to a point source displacement discontinuity in an elastic half‐space developed by Okada 1 . The displacement and tilts for any given fracture geometry are then obtained by numerical integration of this solution, by considering multiple point sources to be located at the quadrature points. The proposed method is validated using synthetic data sets generated from polygon and elliptical shaped fracture geometries. Finally, real data from a field site, where asymmetry was measured from the intersections of the hydraulic fracture with offset boreholes, have been analyzed. Preliminary results show that, in addition to extracting the fracture dip, orientation, and volume, the procedure is able to satisfactorily predict fracture growth parameters when the fracture is relatively close to the tiltmeter array and provides some insight into the development of asymmetry when the measurements are relatively far from the fracture plane. Copyright © 2015 John Wiley & Sons, Ltd.     

An efficient matrix-free algorithm for the ensemble Kalman filter

In this work, we present an efficient matrix-free ensemble Kalman filter (EnKF) algorithm for the assimilation of large data sets. The EnKF has increasingly become an essential tool for data assimilation of numerical models. It is an attractive assimilation method because it can evolve the model covariance matrix for a non-linear model, through the use of an ensemble of model states, and it is easy to implement for any numerical model. Nevertheless, the computational cost of the EnKF can increase significantly for cases involving the assimilation of large data sets. As more data become available for assimilation, a potential bottleneck in most EnKF algorithms involves the operation of the Kalman gain matrix. To reduce the complexity and cost of assimilating large data sets, a matrix-free EnKF algorithm is proposed. The algorithm uses an efficient matrix-free linear solver, based on the Sherman–Morrison formulas, to solve the implicit linear system within the Kalman gain matrix and compute the analysis. Numerical experiments with a two-dimensional shallow water model on the sphere are presented, where results show the matrix-free implementation outperforming an singular value decomposition-based implementation in computational time.     

Non-parametric Bayesian networks for parameter estimation in reservoir simulation: a graphical take on the ensemble Kalman filter (part I)

Reservoir simulation models are used both in the development of new fields and in developed fields where production forecasts are needed for investment decisions. When simulating a reservoir, one must account for the physical and chemical processes taking place in the subsurface. Rock and fluid properties are crucial when describing the flow in porous media. In this paper, the authors are concerned with estimating the permeability field of a reservoir. The problem of estimating model parameters such as permeability is often referred to as a history-matching problem in reservoir engineering. Currently, one of the most widely used methodologies which address the history-matching problem is the ensemble Kalman filter (EnKF). EnKF is a Monte Carlo implementation of the Bayesian update problem. Nevertheless, the EnKF methodology has certain limitations that encourage the search for an alternative method.For this reason, a new approach based on graphical models is proposed and studied. In particular, the graphical model chosen for this purpose is a dynamic non-parametric Bayesian network (NPBN). This is the first attempt to approach a history-matching problem in reservoir simulation using a NPBN-based method. A two-phase, two-dimensional flow model was implemented for a synthetic reservoir simulation exercise, and initial results are shown. The methods’ performances are evaluated and compared. This paper features a completely novel approach to history matching and constitutes only the first part (part I) of a more detailed investigation. For these reasons (novelty and incompleteness), many questions are left open and a number of recommendations are formulated, to be investigated in part II of the same paper.     

基于EnKF融合地球物理数据刻画含水层非均质性

含水层非均质性的刻画是模拟地下水中污染物运移的关键。以渗透系数为研究对象,构建了综合集合卡尔曼滤波方法、有效电阻率模型与地下水运移模型的同化框架,通过融合地球物理观测数据与污染物浓度观测数据来推估渗透系数的空间分布。基于理想算例,验证了该同化框架刻画含水层非均质渗透系数场的有效性,并针对不同初始参数信息与观测类型对比了耦合与非耦合水文地球物理方法的适用性。研究结果表明:基于集合卡尔曼滤波方法同化多种类型的观测数据,可有效地推估非均质参数空间分布。当初始信息较准确时,耦合方法的参数推估精度更高;初始信息存在偏差时,非耦合方法有更好的同化效果。由于非耦合方法计算成本较低且对初始信息缺失时适用性更强,在实际应用中可先基于非耦合方法初步估计参数,再利用耦合方法进一步提高参数推估精度。融合多种类型观测数据可有效提高参数推估效果。     

Sampling error distribution for the ensemble Kalman filter update step

In recent years, data assimilation techniques have been applied to an increasingly wider specter of problems. Monte Carlo variants of the Kalman filter, in particular, the ensemble Kalman filter (EnKF), have gained significant popularity. EnKF is used for a wide variety of applications, among them for updating reservoir simulation models. EnKF is a Monte Carlo method, and its reliability depends on the actual size of the sample. In applications, a moderately sized sample (40–100 members) is used for computational convenience. Problems due to the resulting Monte Carlo effects require a more thorough analysis of the EnKF. Earlier we presented a method for the assessment of the error emerging at the EnKF update step (Kovalenko et al., SIAM J Matrix Anal Appl, in press). A particular energy norm of the EnKF error after a single update step was studied. The energy norm used to assess the error is hard to interpret. In this paper, we derive the distribution of the Euclidean norm of the sampling error under the same assumptions as before, namely normality of the forecast distribution and negligibility of the observation error. The distribution depends on the ensemble size, the number and spatial arrangement of the observations, and the prior covariance. The distribution is used to study the error propagation in a single update step on several synthetic examples. The examples illustrate the changes in reliability of the EnKF, when the parameters governing the error distribution vary.     

An iterative ensemble Kalman filter for reservoir engineering applications

The study has been focused on examining the usage and the applicability of ensemble Kalman filtering techniques to the history matching procedures. The ensemble Kalman filter (EnKF) is often applied nowadays to solving such a problem. Meanwhile, traditional EnKF requires assumption of the distribution’s normality. Besides, it is based on the linear update of the analysis equations. These facts may cause problems when filter is used in reservoir applications and result in sampling error. The situation becomes more problematic if the a priori information on the reservoir structure is poor and initial guess about the, e.g., permeability field is far from the actual one. The above circumstance explains a reason to perform some further research concerned with analyzing specific modification of the EnKF-based approach, namely, the iterative EnKF (IEnKF) scheme, which allows restarting the procedure with a new initial guess that is closer to the actual solution and, hence, requires less improvement by the algorithm while providing better estimation of the parameters. The paper presents some examples for which the IEnKF algorithm works better than traditional EnKF. The algorithms are compared while estimating the permeability field in relation to the two-phase, two-dimensional fluid flow model.     

水动力学模型与集合卡尔曼滤波耦合的实时校正多变量分析方法

为减少非恒定水流计算中的不确定性,在水流随机运动系统状态空间模型基础上,应用集合卡尔曼滤波(EnKF)技术建立了非恒定水流分析的实时更新(校正)方法。该方法适用于非线性的随机微分方程,过程和观测噪声可以是非正态分布。同时,为充分利用水位、流量等误差量级相差巨大的观测中所蕴含的有效信息,导出了EnKF多变量分析格式。以明渠单峰洪水过程的合成数据为例,考察了运用建立的实时更新方法分析预报一维洪水演进的性能。重点对比了采用不同精度等级下的水位和流量观测资料进行滤波的效果。在中国现行标准规定的允许观测误差范围内,以水位观测进行一维洪水动力学模型的滤波分析可有效地控制误差、估计流量、识别水流运动系统状态。长江干流清溪场至万县江段实际洪水计算还证实:该方法通过插入即时观测,可实时更新模型状态,给出与实际更为接近的计算。     

History matching time-lapse seismic data using the ensemble Kalman filter with multiple data assimilations

The ensemble Kalman filter (EnKF) has become a popular method for history matching production and seismic data in petroleum reservoir models. However, it is known that EnKF may fail to give acceptable data matches especially for highly nonlinear problems. In this paper, we introduce a procedure to improve EnKF data matches based on assimilating the same data multiple times with the covariance matrix of the measurement errors multiplied by the number of data assimilations. We prove the equivalence between single and multiple data assimilations for the linear-Gaussian case and present computational evidence that multiple data assimilations can improve EnKF estimates for the nonlinear case. The proposed procedure was tested by assimilating time-lapse seismic data in two synthetic reservoir problems, and the results show significant improvements compared to the standard EnKF. In addition, we review the inversion schemes used in the EnKF analysis and present a rescaling procedure to avoid loss of information during the truncation of small singular values.     

Bridging the ensemble Kalman filter and particle filters: the adaptive Gaussian mixture filter

The nonlinear filtering problem occurs in many scientific areas. Sequential Monte Carlo solutions with the correct asymptotic behavior such as particle filters exist, but they are computationally too expensive when working with high-dimensional systems. The ensemble Kalman filter (EnKF) is a more robust method that has shown promising results with a small sample size, but the samples are not guaranteed to come from the true posterior distribution. By approximating the model error with a Gaussian distribution, one may represent the posterior distribution as a sum of Gaussian kernels. The resulting Gaussian mixture filter has the advantage of both a local Kalman type correction and the weighting/resampling step of a particle filter. The Gaussian mixture approximation relies on a bandwidth parameter which often has to be kept quite large in order to avoid a weight collapse in high dimensions. As a result, the Kalman correction is too large to capture highly non-Gaussian posterior distributions. In this paper, we have extended the Gaussian mixture filter (Hoteit et al., Mon Weather Rev 136:317–334, 2008) and also made the connection to particle filters more transparent. In particular, we introduce a tuning parameter for the importance weights. In the last part of the paper, we have performed a simulation experiment with the Lorenz40 model where our method has been compared to the EnKF and a full implementation of a particle filter. The results clearly indicate that the new method has advantages compared to the standard EnKF.     

Comparing the adaptive Gaussian mixture filter with the ensemble Kalman filter on synthetic reservoir models

Over the last years, the ensemble Kalman filter (EnKF) has become a very popular tool for history matching petroleum reservoirs. EnKF is an alternative to more traditional history matching techniques as it is computationally fast and easy to implement. Instead of seeking one best model estimate, EnKF is a Monte Carlo method that represents the solution with an ensemble of state vectors. Lately, several ensemble-based methods have been proposed to improve upon the solution produced by EnKF. In this paper, we compare EnKF with one of the most recently proposed methods, the adaptive Gaussian mixture filter (AGM), on a 2D synthetic reservoir and the Punq-S3 test case. AGM was introduced to loosen up the requirement of a Gaussian prior distribution as implicitly formulated in EnKF. By combining ideas from particle filters with EnKF, AGM extends the low-rank kernel particle Kalman filter. The simulation study shows that while both methods match the historical data well, AGM is better at preserving the geostatistics of the prior distribution. Further, AGM also produces estimated fields that have a higher empirical correlation with the reference field than the corresponding fields obtained with EnKF.     

Fast linearized forecasts for subsurface flow data assimilation with ensemble Kalman filter

Ensemble methods present a practical framework for parameter estimation, performance prediction, and uncertainty quantification in subsurface flow and transport modeling. In particular, the ensemble Kalman filter (EnKF) has received significant attention for its promising performance in calibrating heterogeneous subsurface flow models. Since an ensemble of model realizations is used to compute the statistical moments needed to perform the EnKF updates, large ensemble sizes are needed to provide accurate updates and uncertainty assessment. However, for realistic problems that involve large-scale models with computationally demanding flow simulation runs, the EnKF implementation is limited to small-sized ensembles. As a result, spurious numerical correlations can develop and lead to inaccurate EnKF updates, which tend to underestimate or even eliminate the ensemble spread. Ad hoc practical remedies, such as localization, local analysis, and covariance inflation schemes, have been developed and applied to reduce the effect of sampling errors due to small ensemble sizes. In this paper, a fast linear approximate forecast method is proposed as an alternative approach to enable the use of large ensemble sizes in operational settings to obtain more improved sample statistics and EnKF updates. The proposed method first clusters a large number of initial geologic model realizations into a small number of groups. A representative member from each group is used to run a full forward flow simulation. The flow predictions for the remaining realizations in each group are approximated by a linearization around the full simulation results of the representative model (centroid) of the respective cluster. The linearization can be performed using either adjoint-based or ensemble-based gradients. Results from several numerical experiments with two-phase and three-phase flow systems in this paper suggest that the proposed method can be applied to improve the EnKF performance in large-scale problems where the number of full simulation is constrained.     

Performance of the ensemble Kalman filter outside of existing wells for a channelized reservoir

The ensemble Kalman filter (EnKF) appears to give good results for matching production data at existing wells. However, the predictive power of these models outside of the existing wells is much more uncertain. In this paper, for a channelized reservoir for five different cases with different levels of information the production history is matched using the EnKF. The predictive power of the resulting model is tested for the existing wells and for new wells. The results show a consistent improvement for the predictions at the existing wells after assimilation of the production data, but not for prediction of production at new well locations. The latter depended on the settings of the problem and prior information used. The results also showed that the fit during the history match was not always a good predictor for predictive capabilities of the history match model. This suggests that some form of validation outside of observed wells is essential.     

Combining sensitivities and prior information for covariance localization in the ensemble Kalman filter for petroleum reservoir applications

Sampling errors can severely degrade the reliability of estimates of conditional means and uncertainty quantification obtained by the application of the ensemble Kalman filter (EnKF) for data assimilation. A standard recommendation for reducing the spurious correlations and loss of variance due to sampling errors is to use covariance localization. In distance-based localization, the prior (forecast) covariance matrix at each data assimilation step is replaced with the Schur product of a correlation matrix with compact support and the forecast covariance matrix. The most important decision to be made in this localization procedure is the choice of the critical length(s) used to generate this correlation matrix. Here, we give a simple argument that the appropriate choice of critical length(s) should be based both on the underlying principal correlation length(s) of the geological model and the range of the sensitivity matrices. Based on this result, we implement a procedure for covariance localization and demonstrate with a set of distinctive reservoir history-matching examples that this procedure yields improved results over the standard EnKF implementation and over covariance localization with other choices of critical length.     

Quantifying the uncertainty of semiarid flash floods using generalized likelihood uncertainty estimation

This paper aims to address the question of how the parameter uncertainty associated with a mixed conceptual and physical based rainfall-runoff model (AFFDEF) has influences on flood simulation of the semiarid Abolabbas catchment (284 km²), in Iran. AFFDEF was modified and coupled with the generalized likelihood uncertainty estimation (GLUE) algorithm to simulate four flash flood events. Analysis suggests that AFFDEF parameters showed non-unique posterior distributions depending on the magnitudes and duration of flash flood events. Model predictive uncertainty was heavily dominated by error and bias in soil antecedent moisture condition that led to large storage effect in simulation. Overall, multiplying parameter for the infiltration reservoir capacity and multiplying parameter for the interception reservoir capacity along with potential runoff contributing areas were identified the key model parameters and more influential on flood simulation. Results further revealed that uncertainty was satisfactorily quantified for the event with low to moderate flood magnitudes while high magnitude event exhibited unsatisfactory result.     

A stochastic collocation based Kalman filter for data assimilation

In this paper, a stochastic collocation-based Kalman filter (SCKF) is developed to estimate the hydraulic conductivity from direct and indirect measurements. It combines the advantages of the ensemble Kalman filter (EnKF) for dynamic data assimilation and the polynomial chaos expansion (PCE) for efficient uncertainty quantification. In this approach, the random log hydraulic conductivity field is first parameterized by the Karhunen–Loeve (KL) expansion and the hydraulic pressure is expressed by the PCE. The coefficients of PCE are solved with a collocation technique. Realizations are constructed by choosing collocation point sets in the random space. The stochastic collocation method is non-intrusive in that such realizations are solved forward in time via an existing deterministic solver independently as in the Monte Carlo method. The needed entries of the state covariance matrix are approximated with the coefficients of PCE, which can be recovered from the collocation results. The system states are updated by updating the PCE coefficients. A 2D heterogeneous flow example is used to demonstrate the applicability of the SCKF with respect to different factors, such as initial guess, variance, correlation length, and the number of observations. The results are compared with those from the EnKF method. It is shown that the SCKF is computationally more efficient than the EnKF under certain conditions. Each approach has its own advantages and limitations. The performance of the SCKF decreases with larger variance, smaller correlation ratio, and fewer observations. Hence, the choice between the two methods is problem dependent. As a non-intrusive method, the SCKF can be easily extended to multiphase flow problems.