References

[1] N.Liu and D.S.Oliver, Ensemble kalman lter for automatic history
matching of geologic facies, J.Petroil. Sci. Eng., 47(3-4), 147-161,
2005
[2] C.Farmer, L.Duan and I.Moroz, Bayesian statistics, inverse problems,
and the logistic map, In Preparation.
[3] S.Arulampalam, S.Maskell, N.Gordon, and T. Clapp, Atutorial on par-
ticle lters for online nonlinear/non-Gaussian bayesian tracking, Signal
Processing, IEEE Transactions on., 50(2), 174-188, 03/2002
[4] Evensen G, Inverse Methods and data assimilation in nonlinear ocean
models. Physica (D) 77: 108-29 (1994)
[5] F.Gustafsson and P.Hriljac, Particle lters for prediction of chaos,
Proceedings of SYSID, Rotterdam, NL, 2003
[6] M. Cuellar and L. A. Smith (2005), On the Curious Behavior of MCMC
Parameter estimation in the Logistic Map, (to be submitted to Phys.
Lett. A)
References
Collaborations
I thank Dr. Chris Farmer (from Schlumberger at the time of collab-
orating), Dr. Ben Hambly and Dr. Irene Moroz for inspiration and
sharing their expertise.
Conclusions and Future Work
Sequential Bayesian Estimation provides the benchmark for data as-
similation and thus for history matching. The GBM provides an es-
sentially exact way of evaluating practical methods when applied to
simple models. In almost all the experiments, the IPF and RPF are
fairly accurate and outperform the EnKF. For quality control our PF
results are consistent with [5]. Having studied the current major non-
linear ltering methods, the next stage will focus on developing an
improved RPF to achieve ideal accuracy for simple models such as
the logistic map and superior performance in practical history match-
ing.
Method GBM IPF RPF EnKF
Expectation value of x 0.73196 0.83594 0.76018 0.75150
Expectation value of a 0.49576 0.32737 0.57006 0.45024
State oset 0.23370 3.5153 1.4527 2.1673
Computational time(sec) 60 1.7325 1.2228 0.14940
Table 1: The experimental result with the parameter value a = 0.5.
The true state at the 50
th
iteration is x = 0.73205.
Method GBM IPF RPF EnKF
Expectation value of x 0.81514 0.94259 0.89799 0.88447
Expectation value of a 1.3911 1.26807 1.3693 1.3839
State oset 2.0432 3.5207 1.36932 3.5840
Computational time(sec) 60 1.7186 0.60006 0.14917
Table 2: The experimental result with the parameter value a = 1.38.
The true state at the 50
th
iteration is x = 0.84908.
Method GBM IPF RPF EnKF
Expectation value of x -0.68204 -0.62119 -0.52378 -0.62635
Expectation value of a 1.8592 1.7052 1.6974 1.8085
State oset 3.9293 4.5692 6.0225 5.7051
Computational time(sec) 60 1.8696 3.1267 0.15192
Table 3: The experimental result with the parameter value a = 1.85.
The true state at the 50
th
iteration is x = 0.7315.
Numerical Experiment 2
The second experiment compares estimation results (at the 50th iteration),
the state oset (E(x)x
true
1) and computational cost (Matlab simulation
time) of using the GBM, IPF [3], RPF [3] and EnKF [4] (with 1000 particles)
for three dierent values of a. They are a = 0.5 (xed point case), a = 1.38
(limit cycle case) and a = 1.85. The measurement noise with
2
= 0.1 is
the same sequence for each case with a oset of 4.9962 and x0 = 0.3.
(a) (b)
(c) (d)
(e) (f)
(g) (h)
(i) (j)
Figure 2: (a) and (b) are the contour plots of the posterior pdf at the 1st
iteration computed analytically and numerically. In the rst experiment, with

2
= 0.1, gures (c) and (d) are the state expectation to k = 60, gures (e)
and (f) are the marginal posterior pdfs for x and a respectively at increasing
time. For the same illustrative purpose as gure (c) to (f), gures (g) to (j)
are ploted with
2
= 0.01. Numerical Experiment 1
Using the GBM, we have considered two numerical experiments using a =
1.85 (in the chaotic regime) and x0 = 0.3. One with a high observation
noise with
2
= 0.1 and the other with a low level of noise,
2
= 0.01. The
experiment was run for 100 time steps on a 10011001 grid, with assimilation
of observations at the end of each of the rst 50 time steps. After 50 time
steps the experiment switched to prediction only. In Figure 2(c) to (j), the
true state without noise, xture, is plotted as a circle. As an estimate of the
true system state, the expectation value (after measurement assimilated) is
plotted as a cross; the 0.05 and 0.95 quantiles are shown as continuous lines.
Nonlinear Filtering Methods and Grid
Based Method (GBM) [2]
Filtering methods have been well-studied since 1941. They include the In-
teracting Particle Filter (IPF), the Regularized Particle Filter (RPF) and the
Ensemble Kalman Filter (EnKF). They are designed to estimate the state via
a nonlinear state-space model and non-Gaussian pdfs using a Monte Carlo
approximation. The key idea in these methods is to approximate the pdf
using an ensemble of realisations known as particles, drawn independently
from the pdf. An approximate pdf can then be recovered from the particles
using a sum of Gaussian kernels centred on the particles. Ideally, the ltering
methods converge to the exact solution of the Bayesian ltering equations,
(3, 4), as the number of particles increases. The EnKF is not convergent but
is, nevertheless, surprisingly successful in approximating the exact pdfs that
solve the ltering equations.
For our simple problem, it is possible to compute (x
k
, a|S
k
) exactly. Sup-
pose that at time k, a solution (x
k
, a|S
k
) has been found, using the prop-
erties of the Dirac Delta function and equations (1, 2), we have
(x
k+1
, a|S
k
) =
1
_
4a(1 x
k+1
)
_

__
1 x
k+1
a
, a

S
k
_
+
_

_
1x
k+1
a
, a

S
k
__
,
(x
k+1
, a, s
k+1
|S
k
) = N(s
k+1
x
k+1
,
2
)(x
k+1
, a|S
k
),
(x
k+1
, a|S
k+1
) =
(x
k+1
, a, s
k+1
|S
k
)
_
2
0
_
1
1
(x
k+1
, a, s
k+1
|S
k
)dx
k+1
da
,
where N(s
k+1
x
k+1
,
2
) is the Gaussian pdf with mean at s
k+1
x
k+1
and variance
2
. This completes the SBE. In conception, the pdfs are the
exact solutions of history matching problem. In practice, to compute the
integrals, we employ (x, a) grid based piecewise constant interpolation.
Bayesian State Estimation
Suppose that at time k, a solution (x
k
, a|S
k
) has been found. Using the
state-space model (1, 2) and the Bayes rule, we have
(x
k+1
, a|S
k
) =
_
1
1
(x
k+1
|x
k
, a)(x
k
, a|S
k
)dx
k
, (3)
(x
k+1
, a|S
k+1
) =
(s
k+1
|x
k+1
, a)(x
k+1
, a|S
k
)
_
2
0
_
1
1
(s
k+1
|x
k+1
, a)(x
k+1
, a|S
k
)dx
k+1
da
. (4)
Here, (x
k+1
, a|S
k
) is the prior pdf, (s
k+1
|x
k+1
, a) is the likelihood func-
tion and (x
k+1
, a|S
k+1
) is the posterior pdf.
Simple Model and Formulation
Before entering the real-world high-dimensional model, we have tested our
ideas on the logistic map which is the one of the best-understood nonlinear
state-space models [6], as follows,
x
k+1
= f(a
k
, x
k
) = 1 ax
2
k
, (1)
s
k+1
= H(x
k+1
) + v
k+1
= x
k+1
+ v
k+1
, (2)
with x
k
[1, 1], a [0, 2]. Here, k is the time index, x
k
is the state, s
k
is
the measurement and v
k
is the Gaussian measurement noise with variance

2
. The vector of observations {sm}
M
m=1
is denoted by S
M
. Note the
choice not to observe the initial state. Finally, assume that a prior pdf,
(x0, a) has been provided. The focal problems are:
1. The prediction problem: Find (x
N
, a|S
M
) where N > M.
2. The ltering problem: Find (x
N
, a|S
N
).
Oileld History Matching
Data assimilation, known as history matching in the oil industry, involves
adjusting a reservoir model until it reproduces the past behavior of a reservoir
as closely as possible. The accuracy of history matching depends on the
quality of the reservoir model and the quantity and relevance of pressure and
production data. Once history matched, a model simulates future reservoir
behavior with a higher degree of condence, particularly if the adjustments
are constrained by known geological properties.
The model is initialised with a set of static geological properties and a set
of uid states such as phase pressures and saturations. The observations at
the wells are modelled as functions of the geological properties and uid
states. Through a sequence of time steps the model updates the uid
states. The predicted observations are compared with actual observations
and then the probability densities of the geological properties are updated
using Bayesian methods. Data assimilation proceeds by analysis cycles. In
each cycle, observations of the current state are combined with the results
from the mathematical model to produce an analysis, which is considered as
the best estimate of the current state of the system. In data assimilation
applications, the analysis and forecasts are best thought of as probability
distributions. The analysis step is an application of Bayes theorem and the
overall assimilation procedure is an example of Sequential Bayesian Estima-
tion (SBE).
Figure 1: The initial facies maps (top row) and nal facies maps (bottom
row) from realizations 20, 40, and 60 after matching both the production
data and the facies observations. Well locations are denoted by the black
dots [1].
Oileld History Matching
Lian Duan
Supervised by Dr. Chris Farmer, Dr. Ben Hambly and Dr. Irene Moroz
Oxford Centre for Collaborative Applied Mathematics (OCCAM)
http://www.maths.ox.ac.uk/occam
This poster is based on work supported by Award No. KUK-C1-013-04 made by
King Abdullah University of Science and Technology (KAUST).