Modeling Uncertainty in Metric Space

MODELING UNCERTAINTY IN METRIC SPACE
A DISSERTATION
SUBMITTED TO THE DEPARTMENT OF ENERGY RESOURCES
ENGINEERING
AND THE COMMITTEE ON GRADUATE STUDIES
OF STANFORD UNIVERSITY
IN PARTIAL FULFILLMENT OF THE REQUIREMENTS
FOR THE DEGREE OF
DOCTOR OF PHILOSOPHY
Kwangwon Park
January 2011
© Copyright by Kwangwon Park 2011
All Rights Reserved
ii
I certify that I have read this dissertation and that, in my opinion, it
is fully adequate in scope and quality as a dissertation for the degree
of Doctor of Philosophy.
(Dr. Jef Caers) Principal Adviser

(Dr. Louis Durlofsky)

(Dr. Tapan Mukerji)
Approved for the University Committee on Graduate Studies.
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preface
Modeling uncertainty for future prediction requires drawing multiple posterior

models. Such drawing within a Bayesian framework is dependent on the likeli-
hood (data-model relationship) as well as prior distribution of the model variables,
For the uncertainty assessment in the Earth models, we propose the framework of
Modeling Uncertainty in Metric Space (MUMS) to achieve this in a general way.
MUMS constructs a metric space where the models are represented exclusively by
a distance correlated with or equal to the difference in their responses (application-
tailored distance). In the framework of MUMS, various operations are available:
projection of metric space by multi-dimensional scaling, model expansion by ker-
nel Karhunen-Loeve expansion, generation of additional prior model by solving
the pre-image problem, and generation of multiple posterior models by solving
the post-image problem.
We propose a robust solution for the pre-image problem: geologically con-
strained optimization, which utilizes the probability perturbation method from
the solution of the fixed-point iteration algorithm. Additionally, we introduce a so-
called post-image problem for obtaining the feature expansion of the ”true Earth”
by defining a distance as the difference in their responses. The combination of
geologically constrained optimization and the post-image problem efficiently gen-
erates multiple posterior Earth models constrained to prior geologic information,
hard data, and nonlinear time-dependent data. The proposed method provides a
realistic uncertainty model for future prediction, compared with the result of the
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rejection sampler. The construction of 3 to 10 prior models and forward evalua-
tion were required to generate one posterior model, while the rejection sampler re-
quired 300 to 500 prior models to generate one posterior model. We also propose a
metric ensemble Kalman filter (Metric EnKF), which applies the ensemble Kalman
filter (EnKF) to the parameterizations by the kernel KL expansion in metric space.
Metric EnKF overcomes some critical limitations of EnKF: it preserves prior geo-
logic information; it creates a stable and consistent filtering. However, the results
of Metric EnKF applied to various cases including the Brugge field-scale synthetic
reservoir show the same problem as with the EnKF in general, that is, it does not
provide a realistic uncertainty model.
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Contents
preface iv
1 Motivation 1
1.1 Modeling Uncertainty . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 A Bayesian approach to modeling uncertainty . . . . . . . . . . . . . 2
1.3 Uncertainty in reservoir modeling . . . . . . . . . . . . . . . . . . . . 5
1.4 Reservoir modeling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.5 State-of-the-art review . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.5.1 Inverse modeling approaches . . . . . . . . . . . . . . . . . . . 9
1.5.2 Introducing distances and kernels . . . . . . . . . . . . . . . . 11
1.5.3 Modeling uncertainty in metric space . . . . . . . . . . . . . . 12
1.6 Objectives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
2 Modeling Uncertainty in Metric Space 15

2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
2.2 Ensemble generation . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
2.3 Distance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2.4 Multi-dimensional scaling . . . . . . . . . . . . . . . . . . . . . . . . . 18
2.5 Kernel k-means clustering . . . . . . . . . . . . . . . . . . . . . . . . . 20
2.6 Model expansion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
2.7 Obtaining a model from the model expansion . . . . . . . . . . . . . . 25
2.8 Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
2.8.1 Ensemble generation (SGSIM and SNESIM) . . . . . . . . . . 27
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2.8.2 Distance calculation . . . . . . . . . . . . . . . . . . . . . . . . 28
2.8.3 Models in projection space by MDS . . . . . . . . . . . . . . . 30
2.9 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
3 The Pre-Image Problem 38

3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
3.2 The fixed-point iteration algorithm . . . . . . . . . . . . . . . . . . . . 40
3.3 Solving the pre-image problem for Earth models . . . . . . . . . . . . 50
3.3.1 Unconstrained optimization . . . . . . . . . . . . . . . . . . . . 50
3.3.2 Feature-constrained optimization . . . . . . . . . . . . . . . . 62
3.3.3 Geologically constrained optimization . . . . . . . . . . . . . . 63
3.4 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
4 The Post-Image Problem 93

4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93
4.2 Definition of the post-image problem . . . . . . . . . . . . . . . . . . . 94
4.3 Solving the post-image problem in metric space . . . . . . . . . . . . 96
4.3.1 A single ”best” solution . . . . . . . . . . . . . . . . . . . . . . 96
4.3.2 Multiple solutions by stochastic optimization . . . . . . . . . . 97
4.4 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
4.4.1 Easy case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
4.4.2 A case where the ”true Earth” is near the boundary of the prior112
4.4.3 A case where few prior models are near the ”true Earth” . . . 117
4.5 Modeling uncertainty of future prediction in metric space . . . . . . . 127
4.6 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133
5 Metric Ensemble Kalman Filter 134

5.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134
5.2 The Kalman Filter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135
5.3 The Ensemble Kalman Filter . . . . . . . . . . . . . . . . . . . . . . . . 138
5.4 Metric Ensemble Kalman Filter . . . . . . . . . . . . . . . . . . . . . . 141
5.5 Application to Gaussian prior models . . . . . . . . . . . . . . . . . . 143
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5.5.1 Model selection to reduce ensemble size . . . . . . . . . . . . . 145
5.6 Comparison of metric EnKF with the post-image solution . . . . . . . 163
5.6.1 Comparison of metric EnKF with post-image problem . . . . 163
5.6.2 A case where the ”true Earth” is near the boundary of the prior165
5.6.3 A case where few prior models are near the ”true Earth” . . . 170
5.7 Application to Brugge field-scale synthetic data . . . . . . . . . . . . 176
5.8 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 189
6 Conclusions and future work 190

6.1 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 190
6.2 Future work . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 192
6.2.1 Further verification of the post-image and pre-image solu-
tion method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 193
6.2.2 Expansion of the method for a wider range of application . . 194
6.2.3 Other specific suggestions . . . . . . . . . . . . . . . . . . . . . 197
A Metrel: Petrel Plug-in for MUMS 199

A.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 199
A.2 How Metrel works . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 202
A.3 How to use Metrel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 205
A.4 How to use Metrel: an example application . . . . . . . . . . . . . . . 206
A.4.1 Uncertainty assessment . . . . . . . . . . . . . . . . . . . . . . 212
A.4.2 Sensitivity analysis . . . . . . . . . . . . . . . . . . . . . . . . . 217
A.5 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 221
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List of Tables
A.1 Generation of 104 models with different techniques. For facies, YES
means the generation of porosity and permeability is based on fa-
cies model and NO means facies ignored; for fluvial (porosity gen-
eration method), MPS means multiple-point Geostatistical simula-
tion and SIS means sequential indicator simulation; for permeabil-
ity (permeability generation method), KS means the permeability
model is generated by the single-poroperm regression, KP means
the poroperm regression per facies, and KM means the permeabil-
ity model by co-Kriging on porosity. The number is the parenthesis
represents the number of models generated. . . . . . . . . . . . . . . 209
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List of Figures
1.1 A general way to approach Bayes’ rule: to not explicitly state the
posterior, but to produce posterior samples that follow Bayes’ rule. . 3
1.2 How the rejection sampler works. . . . . . . . . . . . . . . . . . . . . . 5
1.3 Various sources of uncertainty in the oil industry. . . . . . . . . . . . 5
2.1 The size of reservoir model is 310 ft × 310 ft × 10 ft. The domain is
discretized into 961 gridblocks (31 × 31). An injector and a producer
are completed at (45 ft, 45 ft) and (275 ft, 275 ft) respectively. . . . . . 26
2.2 6 out of 1,000 initial log-permeability models generated by SGSIM.
(-3 to 3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
2.3 Training image used for SNESIM models. . . . . . . . . . . . . . . . . 28
2.4 6 out of 1,000 initial facies distribution models generated by SNESIM. 29
2.5 Projection of metric space of 1,000 SGSIM and 1,000 SNESIM models
using Euclidean distance. . . . . . . . . . . . . . . . . . . . . . . . . . 31
2.6 Projection of metric space of 1,000 SGSIM and 1,000 SNESIM models
using the connectivity distance. . . . . . . . . . . . . . . . . . . . . . . 32
2.7 Projection of metric space using the connectivity distance (continu-
ous variables). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
2.8 Projection of metric space using the connectivity distance (binary
variables). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
2.9 The correlations between the distances defined and the distances
in the low-dimensional projection space. From left: 1D projection
space, 2D, 3D, and 10D. X-axis means the connectivity distance and
y-axes the distance in the projection space by MDS. . . . . . . . . . . 35
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2.10 The correlations between the distance defined and the dynamic re-
sponse. The red lines in (b) and (c) represent the mean of difference
in dynamic data of a range of connectivity distance. . . . . . . . . . . 36
2.11 Representation of the difference in dynamic responses between all
models and a specific model. . . . . . . . . . . . . . . . . . . . . . . . 37
3.1 Various solutions of the pre-image problem: all the methods con-
verge to the minimum. . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
3.2 Various solutions of the pre-image problem: Schölkopf and Smola
(2002) fixed-point iteration algorithm does not converge to the min-
imum. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
3.3 Various solutions of the pre-image problem: Kwok and Tsang (2004)
algorithm does not converge to the minimum. . . . . . . . . . . . . . 48
3.4 Various solutions of the pre-image problem: Conjugate gradient method
does not converge to the minimum. . . . . . . . . . . . . . . . . . . . 51
3.5 Various solutions of the pre-image problem: all the methods other
than the case starting from the proposed initial point do not con-
verge to the minimum. . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
3.6 4 of 300 Gaussian models generated by SGSIM. . . . . . . . . . . . . . 54
3.7 4 of 300 new models generated by applying unconstrained opti-
mization to the pre-image problem using the Euclidian distance. . . . 55
mization to the pre-image problem using connectivity distance. . . . 56
3.9 300 initial Gaussian random function models and 300 new models. . 56
3.10 QQ-plot between an initial prior model and a new model from un-
constrained optimization of the pre-image problem. The green line
is the 45◦ -line. The Gaussian shape is preserved but not the variance. 57
3.11 Histograms of an initial prior model and a new model. . . . . . . . . 57
3.12 Variograms (standardized) of an initial prior model and a new model. 57
3.13 4 of 300 uniform random function models generated by the DSSIM. . 58
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mization to the pre-image problem using the Euclidian distance. . . . 59
mization to the pre-image problem using connectivity distance. . . . 60
3.16 300 initial uniform random function models and 300 new models. . . 60
3.17 QQ-plot between an initial prior model and a new model from un-
constrained optimization of the pre-image problem. The green line
is the 45◦ -line. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
3.18 Histograms of an initial prior model and a new model. . . . . . . . . 61
3.19 Variograms (standardized) of an initial prior model and a new model. 61
3.20 Illustration of the proximity distance transform. . . . . . . . . . . . . 63
3.21 Boolean channel, lobe, and fracture models. . . . . . . . . . . . . . . . 66
3.22 The processes of feature constrained optimization for Boolean chan-
nel models. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
3.23 The processes of feature constrained optimization for Boolean lobe
models. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
3.24 The processes of feature constrained optimization for Boolean frac-
ture models. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78
3.25 300 initial models (red) and 300 new models (blue) in the projection
of metric space by MDS. . . . . . . . . . . . . . . . . . . . . . . . . . . 79
3.26 The probability perturbation method to solve the pre-image prob-
lem (geologically-constrained optimization). . . . . . . . . . . . . . . 85
3.27 The PPM iterations from a randomly chosen model as an initial model. 88
3.28 The PPM iterations from the best fit model amongst the initial prior
models as an initial model. . . . . . . . . . . . . . . . . . . . . . . . . . 89
3.29 Initial and final models obtained by PPM starting from current best-
fit model. From the same initial model in (a) (best-fit model), PPM
provides the same final model with 10 trials of different random seeds. 90
3.30 The example solutions of the unconstrained optimization, which is
used as initial conditional probability of the PPM. . . . . . . . . . . . 90
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3.31 The PPM iterations from the solution of the fixed-point iteration al-
gorithm as an initial probability for the PPM. . . . . . . . . . . . . . . 91
3.32 A diverse set of the pre-image solutions obtained by the PPM start-
ing from the solution of unconstrained optimization. . . . . . . . . . 92
4.1 The gradual deformation method to solve the post-image problem. . 98

4.2 The reservoir geometry and two wells: an injector and a producer. . . 100
4.3 The training image of meandering channels to NE50 direction. . . . . 101
4.4 6 out of 100 initial prior models generated by SNESIM constrained
to geologic information and hard data. . . . . . . . . . . . . . . . . . . 101
4.5 Watercut history over 3 years (nonlinear time-dependent data). . . . 102
4.6 Watercut curves of 100 initial prior models displayed with data. . . . 103
4.7 The locations of the true Earth and initial prior models in the projec-
tion of metric space. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103
4.8 The objective function of post-image problem in the projection of
metric space by the MDS. . . . . . . . . . . . . . . . . . . . . . . . . . 104
4.9 6 of 30 solutions from the fixed-point iteration algorithm used as an
initial probability in the probability perturbation method for solving
post-image problem. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105
4.10 6 of 30 posterior models constrained to watercut history obtained by
solving post-image and pre-image problems. . . . . . . . . . . . . . . 106
4.11 Watercut curves for 30 posterior models obtained by post-image and
pre-image problems matching the watercut history. . . . . . . . . . . 106
4.12 6 of 30 posterior models obtained by the rejection sampler. . . . . . . 107
4.13 Watercut curves for 30 posterior models obtained by the rejection
sampler. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
4.14 Comparison of the mean and conditional variance of 100 initial prior
models with 9,898 prior models for the rejection sampler. . . . . . . . 109
4.15 Comparison of the mean and conditional variance of 30 posterior
models from the post-image problem with those from the rejection
sampler. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110
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metric space. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114
sampler. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117
models from the post-image problem with those from the rejection
sampler. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118
4.27 3 solutions from the unconstrained optimization used as an initial
probability in the probability perturbation method for solving post-
image problem. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120
4.28 3 posterior models constrained to watercut history obtained by solv-
ing post-image and pre-image problems. . . . . . . . . . . . . . . . . 120
4.30 Comparison of the post-image and pre-image solution methods with
other sampling techniques. . . . . . . . . . . . . . . . . . . . . . . . . 122
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solving post-image and pre-image problems with iteration. . . . . . . 123
4.32 Watercut curves for 30 posterior models obtained by the post-image
and pre-image problems with iteration. Watercut curves of initial
prior models and newly added prior models are displayed separately.124
sampler. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125
metric space. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125
models from the post-image problem (238 forward simulations) with
those from the rejection sampler (11,454 forward simulations). . . . . 126
metric space. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129
sampler. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 131
models from the post-image problem (238 forward simulations) with
those from the rejection sampler (12,424 forward simulations). . . . . 132
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5.1 Watercut data measured every two months. Only the red circles ◦
(noisy data) are available to the algorithm. . . . . . . . . . . . . . . . 146
5.2 2D projection of metric space of 1,000 initial models based on their
own distances. Color represents the difference in responses between
initial models and the model located in × (◦: low; ◦: high). Since the
connectivity distance is highly correlated with the difference in re-
sponses, although the models are mapped based on the connectivity
distance, the models are well sorted with the difference in responses. 147
5.3 Log-permeability of 6 out of 1,000 models which are generated by
SGSIM. All the models are conditioned to hard data: 150 md at (45
ft, 45 ft) and (275 ft, 275 ft). . . . . . . . . . . . . . . . . . . . . . . . . . 147
5.4 The mean (left) and conditional variance (right) of log-permeability
of 1,000 initial models. It is verified that all the models are condi-
tioned to hard data. In the map of the mean (left), the well locations,
or the hard data locations, are easily identified: (45 ft, 45 ft) and (275
ft, 275 ft). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 148
5.5 Watercut curves simulated with all 1,000 initial models and the mea-
sured watercut data. Red circles ◦ mean the measured data. Green
line − means the mean of the watercut curves. Grey lines show −
1,000 watercut curves. . . . . . . . . . . . . . . . . . . . . . . . . . . . 148
5.6 Watercut curves calculated by the reservoir simulations and the mea-
sured watercut at 260 days. . . . . . . . . . . . . . . . . . . . . . . . . 149
5.7 Update at 260 days in 2D MDS space. ◦’s represent the a priori mod-
els (before correction) and ◦’s the a posteriori models (after correction).149
5.8 Watercut curves calculated by the reservoir simulations and the mea-
sured watercut at 520 days. . . . . . . . . . . . . . . . . . . . . . . . . 150
5.9 Update at 520 days in 2D MDS space. ◦’s represent the a priori mod-
els (before correction) and ◦’s the a posteriori models (after correc-
tion). Grey lines (−) show the path of update. . . . . . . . . . . . . . . 150
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5.10 LEFT: Watercut curves calculated by the reservoir simulations and
the measured watercut from 580 days to 1,095 days; RIGHT: Update
from 580 days to 1,095 days in 2D MDS space. ◦’s represent the a
priori models (before correction) and ◦’s the a posteriori models (after
correction). Grey lines (−) show the path of update. . . . . . . . . . . 153
5.11 The updates of log-permeability ln k, a priori and a posteriori water
saturation Sw of one model amongst 300 models. . . . . . . . . . . . . 156
5.12 The mean (left) and conditional variance (right) of log-permeability
of 300 final models after EnKF. . . . . . . . . . . . . . . . . . . . . . . 156
5.13 Log permeability of reference model. . . . . . . . . . . . . . . . . . . . 157
5.14 Watercut curves predicted by reservoir simulations of 300 final mod-
els from 0 days to 1095 days. . . . . . . . . . . . . . . . . . . . . . . . . 157
5.15 The initial 300 models clustered into 30 clusters by means of the
kernel k-mean clustering. . . . . . . . . . . . . . . . . . . . . . . . . . 158
5.16 The 30 models selected (the medoids). . . . . . . . . . . . . . . . . . . 158
5.17 Watercut curves for the initial 300 models and their p50 , p10 , and p90
(red solid line and dotted lines). . . . . . . . . . . . . . . . . . . . . . . 159
5.18 Watercut curves for the selected initial 30 models and their p50 , p10 ,
and p90 (red solid line and dotted lines). . . . . . . . . . . . . . . . . . 159
5.19 p50 , p10 , and p90 of the initial 300 models (red) and the selected initial
30 models (blue). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 160
5.20 EnKF update of the selected 30 models at 520 days in 2D projection
of metric space. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 160
5.21 Watercut curves predicted by the final 30 models of EnKF. . . . . . . 161
5.22 Watercut curves for the final 300 models (original ensemble) and
their p50 , p10 , and p90 (red solid line and dotted lines). . . . . . . . . . 161
5.23 Watercut curves for the final 30 models (reduced ensemble) and
their p50 , p10 , and p90 (red solid line and dotted lines). . . . . . . . . . 162
5.24 p50 , p10 , and p90 of the final 300 models (red) and the final 30 models
(blue). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 162
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5.26 Initial ensemble of prior models in the projection of metric space. . . 166
5.27 Final ensemble of prior models in the projection of metric space. . . . 167
5.28 Update of initial ensemble of prior models in the projection of metric
space. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167
5.29 6 of 100 final models constrained to watercut history obtained by
metric EnKF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 168
5.30 Watercut curves for 100 posterior models obtained by metric EnKF
matching the watercut history. . . . . . . . . . . . . . . . . . . . . . . . 169
5.31 6 of 100 posterior models obtained by the rejection sampler. . . . . . 169
sampler. (15,305 forward simulations) . . . . . . . . . . . . . . . . . . 170
5.33 The mean and conditional variance of 100 posterior models from
metric EnKF (100 forward simulations) and from the rejection sam-
pler (15,305 forward simulations). . . . . . . . . . . . . . . . . . . . . . 171
5.35 Initial ensemble of prior models in the projection of metric space. . . 172
5.36 Final ensemble of prior models in the projection of metric space. . . . 173
5.37 Update of initial ensemble of prior models in the projection of metric
space. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 173
5.38 6 of 60 final models constrained to watercut history obtained by met-
ric EnKF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 174
5.39 Watercut curves for 60 posterior models obtained by metric EnKF
matching the watercut history. . . . . . . . . . . . . . . . . . . . . . . . 174
sampler. (38,201 forward simulations) . . . . . . . . . . . . . . . . . . 175
5.42 The mean and conditional variance of 60 posterior models from met-
ric EnKF (100 forward simulations) and from the rejection sampler
(38,201 forward simulations). . . . . . . . . . . . . . . . . . . . . . . . 177
5.43 The Brugge field and wells (Oil saturation). . . . . . . . . . . . . . . . 178
5.44 Production history. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 179
xviii
5.45 Permeability of 4 of 65 prior models. . . . . . . . . . . . . . . . . . . . 180
5.46 The prediction of watercut from 65 initial prior models and the data. 182
5.47 65 initial prior models in the projection of the metric space. . . . . . . 183
5.48 Update of the metric EnKF of 65 models of Brugge data set. . . . . . 183
5.49 The prediction of watercut of 65 final models and the data. . . . . . . 184
5.50 The prediction of oil production rates of 65 final models and the data. 185
5.51 The prediction of bottom-hole pressure of 65 final models and the
data. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 186
5.52 The permeability of 4 of 65 final model obtained by the metric EnKF. 187
5.53 The mean and conditional variance of initial 65 models and final 65
models. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 188
A.1 Structure of Petrel database: Model. . . . . . . . . . . . . . . . . . . . . 202

A.2 Example of structural models and corresponding property models
in Petrel database (Model). . . . . . . . . . . . . . . . . . . . . . . . . . 203
A.3 Example of Case and corresponding properties in Petrel database. . . 204
A.4 Distance and the projection of Cases from metric space by multi-
dimensional scaling. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 204
A.5 Kernel k-means clustering of Cases in metric space. . . . . . . . . . . 205
A.6 User interfaces of Metrel. . . . . . . . . . . . . . . . . . . . . . . . . . . 207
A.7 Pointset generated by MDS. . . . . . . . . . . . . . . . . . . . . . . . 207
A.8 Pointset generated by KKM. . . . . . . . . . . . . . . . . . . . . . . . 207
A.9 Brugge field in Petrel database. . . . . . . . . . . . . . . . . . . . . . . 208
A.10 Permeability based on facies information. . . . . . . . . . . . . . . . . 209
A.11 Permeability without using facies information. . . . . . . . . . . . . . 209
A.12 Streamlines traced by one of the Frontsim simulations. . . . . . . . . 210
A.13 Projection of metric space by MDS. Each dot represents a reservoir
model (Case). The color means z-dir location of each Case . . . . . . 211
A.14 Clustering results and a few representative Cases chosen by KKM.
Chosen Cases are represented by large circles which labeled BRUGGE 33,
BRUGGE 48, BRUGGE 68, BRUGGE 78, BRUGGE 88, and BRUGGE 93. . . . . . 211
xix
A.15 Field oil and water production curves of 104 models by exhaustive
simulations, which cannot be applied in the field. . . . . . . . . . . . 213
A.16 Field oil and water production curves of 6 representative models
chosen by KKM. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 213
A.17 p10 , p50 , and p90 of field oil production curves of 104 models (green
dashed lines) and 6 representative models chosen by KKM (blue
solid lines). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 214
A.18 p10 , p50 , and p90 of field water production curves of 104 models
(green dashed lines) and 6 representative models chosen by KKM
(blue solid lines). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 214
A.19 Well (p17) oil and water production curves of 104 models by exhaus-
tive simulations, which cannot be applied in the field. . . . . . . . . . 215
A.20 Well (p17) oil and water production curves of 6 representative mod-
els chosen by KKM. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 215
A.21 p10 , p50 , and p90 of well (p17) oil production curves of 104 models
(blue solid lines). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 216
A.22 p10 , p50 , and p90 of well (p17) water production curves of 104 models
(blue solid lines). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 216
A.23 Checking the type of porosity and permeability model generation
method in the spreadsheet of Pointset. x, y, Depth represent the lo-
cation of each model in the space projected by MDS. The case name,
cluster index, and generation methods of permeability and porosity
are listed in the table. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 218
A.24 Checking the type of porosity and permeability model generation
method for 6 representative models only in the spreadsheet of Pointset.219
A.25 Projection of metric space with displaying the usage of facies infor-
mation for the generation of porosity model (YES: facies considered;
NO: facies ignored). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 219
xx
A.26 Projection of metric space with displaying the type of simulation
method to generate porosity model (MPS: multiple-point geostatis-
tical method; SIS: sequential indicator simulation). . . . . . . . . . . . 220
A.27 Projection of metric space with displaying the type of method to
generate permeability model (KS: single poroperm regression; KP:
poroperm regression per facies; KM: coKriging on porosity). . . . . . 220
xxi
Chapter 1
Motivation
1.1 Modeling Uncertainty

Many scientific and engineering studies involve decision making and such deci-
sion making processes are based upon future prediction. For example, we make
plans, depending on every-day or every-hour weather forecast. For the remedia-
tion of environmental contamination, the propagation of groundwater or air pol-
lution is predicted. Petroleum engineers try to estimate and maximize oil and gas
production for a certain time frame. In order to manage nuclear waste safely, we
need to predict the change of the Earth over the next 10,000 years. It is of great
importance to predict the future as realistically as possible.
However, any future prediction is uncertain. The process of predicting the fu-
ture is similar in many engineering fields: gather data; construct a model; calculate
the future performance from the model. In this process, the data as well as the data-
model relationship may contain various types of errors. Additionally, the data may
be insufficient to constrain a model; hence a model of uncertainty needs to be con-
structed. Such model of uncertainty may contain many elements and sources of
uncertainty including, measurement error, interpretation uncertainty, uncertainty
in the physical laws and properties used for making predictions.
Modeling uncertainty is, however, difficult. There is no direct way to figure
out whether the modeled uncertainty is correct, because an event just happens
1
CHAPTER 1. MOTIVATION 2
or not. When the event happened, it does not tell us what the uncertainty was
in hindsight. For instance, although the weather forecast says the probability of
raining tomorrow is 60 %, there are only two possible events: tomorrow it rains or
not. For both the events, we cannot say the probability of raining, 60 %, is correct
or not. While there is no correct uncertainty, we still have to model the uncertainty
for the future prediction.
1.2 A Bayesian approach to modeling uncertainty

Even though modeling uncertainty is highly subjective, a consistent and repeatable
mathematical framework is desired. The problem of modeling uncertainty in the
Earth Sciences can be tackled in a Bayesian framework (Tarantola, 2005; Caers,
2011). Equation 1.1 shows Bayes’ rule:
P(D = d|X = x) P(X = x)

P(X = x|D = d) = (1.1)
P(D = d)
where, X is random vector representing the Earth model and D the random vector
representing data. x represents the outcome of random vector X or the model and
d the outcome of random vector D or the data. P(X = x) is the prior probability of
X; P(D = d|X = x) is the likelihood; P(X = x|D = d) is the posterior probability.
P(D = d) is the prior probability of D. The posterior probability represents the
uncertainty of the model, given data. Hence, in order to model the uncertainty,
the likelihood and the prior probability need to be determined in the Bayesian
framework.
The prior probability is the probability of model before the data are taken into
account. However, not taking any data into account does not mean that no infor-
mation can be considered for the prior probability. The prior probability represents
all ’possible’ models. There are many ’impossible’ models. For example, assume
that a reservoir model is being constructed. Then, strictly speaking, the prior prob-
ability can represent all the reservoirs on all the Earth-like planets in the universe
if there are infinite number of the Earth-like planets in the universe. As for the
rules of geology, geologically unrealistic reservoir models should not be taken into
account for the prior.
It is also convenient to use the terms, prior and posterior probability, in a rela-
tive sense. Assume we have two types of data, D1 and D2 , and suppose D1 and
D2 are considered sequentially. When we first consider D1 , the prior probability
becomes P(X) and the posterior probability is P(X|D1 ). Then, if D2 is considered
only after looking at D1 , the prior probability becomes P(X|D1 ) and the poste-
rior probability is P(X|D1 , D2 ). In this relative sense, the prior probability is the
probability before certain data are considered.
The posterior probability represents all models that honor all the data amongst
all possible prior models. Note that this is more than saying, ”all models that honor
the data”. There may be models matching the data that are not in the prior. There
are two ways to approach Bayes’ rule. The first is to state explicitly the posterior
distribution by multiplying a prior and likelihood and then sample from it. The
second is to not explicitly state the posterior, but produce posterior samples that
follow Bayes’ rule. We will mostly follow the second approach since it is more
general (Figure 1.1). There are very few multivariate probability distributions (ba-
sically only the multivariate Gaussian), that makes the first approach feasible.
Figure 1.1: A general way to approach Bayes’ rule: to not explicitly state the pos-
terior, but to produce posterior samples that follow Bayes’ rule.
There are many sampling techniques that can be used for these two approaches
to Bayes’ rule but the rejection sampling is the only sampling method that creates
samples that represent the posterior probability perfectly. The rejection sampling
provides a set of posterior models that represents the posterior probability by re-
jecting models that do not honor the data amongst all the prior models. ”Honor-
ing” is expressed in the likelihood which contains the data-model relationship as
well as any error modeled for that relationship. The data are used in this sense
to ”falsify” the models (Popper, 2002; Tarantola, 2006). The rejection sampler is in
that sense a prefect sampler, it follows Bayes’ rule correctly.
The rejection sampler basically follows the procedure (Figure 1.2):
1. Generates a model x from a prior distribution.
2. Evaluate the responses g(x) of the model x by physical laws g( ).
3. Compare the responses with the data: k g(x) − dk.
4. Accept the model x with a certain probability (Equation 1.2) depending upon
the mismatch between the response and the data.
P(D = d|X = x)
p= = f (k g(x) − dk). (1.2)
pmax
where, pmax may be chosen as the maximum value of P(D = d|X = x). The
acceptance ratio depends on the constant pmax .
5. Repeat until the desired number of models is obtained.
Briefly speaking, the rejection sampler rejects or accepts a prior model depending
upon the shape of the likelihood, i.e. the nature of data-model relationship.
However, if the data-model relationship is complex and/or requires consider-
able CPU-time to be evaluated, then the rejection sampler can be extremely slow.
Although many other sampling techniques are developed to overcome the limita-
tion of computational inefficiency of the rejection sampling, that gain in compu-
tational efficiency often means a loss in adhering to Bayes’ rule which may lead
to unrealistic models of uncertainty, often, models of uncertainty that have less
uncertainty than modeled through Bayes’ rule.
Figure 1.2: How the rejection sampler works.
1.3 Uncertainty in reservoir modeling

The oil industry requires to reasonably determine the subsurface characteristics of
reservoirs. For example, the prediction of subsurface oil, gas, and water flow re-
quires the information of geological structures of reservoir and the corresponding
rock properties as permeability, porosity, and so forth. However, these processes
involve various sources of uncertainty, which are investigated further (Figure 1.3).
Figure 1.3: Various sources of uncertainty in the oil industry.
Reservoirs are large and complex geological structures in the subsurface of the
Earth. For better understanding, we need to identify 3-dimensional (3D) structural

model of reservoir. It contains several beds and often many faults. In each bed, the
rock types or facies have to be determined. In each facies, the various rock proper-
ties have to be determined. Reservoir models are described by several millions of
gridblocks and upscaled models for reservoir simulation consist of several tens of
thousands of gridblocks.
In terms of geological properties, the sources of uncertainty span mainly three
categories. First, the structural uncertainty: what are the bounding surface repre-
senting beds, which shapes of faults or how many faults are involved, and so on.
Second, uncertainty in facies architecture and distribution: which geological sce-
narios occur, which shapes of depositional objects are distributed in the reservoir,
where are these objects located, and so forth. Lastly, in each facies type, the various
petrophysical properties such as permeability and porosity have to be determined.
Besides the geological structure of the reservoir, there is uncertainty regarding
fluids properties. The property of oil and gas, even water, is uncertain: what is the
composition of the oil, which is related with pressure-volume-temperature (PVT)
model. Thermodynamical characteristics of the fluid in the reservoir are repre-
sented by PVT model, which is critical in the reservoir simulation. Additionally,
there is uncertainty in fluid contacts such as the water-oil contact (WOC) or gas-oil
contact (GOC).
Moreover, the reservoir should be modeled based on data. Direct access to the
subsurface is limited, so insufficient or indirect data are available. Field engineers
or researchers have been trying to acquire as much data as possible and various
types of data have been developed and can be obtained. These days, many types
of real-time data can be obtained from so-called smart fields.
It is needless to say that the Earth models should be consistent with all the
various types and scales of data that are available. In Earth modeling, geologists
suggest geological scenarios of reservoir or aquifer regions; geophysicists provide
seismic data or many geophysical survey data; engineers produce core data, log
data, oil or water production history, and many other types of data. An Earth
model which does not honor any of these available data would not be realistic.
Often reservoir data used for modeling has already been subject to a great deal of
interpretation from raw measurements hence are uncertain themselves. Moreover,
raw measurements are subject to error.
1.4 Reservoir modeling

In this dissertation we limit ourselves to facies and petrophysical modeling and re-
lated uncertainty amongst those many sources of uncertainty in a reservoir. When
modeling uncertainty in facies and petrophysical properties, the following should
be considered, if such modeling is done within the context of Bayes’ rule.
First, every posterior model has to be within the set of prior models. Prior
information used to construct prior models can be found in the interpretation and
description of the geological scenarios deemed possible. We can generate the prior
models mainly by three types of techniques: the process-based, object-based, and
geostatistical sequential simulation techniques (Caers, 2005).
The process-based technique generates the Earth models by calculating the ac-
tual geological formation from the governing equations and initial and boundary
conditions. The technique makes it possible to provide the most geologically real-
istic models but the calculation or simulation takes tremendous time and cost. Ad-
ditionally, since it is difficult to constrain the simulation to data, many researchers
have been improving these techniques (Pyrcz and Strebelle, 2005; Michael et al.,
2010).
The object-based or boolean technique generates the Earth models by placing
pre-determined objects of various geological structures. While the technique can
also generate geologically realistic models very fast, it has also limitation on hon-
oring data. Allard et al. (2005) and Boucher et al. (2010) suggested iterative ways
to honor data in the object-based technique.
Presently, geostatistical sequential simulation algorithms are being widely ap-
plied to generate a geologically realistic model honoring geologic scenario (prior)
and data. The models from variogram-based geostatistical algorithms, such as the
sequential Gaussian or indicator simulation, often cannot represent geological re-

ality. However, multiple-point geostatistical algorithms, such as the single normal
equation simulation (SNESIM, Strebelle (2001)) or the filter-based simulation (FIL-
TERSIM, Zhang (2006)), can generate geologically realistic models efficiently by
means of training images.
Then the posterior models should also represent one of the geological scenarios
deemed possible.
Secondly, we have to deal with various kinds of data. In geostatistics one often
differentiates between hard data (D1 ), such as well log, core, test, and soft data
(D2 ), such as geophysical survey, seismic response, probability cube, as well as
nonlinear time-dependent data (D3 ), such as pressure transient and production
history. Our Earth model should match all available data. In other words, we have
to jointly sample the posterior distribution, P(X|D) = P(X|D1 , D2 , D3 , ...).
Third, in order to predict the future performance, our model often has to be
very large and complex. Handling such a large model is computationally costly
so the whole procedure should be rendered as efficient as possible. Especially
for the nonlinear time-dependent data, one forward simulation may take several
hours to several weeks. To make matters worse, a number of alternative models
are required to represent the uncertainty.
In this dissertation, we tackle the question of modeling uncertainty for facies
and petrophysical properties for a given specified prior. More specifically we
tackle the problem of modeling uncertainty given the production data (nonlin-
ear time-dependent data). Hence, we assume that any ”prior” model has already
been constrained properly to hard and soft data (D1 and D2 ). Before proposing the
new techniques for addressing this problem, we review the various techniques for
modeling uncertainty on facies and petrophysical properties given any production
data published.
1.5 State-of-the-art review
1.5.1 Inverse modeling approaches

In petroleum engineering, generating a model honoring dynamic data (e.g. pro-
duction history) is often called history matching. Since the dynamic data is a re-
sponse from the unknown true Earth, history matching has been regarded as a
nonlinear inverse problem. Hence we often approach the problem as a type of op-
timization problem which minimizes the difference between the observed and the
calculated, so called the objective function.
Compared with various conventional optimization problems, this problem con-
tains several tough challenges: ill-posedness, sparsity of data, large number of
model parameters, time-consuming forward simulation, and so forth. Various ap-
proaches to overcome those limitations have been proposed and are divided into
two main categories: gradient-based and stochastic methods.
Gradient-based optimization methods usually using sensitivity coefficients are
widely used because of their fast convergence. Although the approaches are well-
defined, severe nonlinearity in static and dynamic data leads to the solution being
stuck in a local minimum (RamaRao et al., 1995; Gomez-Hernandez et al., 1997;
Vasco et al., 1999; Wen et al., 2002; Cheng et al., 2005). Stochastic optimization
techniques, such as the Simulated Annealing (SA) and the Genetic Algorithm (GA)
may overcome the issue of finding local minima but are computationally much less
efficient than gradient-based techniques. In spite of the fact that any of these meth-
ods can find a solution which is constrained to dynamic data, they may not pre-
serve static data conditioning as imposed by geostatistical algorithms. Moreover,
there is no reason that any of these techniques follow Bayes’ rule. In fact, they often
underrepresent uncertainty. It is not because one finds multiple solutions (such as
with GA) that they necessarily represent a realistic uncertainty.
Stochastic techniques such as the Probability Perturbation Method (PPM; Caers
(2003); Caers and Hoffman (2006)) and the Gradual Deformation Method (GDM;
Hu (2000); Hu et al. (2001)) make it possible to generate a model to condition to dy-
namic data as well as static data and geologic constraints. That is to say, the PPM
and the GDM generate the posterior models contained within the prior models.
Both methods update a current model by combining with it a new possible model
through a one-parameter optimization. The difference is that the PPM deals with
the probability and the GDM the random numbers which are used in geostatistical
simulations (Caers, 2007). While the PPM and the GDM can provide a posterior
model, they need relatively large number of forward simulations, which take usu-
ally several hours to days. Moreover, they yield only one posterior model, hence
a large number of optimizations with different initial models are required in order
to obtain multiple models.
In order to provide multiple models, the Ensemble Kalman Filtering (EnKF)
has been applied and researched very actively recently. The Kalman Filter (KF)
is a technique for obtaining the prediction of a linear dynamic system (Kalman,
1960). Though the KF deals with a linear stochastic difference equation, the Ex-
tended Kalman Filter (EKF) is able to be applied when the relationship between
the process and measurements is nonlinear (Welch and Bishop, 2004). However,
the EKF is not applicable to highly nonlinear systems. Evensen (1994) developed a
modified Kalman filter, EnKF, for highly nonlinear problems. Due to its high per-
formance and applicability, the EnKF has rapidly spread and has been effectively
applied to a variety of fields, such as ocean dynamics, meteorology, hydrogeology,
and so forth (Houtekamer and Mitchell, 1998; Reichle et al., 2002; Margulis et al.,
2002; Evensen, 2003, 2004, 2009).
Nævdal and Vefring (2002) brought the EnKF into history matching problem.
At first, the EnKF was applied to characterize a near-well-bore reservoir. Since
then, the EnKF has been utilized to identify detailed permeability distribution for
the entire reservoir (Nævdal et al., 2005). Gu and Oliver (2005) updated the per-
meability and porosity of a full 3D reservoir simultaneously in PUNQ-S3 reservoir,
which is a realistic synthetic reservoir to verify the performance of history match-
ing. Gao et al. (2005) compared the randomized maximum likelihood method with
the EnKF. Liu and Oliver (2005) carried out the EnKF for geologic facies. Park et al.
(2005) demonstrated the applicability of the EnKF in aquifer parameter identifi-
cation through the comparison with the SA and the GDM. Park and Choe (2006)
also presented a modified EnKF for a waterflooded reservoir with the methods of
regeneration and selective uses of the observations. As the EnKF showed good
performance and diverse advantages in history matching problems, it has been re-
searched actively in a range of petroleum academies and industries (Zhang et al.,
2007; Zafari and Reynolds, 2005; Skjervheim et al., 2005; Lorentzen et al., 2005; Ja-
farpour and McLaughlin, 2008; Sarma and Chen, 2009).
However, the EnKF can neither preserve the geologic information (prior) nor
condition to secondary data such as seismic survey, nor provide a realistic uncer-
tainty assessment under the conditions of Bayes’ rule: the multiple models ob-
tained by EnKF do not represent the posterior probability. It turns out that the
models from the EnKF represent the dramatically reduced uncertainty. The EnKF
updates the ensemble of models to match dynamic data only. In addition, the state
vectors which represent the model and measurement should be distributed nor-
mally in the EnKF (Evensen, 1994). Therefore, the EnKF cannot handle discrete
properties, e.g. facies models for channel bed reservoirs.
1.5.2 Introducing distances and kernels

Suzuki and Caers (2008) first introduced the concept of distance and Sarma (2006)
first employed the kernel Karhunen-Loeve (KL) expansion in modeling the Earth
for reservoir history matching problems. Those first attempts introduced a new
era of modeling uncertainty in metric space as briefly explained in this section.
Sarma (2006) developed a method to parameterize a geological model. In his
method, a model is parameterized by a relatively short Gaussian random vector
through the KL expansion of the empirical covariance of an ensemble of mod-
els. The KL expansion makes it possible to generate new models which share the
same covariance of the ensemble. In addition, in order to maintain higher-order
moments as well as covariance, he introduced a kernel into the parameterization.
Therefore the parameterization is accomplished in a high-dimensional kernel fea-
ture space and a model is obtained by solving a so-called pre-image problem.
The pre-image problem consists of yet another optimization problem to convert
a model from feature space to model space. As a result, a new model is obtained
by nonlinear combination of an ensemble of models. He optimized this relatively
short parameters and found a solution which is conditioned to dynamic data by
gradient-based optimization algorithms. While this technique accounts for some
prior information, the solution of the pre-image problem used in Sarma (2006) does
not sample exactly from the prior, particularly for discrete problems (facies) issues
related to the reproduction of the crisp facies architecture remain. Additionally,
the approach (embedded in gradient-based optimization) does not follow Bayes’
rule (except possibly for multi-Gaussian models).
A kernel can be understood as a similarity measure, because a kernel is a dot
product of feature vectors and similar feature vectors provide a large dot product.
If this similarity from a kernel function can represent the similarity of dynamic
data, optimization would become easier and more efficient. However, polynomial
kernels which are used in Sarma (2006) are not well correlated with the difference
of dynamic data. Hence, we have to devise a more efficient and reliable way to
model the Earth.
While a kernel is a similarity measure, a distance is also a dissimilarity mea-
sure. As a dissimilarity measure, Suzuki and Caers (2008) introduced a Hausdorff
distance. They showed how a (static) distance between any two models that cor-
relates with their difference in flow responses can be used to search for history
matched models by means of efficient search algorithms, such as neighborhood
search algorithm and tree-search algorithm. This method was successfully applied
to structurally complex reservoirs (Suzuki et al., 2008). In order for this method
to work, the dissimilarity distance between any two models should be reasonably
correlated with the dynamic data.
1.5.3 Modeling uncertainty in metric space

From those first valuable attempts, Caers et al. (2010) proposed to introduce the
concept of the metric space for modeling uncertainty: the metric space constructed
by defining a distance; the multi-dimensional scaling for euclidianizing the dis-

tance defined and displaying the metric space; the employment of the Radial-Basis
Function (RBF) kernel for the metric space. The basic theory of modeling uncer-
tainty in metric space is explained in Chapter 2 in detail. This section reviews the
development of the techniques for modeling uncertainty over the last five years
briefly.
One should note that often our main interest in modeling the Earth is the pre-
diction performance on the model, not the model itself. In reservoir modeling,
input models are usually of very high dimension (105 -108 ) since a number of vari-
ables are required to represent a model that can be used for the future prediction.
On the other hand, the prediction on response evaluated is much low-dimensional
(usually 1 - 1,000 at most, for example oil production rate every month for 10
years). However, most techniques for solving inverse problems focus solely on the
model itself and often without regard to prediction or nature of response. There-
fore, it is a logical way to represent input models with respect to their responses.
Modeling Uncertainty in Metric Space (MUMS) means that processes for mod-
eling the Earth are reformulated and performed in metric space, where the location
of any model is determined exclusively by the mutual differences in responses as
defined by a distance. The first step of modeling in metric space is to define a dis-
tance to construct a metric space for the initial set of multiple models. Secondly, the
metric space is represented as its projection to the low-dimensional space by means
of the Multi-Dimensional Scaling (MDS). The MDS makes it possible to analyze the
ensemble of multiple models by simple visual inspection as well as by means of
statistical analysis techniques. From the constructed metric space, a series of oper-
ations for reservoir modeling is available: generating additional models by solving
a pre-image problem (Caers, 2008a; Scheidt et al., 2008), selecting a few representa-
tive models by screening and clustering models by the Kernel K-Means clustering
(KKM) (Scheidt and Caers, 2009b, 2010), sensitivity analysis and uncertainty as-
sessment for models (Scheidt and Caers, 2008, 2009a; Caers and Scheidt, 2010),
updating models for constraining to dynamic data by metric ensemble Kalman fil-
tering (Caers and Park, 2008; Park et al., 2008a,b), sampling posterior models given
nonlinear time-dependent data by post-image problem (Park and Caers, 2010a,b),

and so forth.
1.6 Objectives
This dissertation aims to model the uncertainty in the Earth models using distance-
based techniques. For this objective, the following will be kept in mind.
1. Such uncertainty should be consistent with the result of the rejection sam-
pling. This means that any set of models should span the same uncertainty
as models generated by the rejection sampler.
2. The proposed methodology should be efficient such that it can be applied to

large-scale problems.
3. The models which describe the uncertainty honor all available data including
any data other than production data such as well-log and seismic data.
In Chapter 2, the mathematical background of modeling uncertainty in metric

space is described in detail. In Chapters 3 and 4, the solutions of the pre-image
problem and post-image problem are discussed, respectively. In Chapter 5, EnKF
is applied in metric space in order to overcome the limitation of conventional EnKF.
Finally, Chapter 6 concludes the dissertation with possible further work. Addition-
ally, Metrel, a petrel plug-in developed for modeling uncertainty in metric space, is
provided in the appendix.
Chapter 2
Modeling Uncertainty in Metric Space
2.1 Introduction
A new paradigm for modeling uncertainty in Earth modeling has been proposed
by Caers (2008b), which is called Modeling Uncertainty in Metric Space (MUMS).
The techniques for MUMS make it possible for all the processes accompanied by
modeling uncertainty to be performed in metric space, where the models are rep-
resented exclusively by their mutual differences in responses as defined by a ”dis-
tance”.
MUMS has been triggered by an idea that often our main interest in modeling
uncertainty is not uncertainty in the model itself but uncertainty in future predic-
tion. Earth models are often represented by various properties assigned to several
millions of gridblocks in a complex structural grid. Yet, the future prediction of in-
terest is a relatively few responses at wells over time, which are one-dimensional
time-series vectors. Hence, MUMS focuses on the simple low-dimensional re-
sponses, not the high-dimensional model itself, such that all the processes in mod-
eling uncertainty are performed within a much lower dimensional space.
In MUMS, a distance representing the difference in responses is defined be-
tween any two models in order to focus on the responses, not the model itself. The
distance defined between any two models constructs a metric space where all the
models are mapped and located. Therefore, all the further operations performed
15
CHAPTER 2. MODELING UNCERTAINTY IN METRIC SPACE 16
in metric space will handle only distances.

Depending on the applications, any type of distance may be defined as long
as the distance represents the difference in responses of interest and is calculated
efficiently. For example, assume that we are interested in the future oil and gas
production. The oil and gas production is highly related with the subsurface oil
and gas flow, which is controlled mainly by the connectivity between injectors and
producers. Hence, a connectivity distance (Park et al., 2008b) can be implemented
in this particular application.
In the framework of MUMS, various operations are available. First, MUMS
generates additional models from the same prior distribution. Secondly, MUMS
chooses a few representative models amongst the models by screening and clus-
tering models. Third, MUMS analyzes the sensitivity of input parameters to the
responses. Fourth, MUMS assesses the uncertainty in future responses effectively.
Fifth, MUMS generates posterior models from prior models given nonlinear time-
dependent data.
For those operations, MUMS implements a series of mathematical techniques:
multi-dimensional scaling euclideanizes the application-tailored distance defined
and visualizes and analyzes multiple models effectively; the kernel Karhunen-
Loeve expansion parameterizes models in metric space into simple Gaussian ran-
dom vectors for further various applications; the kernel k-means clustering is em-
ployed for choosing a few representative models; solution of the pre-image prob-
lem for generating additional models from the prior; solution to the post-image
problem samples multiple posterior models.
In this chapter, mathematical theories for those techniques are explained in de-
tail. The pre-image problem and post-image problem are discussed in Chapter 3
and 4, respectively.
2.2 Ensemble generation

Let xi be a set of parameters that represents a model, which is often a vector of
property values assigned to each gridblock. If the number of parameters defining
a model is N and the number of models L, then a set (or ensemble) of models is rep-
resented by the matrix X (Equation 2.1). The ensemble of models is generated by
geostatistical (variogram-based or Boolean or multiple-point) simulation methods
aiming to cover the prior uncertainty space constrained to any prior data, such as
well core and log as well as seismic data. For example, if we generate 100 models
of porosity and permeability and the number of gridblocks in the grid of geolog-
ical model is 100,000, xi contains the value of porosity and permeability of each
gridblock, therefore the size of xi is 200, 000 × 1 and the size of X is 100 × 200, 000.
|
X= x1 x2 · · · xi · · · xL ∈ R L× N (2.1)
Let gi be a set of values that represents responses of a model xi , which is often a

time-series vector (eg. oil production rate or bottom hole pressure) or a static vector
(e.g. OOIP (original oil in place) or WOC (water-oil contact)). gi is usually obtained
by solving a partial differential equation, which is expressed by Equation 2.2. The
dimension of gi is often represented by the number of timesteps Nt in flow (gi ∈
R Nt ×1 ). In most cases, the response of a model is of critical interest, not the model
itself. For instance, if a project aims to predict oil production every month over 10
years, gi is the oil production rates over time, a vector of length 120 (10 years or 120
months). Note it often takes several hours to several days to evaluate the function
g ( ).
gi = g ( xi ) i = 1, ..., L (2.2)
2.3 Distance
MUMS starts by defining a distance. A distance is defined such that the distance
between any two models is reasonably correlated with the difference in the re-
sponses of the two models (Equation 2.3) (for the study about the correlation, refer
to Caers and Scheidt (2010)). We can define any type of function for the distance
calculation as long as Equation 2.3 holds. Note the function d(xi , x j ) should be
computationally easy and fast while the evaluation of function g(xi ) often costs
large time and efforts.
q
dij = d(xi , x j ) correlates with ( g i − g j )| ( g i − g j ) (2.3)
In most cases, the size of gi is much smaller than that of xi as mentioned before
(N >> Nt ). In other words, a model xi usually exists in very high-dimensional
(105 D to 108 D) space regardless of its response. On the other hand, gi usually ex-
ists in low dimensional (1D to 103 D) space. Hence, if we construct a metric space
representing models exclusively by the distance, the models in metric space are ar-
ranged according to the differences in their responses, which is much more effec-
tive in most of applications than that in the high-dimensional model space (Caers
et al., 2010). This simplification is the reason why we can represent the constructed
metric space as a projection to low-dimensional (2D to 5D) space through MDS.
2.4 Multi-dimensional scaling

Multi-Dimensional Scaling (MDS) (Borg and Groenen, 2005) is a process for map-
ping models from metric space into low-dimensional space (projection of the met-
ric space) such that the Euclidean distance between the mapped points in the low-
dimensional space is as close as possible to the distance that is defined when con-
structing metric space (Equation 2.4).
q
X 7 → Xm s.t. d ( xi , x j ) ∼
= (xi,m − x j,m )| (xi,m − x j,m ) (2.4)
where, Xm is defined as
|
Xm = x1,m x2,m · · · xi,m · · · x L,m ∈ R L×m (2.5)
where, the subscript m indicates the dimension of projection space or the num-
ber of eigenvalues retained. MDS is simply done by eigenvalue decomposition
and then retaining a ’reasonable’ number of largest positive eigenvalues as in
Equations 2.6 to 2.8. ’Reasonable’ means large enough to capture the variation of
models in metric space. The correlation coefficient between the distances in metric
space and the distances in the projection space determines this ’reasonable’ num-
ber. Equation 2.6 represents the process of centering the distance matrix.
B = HAH (2.6)
where, H represents the centering matrix:
1 |
H = I− 11 ∈ R L× L
L
with I of the identity matrix and 1 of a column vector of L ones (1 = [1 1 · · · 1]| ∈

R L×1 ). The (i, j)-th element of matrix A is calculated by
1
aij = − d2ij
2
.
Next, the eigenvalue decomposition of B is
B = VB ΛB V|B (2.7)
where, VB denotes the collection of eigenvectors of B and ΛB the diagonal matrix

of eigenvalues of B. If we retain the m largest eigenvalues and the corresponding
eigenvectors to construct a small eigenvalue matrix ΛB,m and eigenvector matrix
VB,m , the projection of the metric space of models Xm is finally obtained by
Xm = VB,m Λ1/2
B,m (2.8)
MDS is required for several reasons. First, MDS transforms the distance defined
into an equivalent Euclidean distance, since the distance in the projection of metric
space by the MDS is the Euclidean distance and almost the same as the distance
defined. In most cases, a three-dimensional projection space is enough (m = 3)
to achieve a correlation coefficient of 0.99 or higher between the distance defined

(d(xi , x j )) and the distance in the projection by MDS (kxm,i − xm,j k2 ), since the dis-
tance we defined is correlated with simple and low-dimensional responses, which
will be shown later. There are many theories and techniques that require distances
to be Euclidean distance. MDS can be used to ”Euclideanize” any distance.
Secondly, MDS makes it possible to map all models into two or three-dimensional
space, which means that we can analyze the distribution of the set of models
by simple visual inspection. After representing each model as a point in low-
dimensional space, it is possible to identify models which share similar properties
in terms of response. Additionally, when MDS is applied to optimization algo-
rithms, such as the probability perturbation method (Caers and Hoffman, 2006) or
the gradual deformation method (Hu, 2000) or the ensemble Kalman filter (Evensen,
1994), the process of updating models is explicitly visualized in the projection of
metric space by the MDS or in two or three-dimensional space (Park et al., 2008a).
Moreover, if clustering is required for sensitivity analysis or the uncertainty assess-
ment, the display of the result in 3D space helps investigating the resulting clusters
effectively.
2.5 Kernel k-means clustering

Clustering is a useful function for selecting a few representative models, screening
incompatible models, performing sensitivity analysis, assessing uncertainty, and
so on. Since all models in metric space are mapped into low-dimensional space
by MDS, k-means clustering is easy and converges fast. More importantly, the use
of kernel techniques for clustering, which arrange models linearly in kernel space,
makes the clustering more effective (Schölkopf and Smola, 2002; Scheidt and Caers,
2009a,b).
The k-means clustering is an iterative algorithm for finding the locations of
cluster centroids such that the sum of distances between the models and their
nearest centroids is minimized (Equation 2.9). Once the locations of centroids are
determined, the models nearest to the centroids are clustered into the same group
and assigned the same cluster index (Equation 2.10).
L
Copt = argmin ∑ min kc j − xi,m k with j = 1, 2, · · · , Nc (2.9)
C
i =1 j
ui = argmin kc j,opt − xi,m k (2.10)

j
where, the matrix C represents the collection of cluster centroids (c j , j = 1, ..., Nc )

of size m × Nc . Nc is a predefined number of clusters, and ui the cluster index for
the i-th model xi . The subscript ’opt’ denotes the optimized cluster centroids.
The kernel k-means clustering (KKM) denotes the k-means clustering in ker-
nel space. First, we define a mapping from original space to kernel space (Equa-
tion 2.11). In MUMS, the Radial-Basis Function (RBF) kernel (e.g. Gaussian kernel)
is often selected since we have already defined a distance and the RBF kernel is a
function of distance only (Equation 2.12). Then a Euclidean distance between two
features in kernel space is represented by Equation 2.13. As seen in Equation 2.13,
the distance in kernel space is calculated from the kernel function, which means
the feature Φ does not have to be explicitly stated (the kernel trick) (Schölkopf and
Smola, 2002).
Xm 7 → Φ k (xi,m , x j,m ) = φ|i φ j

s.t. (2.11)
!
kxi,m − x j,m k2
k (xi,m , x j,m ) = exp − (2.12)
2σ2
kφi − φ j k2 = φ|i φi − 2φ|i φ j + φ|j φ j
= 2 − 2k(xi,m , x j,m ) (2.13)
Therefore, the equations for KKM are obtained by slightly modifying Equa-
tions 2.9 and 2.10 (Equations 2.14 and 2.15).
L
Copt = argmax ∑ max k(c j , xi,m ) with j = 1, 2, · · · , Nc (2.14)
C i =1 j
ui = argmax k(c j,opt , xi,m ) (2.15)

j
2.6 Model expansion

In MUMS, the Karhunen-Loeve (KL) expansion is often utilized for model expan-
sion. A set of models in metric space can be parameterized into relatively short
standard Gaussian random vectors by means of the KL expansion. Since a short
standard Gaussian random vector represents a model using the model expansion,
the parameterization is able to be conveniently applied to various optimization
algorithms that require the Gaussianity assumption, such as the gradual deforma-
tion method (Hu, 2000) and the ensemble Kalman filter (Evensen, 1994).
The KL expansion starts from the covariance. Let CX be the covariance of an
ensemble (Equation 2.1) that is calculated numerically by Equation 2.16.
L
1 1 |
∑ xj xj
|
CX = = X X (2.16)
L j =1
L
When we perform eigenvalue decomposition on the covariance (Equation 2.17),

a model xi is represented by its parameterization yi (Equation 2.18). Additionally,
a new model can be obtained by Equation 2.19.
CX VCX = VCX ΛCX (2.17)

xi = VCX Λ1/2
CX yi (2.18)
xnew = VCX Λ1/2
CX ynew (2.19)
where, VA is a matrix each column of which is the eigenvector of matrix A. ΛA

is a diagonal matrix each diagonal element of which is the eigenvalue of matrix
A. ynew represents the parameterization for the model xnew . The parameterization
yi or ynew is a standard Gaussian random vector and the size is determined by
how many eigenvalues are retained (yi ∈ Rm×1 ). We do not have to use all the
nonzero L eigenvalues; typically a few large eigenvalues are retained (m ≤ L). By
Equation 2.19, we can generate many models representing the same covariance
and the same uncertainty space (Caers et al., 2010).
In order to consider higher-order moments or spatial correlation beyond the
point-by-point covariance, the feature expansions of the models can be introduced.
Let φ be the feature map from model space R to feature space F (Equations 2.20
and 2.21).
φ : R→F (2.20)
xm 7→ φ : = φ(xm ) (2.21)
where, φ is the feature expansion of model. With the feature expansion of the en-
semble φ(Xm ) (defined by Equation 2.22), a model is parameterized and a new
feature expansion is generated in the same manner as above (Equations 2.25 and
2.25). The covariance of feature expansions φ(x j ) of the ensemble and its eigen-
value decomposition are calculated by Equation 2.23.
[φ(Xm )]:,j = φ(x j,m ) (2.22)
where, [A]:,j represents j-th column of the matrix A.
L
1 1 1
CΦ =
L ∑ φ(x j,m )φ(x j,m )| = L
φ(Xm )φ(Xm )| = ΦΦ| = VCΦ ΛCΦ V|CΦ (2.23)
L
j =1
φ(xi,m ) = VCΦ Λ1/2

CΦ y i (2.24)
φ(xm,new ) = VCΦ Λ1/2
CΦ ynew (2.25)
However, since the feature expansion is often very high-dimensional, even

infinite-dimensional depending on the chosen kernel, the eigenvalue decompo-

sition of the covariance matrix is almost impossible. The duality between the dot-
product matrix and the covariance makes it possible to obtain the exactly equiv-
alent solution to the eigenvalue decomposition of the covariance. If we define a
kernel function as a dot product of two feature expansions (Equation 2.26), then,
the kernel function can be evaluated without representing the high-dimensional
feature expansions explicitly. Hence, the kernel matrix (Equation 2.27) or Gram
matrix can be calculated efficiently.
k(xi,m , x j,m ) : = φ(xi,m )| φ(x j,m ) (2.26)

K : = φ (Xm )| φ (Xm ) = Φ | Φ (2.27)
where, the (i,j)-th element of K is k ij = k (xi,m , x j,m ).

The main idea of the kernel KL expansion is that a new feature expansion is
a linear combination of feature expansions of models and represents all the ele-
ments in the equations as dot products of two feature expansions. Consider the
eigenvalue decomposition of the kernel matrix:
KVK = VK ΛK (2.28)
Then, the eigenvectors and the corresponding eigenvalues of the covariance are
calculated directly from the eigenvectors and eigenvalues of the kernel matrix,
which takes much less time (Equation 2.29).
1
Λ CΦ = ΛK
L
Φ | VC Φ = VK Λ1/2
K (2.29)
For the parameterization of the given ensemble, we have to find an ensemble of

parameterization Y such that
Φ = VCΦ Λ1/2
CΦ Y (2.30)
Φ| Φ = Φ| VCΦ Λ1/2
CΦ Y (2.31)
| {z } | {z }
VK Λ1/2
K √1 Λ1/2
K
L
1
K = √ VK Λ K Y (2.32)
L
Then, Equation 2.33 gives the parameterization.

√ −1 |
√ −1 |
√
Y= LΛK VK K = LΛK VK VK ΛK V|K = LV|K (2.33)
Additionally, a new model expansion of Equation 2.25 is represented by a linear

combination of the ensemble of initial model feature expansions (Equation 2.37).

CΦ ynew (2.34)
1
= LVC ΛC V|C VC ΛC
−1/2
ynew (2.35)
L | {z }
ΦΦ|
1
= Φ √ Φ| VC ( LΛC )−1/2 ynew (2.36)
L | {z } |{z}
VK Λ1/2 ΛK
K
1
= Φ √ VK ynew = Φbnew (2.37)
L
where, bnew denotes the coefficient of linear combination of feature expansions,

defined by bnew = √1 VK ynew .
L
2.7 Obtaining a model from the model expansion

Once a feature expansion ynew is acquired, a model has to be calculated. Prior to
constructing such model (xnew ), the location of the new model after MDS projec-
tion is determined (xm,new = φ−1 (ynew )). Since this cannot be solved explicitly, we
Reservoir geometry
300
250
200
y, ft
150
Figure 2.1: The size of reservoir model

100 is 310 ft × 310 ft × 10 ft. The domain
is discretized into 961 gridblocks (31 ×
50
31). An injector and a producer are com-
Injector
Producer
pleted at (45 ft, 45 ft) and (275 ft, 275 ft)
0
0 50 100 150
x, ft
200 250 300
respectively.
have to find the new model by optimization:
xm,new = arg min kφ(xm ) − φ(Xm )bnew k

xm
n o
T
= arg min φ(xm )| φ(xm ) − 2φ(xm )| φ(Xm )bnew + bnew Kbnew (2.38)
xm
This optimization problem is called the pre-image problem (Schölkopf and

Smola, 2002; Kwok and Tsang, 2004). In the implementation of the pre-image prob-
lem for Earth modeling, there are many issues to be handled carefully. Various
solutions to the pre-image problem are proposed in Chapter 3.
2.8 Example
This section provides the example that describes the usefulness of the techniques
for MUMS by means of synthetic reservoir modeling problem.
Consider a reservoir of 310 ft × 310 ft × 10 ft. Uncertainty on facies and petro-
physical properties will be considered. There is strong spatial correlation along
the NE50 direction. An injector and a producer are completed at bottom-left cor-
ner (45 ft, 45 ft) and top-right corner (275 ft, 275 ft) respectively (Figure 2.1). The
permeability values at the wells are given as 150 md.
2.8.1 Ensemble generation (SGSIM and SNESIM)

Based on the given geometry, the reservoir is discretized into 961 (31 × 31 × 1)
gridblocks (10 ft × 10 ft × 10 ft). Based on the given geology and hard data, two
sets of prior models are generated.
First, 1,000 models are generated by the Sequential Gaussian Simulation (SGSIM)
with conditioning to hard data (permeability values at two locations). Any other
technique that samples from a multi-Gaussian with specified mean and covari-
ance could have been used. The permeability distribution is modeled with an
anisotropic spherical variogram (NE50 direction; 200 ft (major direction) and 50
ft (minor) of correlation length). Permeability is log-normally distributed and the
mean and standard deviation of log-permeability are 4.0 and 1.0, respectively. Fig-
ure 2.2 shows the log-permeability of 6 out of 1,000 models.
Figure 2.2: 6 out of 1,000 initial log-permeability models generated by SGSIM. (-3
to 3)
Secondly, 1,000 models are generated by the Single Normal Equation Simula-
tion (SNESIM) with conditioning to hard data (facies = sand at two well locations).
The facies distribution is modeled with a training image with meandering channels
of mostly NE50 direction (Figure 2.3). Constant permeability values are assigned
to each facies: 150 md for sand facies; 1 md for mud background. Figure 2.4 shows
the facies distribution of 6 out of 1,000 models.
Figure 2.3: Training image used for SNESIM models.
2.8.2 Distance calculation

Distances between all possible combinations of two models among 1,000 initial
models have been calculated. In this example, the Euclidean distance and connec-
tivity distance are used.
The Euclidean distance can be calculated just from the 2-norm of the difference
in permeability values between any two models:
q
d ( xi , x j ) = ( x i − x j )| ( x i − x j ) (2.39)
The connectivity distance describes the difference in connectivity between wells

A binary model A binary model A binary model
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
Figure 2.4: 6 out of 1,000 initial facies distribution models generated by SNESIM.
in the reservoir. The connectivity distance is devised for a distance correlated with
the difference in dynamic responses of reservoir models.
In order for the connectivity distance to exhibit high correlation with the dif-
ference in the dynamic responses of reservoir models, the Time of Flight (TOF,
Datta-Gupta and King (1995)) is employed, which shows satisfactory correlation.
TOF from an injector to a producer is calculated by streamline tracing (Thiele
et al., 1996) in steady-state condition. Typically, in order to determine pressure
field and trace streamlines in steady-state condition only one hundredth to one
thousandth simulation time equivalent to the usual reservoir simulation time is
required. Equation 2.40 shows the TOF-based injector to producer distance calcu-
lation. We choose a percentile among TOFs of streamlines that arrive at a producer.
Z wP
ji i dζ k
τk = (2.40)
wIj v(ζ k )
ji
where, τk represents the TOF of the k-th streamline from the j-th injector w jI to the
i-th producer wiP . ζ k is the coordinate along the k-th streamline and v(ζ ) is the
interstitial velocity along streamline ζ.

Then, the analytical water saturation at producer wiP is calculated by
s 
Nwp ,Nsl
1 1 t
S̄w (t; wiP ) =
Nwp Nsl ∑ M◦ − 1
 M◦ ji
− 1 (2.41)
i,j τk
where, Nwp and Nsl represent the number of producers and the number of stream-
lines, respectively. M◦ means the end-point mobility ratio and t the time.
Analytical fractional flow at producer wiP is obtained by
qw krw (S̄w )/µw

f w (t; wiP ) = = (2.42)
qw + qo krw (S̄w )/µw + kro (S̄w )/µo
where, qw and qo mean the water and oil flow rates, respectively. krw and kro repre-
sent the water and oil relative permeability, respectively. µw and µo are the water
and oil viscosity, respectively.
Finally a connectivity distance between models xi and x j is calculated as the
difference in the fractional flow curves:
Nwp Z t 2
1 xj

∑
x
d ( xi , x j ) = f wi (t; wkP ) − f w (t; wkP ) dt (2.43)
k =1 0
where, the time t1 is set to be the same as the simulation time.

The calculation of the connectivity distance is efficient. It requires a steady-
state pressure solution while other operations are analytical, which means that
one million (1,000 × 1,000) distance calculations are equivalent in CPU-time to one
tenth of the time for one forward simulation.
2.8.3 Models in projection space by MDS

Figure 2.5 depicts the projection of the constructed metric space by means of multi-
dimensional scaling using Euclidean distance. Each circle represents each model.
The circles in Figure 2.5 (a) represent the 1,000 SGSIM models. Note that the circles
in Figure 2.5 (a) are distributed normally in 2D space since the 1,000 models are
multivariate Gaussian. The circles in Figure 2.5 (b) represent the 1,000 SNESIM
models. Both 2D maps show 1,000 models.
(a) 1,000 SGSIM models (b) 1,000 SNESIM models
Figure 2.5: Projection of metric space of 1,000 SGSIM and 1,000 SNESIM models
using Euclidean distance.
Figure 2.6 depicts the projection of the constructed metric space by means of
MDS using the connectivity distance. Likewise, the circles in Figure 2.6 (a) rep-
resent 1,000 SGSIM models. The circles in Figure 2.6 (b) represent 1,000 SNESIM
models. Note that there are two groups of models in the projection: in Figure 2.6
(a), a narrow line on the left and a wide plume on the right; in Figure 2.6 (b), a nar-
row line on the bottom and a wide plume on the top but not as clear as Figure 2.6
(a).
Figures 2.7 and 2.8 demonstrate the nature of the two groups of models: in
the second group (narrow line), the two wells are disconnected in the models; in
the first group (wide plume), the injector is connected to the producer by a high-
permeability region (hot spot) in the models. Furthermore, the models which are
located far left region in Figure 2.7 (or bottom region in Figure 2.8) in the narrow-
line region are more disconnected than those located near the center (near the in-
tersection point between the two regions). This is also true for the wide plume
(a) 1,000 SGSIM models (b) 1,000 SNESIM models
Figure 2.6: Projection of metric space of 1,000 SGSIM and 1,000 SNESIM models
using the connectivity distance.
region. Since connectivity distance is correlated with dynamic response, the mod-
els in metric space are ranked by their dynamic response, which makes it easy and
efficient to model the uncertainty in dynamic response.
Figure 2.9 shows the correlations between the connectivity distance and the dis-
tance in the projection space by MDS. It turns out that the distance in 2D projection
space is almost the same as the connectivity distance. Since the connectivity dis-
tance is well correlated with the dynamic response which is a simple time-series,
the dimension of two (m = 2) for the projection of the metric space is enough to
capture the variation of the models in metric space.
Figure 2.10 shows the correlations between the distance and the difference in
dynamic response. Figure 2.10 (a) displays the correlations in 1,000 SGSIM mod-
els between the Euclidean distance and the difference in dynamic response (in this
case, watercut from Eclipse run). Figure 2.10 (b) displays the correlations in 1,000
SGSIM models between the connectivity distance and the difference in dynamic re-
sponse. Figure 2.10 (c) displays the correlations in 1,000 SNESIM models between
the connectivity distance and the difference in dynamic response. As expected, the
connectivity distance is well correlated with the difference in dynamic response.
Figure 2.11 exhibits the difference in dynamic response in 2D projection space.
Figure 2.7: Projection of metric space using the connectivity distance (continuous
variables).
We plot the difference in dynamic data between each model and one specific model
(indicated by × in Figure 2.11). Figure 2.11 (a) through (d) are the projection space
using the Euclidean distance for 1,000 SGSIM models, the Euclidean distance for
1,000 SNESIM models, the connectivity distance for 1,000 SGSIM models, and the
connectivity distance for 1,000 SNESIM models. It shows that the difference in
dynamic response in 2D projection space using connectivity distance is smoothly
varying and does not have any local minimum, which is a favorable case if some
optimization is performed in this space (Chapter 4). On the other hand, the case
using the Euclidean distance shows the distribution is not meaningful for handling
dynamic responses.
Figure 2.8: Projection of metric space using the connectivity distance (binary vari-
ables).
2.9 Summary
The mathematical theories for MUMS are explained in detail: distance, the MDS,
the KKM, the kernel KL expansion. By using the projection of metric space by the
MDS, many models are displayed in 2D space effectively. Connectivity distance
which is well correlated with the difference in dynamic response renders the dis-
tribution of models in metric space ranked favorably for many applications such
as optimization. These techniques can be applied to any type of reservoir model
defined by either continuous or categorical variables.
(a) 1D (b) 2D
(c) 3D (d) 10D
Figure 2.9: The correlations between the distances defined and the distances in the
low-dimensional projection space. From left: 1D projection space, 2D, 3D, and 10D.
X-axis means the connectivity distance and y-axes the distance in the projection
space by MDS.
(a) 1,000 SGSIM, Euclidean distance vs. (b) 1,000 SGSIM, connectivity distance
dynamic response vs. dynamic response
(c) 1,000 SNESIM, connectivity distance

vs. dynamic response
Figure 2.10: The correlations between the distance defined and the dynamic re-
sponse. The red lines in (b) and (c) represent the mean of difference in dynamic
data of a range of connectivity distance.
(a) Euclidean distance for 1,000 SGSIM (b) Euclidean distance for 1,000
models SNESIM models
(c) The connectivity distance for 1,000 (d) The connectivity distance for 1,000
SGSIM models SNESIM models
Figure 2.11: Representation of the difference in dynamic responses between all

models and a specific model.
Chapter 3
The Pre-Image Problem
3.1 Introduction
Techniques for MUMS have been introduced in Chapter 2. The initial ensemble
of prior models are generated and mapped into metric space. By means of MDS
and kernel KL expansion, the prior models are parameterized into short Gaussian
random vectors. In this framework, generating a new model from the prior dis-
tribution requires obtaining the inverse of such Gaussian-based parameterization.
In other words, a new model should be obtained from a new Gaussian random
vector.
As mentioned before, a parameterization by means of kernel KL expansion, or
a Gaussian random vector, represents a feature expansion in kernel space. Then,
the problem of generating a model corresponding to an arbitrary Gaussian random
vector is equivalent to the problem of back-transforming from feature space to met-
ric space. However such back transformation will only determine the location of a
new model relative to the existing models, not the model itself, hence an additional
problem of model identification poses itself. This back-transformation is called the
pre-image problem, which is a widely known problem in computer science in the
context of pattern recognition. This chapter focuses on this pre-image problem,
especially designed for models of the Earth. In a Bayesian context the pre-image
problem is equivalent to generating an additional model from the empirical prior
38
CHAPTER 3. THE PRE-IMAGE PROBLEM 39
distribution represented by the initial set of models.

Strictly speaking, the pre-image problem in computer science consists of a back-
transform from kernel space to metric space. However, since we have to generate
the model itself (permeability, porosity, facies) in Earth modeling, MUMS requires
a back-transform from kernel space to model space. Hence, in the framework of
MUMS, we use the term, pre-image problem, more widely such that it includes the
problem of back-transforming from kernel space to model space.
To solve the conventional pre-image problem with a radial-basis function ker-
nel, such as a Gaussian kernel, Schölkopf and Smola (2002) developed the fixed-
point iteration algorithm and Kwok and Tsang (2004) improved the algorithm
to not include the iteration by means of matrix calculations using distance con-
straints. These algorithms are standard gradient-based algorithms, hence sensitive
to the initial point. However, the optimization algorithms require improvements
in terms of robustness and efficiency. This chapter includes the improvement of
the fixed-point iteration algorithm by choosing the initial point of optimization
carefully.
Also the traditional computer science pre-image problem does not have the
additional constraint of honoring prior geologic information, which makes the op-
timization much more difficult as such constraints are not trivial to enforce. As
shown later, it turns out that the fixed-point iteration algorithm can only be applied
to models of continuous variables. However, since we have to deal with categorical
variables for reservoir models such as facies models, some additional techniques
are required to render the fixed-point iteration algorithm useful for models of the
Earth.
In short, this chapter first briefly addresses the issues in the fixed-point algo-
rithm and proposes solutions of the pre-image problem from kernel space to model
space in detail.
3.2 The fixed-point iteration algorithm

In Chapter 2, we discussed how a feature expansion φ(xm,new ) can be represented
by the coefficient of the kernel KL expansion ynew (the standard Gaussian random
vector) as well as by the linear combination coefficient bnew of the ensemble of
feature expansions φ(Xm ) (Equation 3.1). In this section, the linear combination
coefficient bnew is taken as representing the kernel feature expansion φ(xm,new ).

CΦ ynew = φ (Xm ) bnew (3.1)
The pre-image problem consists of finding xm,new (a location of model xnew

in the projection of metric space by MDS) from the feature expansion φ(xm,new ):
xm,new = φ−1 (ynew ). However, the pre-image problem cannot be solved explic-
itly, since the kernel feature expansion cannot often be expressed explicitly. The
pre-image problem, hence, is solved as a minimization problem, namely, by mini-
mizing the difference between the given feature expansion φ(Xm )bnew and φ(xm ):
xm,new = arg min kφ(xm ) − φ(Xm )bnew k

xm
= arg min φ(xm )| φ(xm ) − 2φ(xm )| φ(Xm )bnew + b|new Kbnew

xm
L
= arg max ∑ b j,new k(xm , x j,m ) (3.2)
xm
j =1
!
L kxm − x j,m k2
= arg max ∑ b j,new exp − (3.3)
xm
j =1
2σ2
where, b j represents the j-th element of the vector b. The kernel function is defined
in Equations 2.12 and 2.26.
Schölkopf and Smola (2002) proposed the fixed-point iteration algorithm for
solving a pre-image problem with the Radial-Basis Function (RBF) kernel. Kwok
and Tsang (2004) proposed an algorithm which uses the distance constraint in the
optimization and removes the iteration. Since the Gaussian kernel is applied in
our framework, the pre-image problem can be solved by both methods.
The fixed-point iteration algorithm finds xm by setting the gradient of Equa-

tion 3.3 to zero:
!
L kxm − x j,m k2
∇xm ∑ bj,new exp 2σ2
= 0
j =1
L
∑ bj,new k(xm,new, x j,m )(xm,new − x j,m ) = 0 (3.4)
j =1
by iterations: xm,new obtained by Equation 3.5 is iteratively put into Equation 3.5.
L
∑ b j,new k(xm,new , x j,m )x j,m
j =1
xm,new = = Xm a (3.5)
L
∑ b j,new k (xm,new , x j,m )
j =1
where, a is the coefficient of combination of Xm (Equation 3.6).
bi,new k (xm,new , xi,m )

ai = i = 1, ..., L (3.6)
L
∑ b j,new k (xm,new , x j,m )
j =1
Since we know the kernel function k in Equation 3.5, these iterations can be
done efficiently. It turns out that xm,new is obtained by a nonlinear combination of
the ensemble members. Note that the nonlinear weights sum to unity ∑ ai = 1.
i
However, both methods may not converge since convergence is highly depen-
dent upon the initial point of the minimization problem and the possible existence
of the local minima in the problem. A suitable choice for the initial point resolves
those limitations in the fixed-point iteration algorithm. In our context, a suitable
initial point is the location of one of the prior models which minimizes the objec-
tive function of the pre-image problem (Equation 3.7).
(0)
xm = xk,m
k = arg min kφ(xi,m ) − φ(Xm )bnew k i = 1, ..., L (3.7)
i
where, the superscript ’(0)’ represents the initial point.

Figures 3.1 to 3.5 show the solutions of the pre-image problem with various ar-
bitrary standard Gaussian random vectors in the example of 1,000 SNESIM mod-
els; see Section 2.8. In each figure, the contour represents the objective function of
the pre-image problem; the brighter the color, the lower the objective function. The
blue cross × represents the proposed initial point. The green square is the solu-
tion of Kwok and Tsang (2004) algorithm. The magenta square is the solution of
the pre-conditioned conjugate gradient method (Gill et al., 1981). The red square
is the solution of Schölkopf and Smola (2002) fixed point iteration algorithm. The
blue star ∗ represents the solution of the fixed point iteration algorithm starting
from the proposed initial point.
Figure 3.1 depicts cases where all methods find the minimum. When the shape
of the objective function is a favorably concave without any local minimum, all
methods provide the minimum.
However, Figure 3.2 shows cases where Schölkopf and Smola (2002) method
provides the wrong solution. Depending on the shape of the objective function
and the initial point, Schölkopf and Smola (2002) method does not converge to the
minimum, especially when the slope of the objective function near the minimum
is small, because in the region where the slope is not steep enough the fixed-point
iteration algorithm requires a large number of iterations to converge.
Figure 3.3 displays cases where Kwok and Tsang (2004) method provides the
wrong solution. Kwok and Tsang (2004) method fails when there are several local
minima. Kwok and Tsang (2004) method may even retain a local maximum.
Methods not starting from the proposed initial point do not converge to the
minimum or provide solutions outside the prior, i.e. the plume of gray circles
consisting of the initial ensemble of prior models (Figure 3.5).
(to be continued...)
Figure 3.1: Various solutions of the pre-image problem: all the methods converge
to the minimum.
Figure 3.2: Various solutions of the pre-image problem: Schölkopf and Smola
(2002) fixed-point iteration algorithm does not converge to the minimum.
Figure 3.3: Various solutions of the pre-image problem: Kwok and Tsang (2004)
algorithm does not converge to the minimum.
3.3 Solving the pre-image problem for Earth models

Section 3.2 covered a robust optimization technique for finding the location of a
new model in the projection space xm,new from a new feature expansion φ(xm,new ).
However the model xnew still has to be determined from its location projected by
MDS, namely xm,new . This model should follow the same constraints of geolog-
ical continuity, hard and soft data conditioning as the models in the initial prior
ensemble. Three methods for solving this problem for Earth models are proposed.
3.3.1 Unconstrained optimization

The unconstrained optimization method consists of simply applying the same
weights a from the fixed-point iteration algorithm to the models as in Equation 3.8.
xnew = Xa (3.8)
Strictly speaking, this provides a suitable solution of the pre-image problem

under the following two conditions. The distance between any two models de-
fined is approximately the same as the Euclidean distance between the two mod-
els (Equation 3.9). Additionally, the dimension of the projection of metric space by
multi-dimensional scaling should be large enough to make the distance defined to
be the same as the distance in the projection space (Equation 3.10).
d ( xi , x j ) ≈ k xi − x j k (3.9)
d(xi , x j ) ≈ kxm,i − xm,j k (3.10)
In the process of linearly combining the initial models, any other constraints
for prior geologic information cannot be imposed. However, certain types of prior
probability distributions are preserved in linear combination, such as the Gaus-
sianity of models. Indeed, any linear combination of Gaussian models is again a
Gaussian model. Although the linear combination weights that sum up to unity
Figure 3.4: Various solutions of the pre-image problem: Conjugate gradient

method does not converge to the minimum.
Figure 3.5: Various solutions of the pre-image problem: all the methods other than
the case starting from the proposed initial point do not converge to the minimum.
preserve the mean, the constraints for preserving the covariance are not imposed
in Equation 3.8. The covariance is preserved when the squared weights sum up
to unity. In order to preserve the covariance or further apply the scheme of un-
constrained optimization to any random function of continuous variables, a rank
transform identifying the unit variance after linear combination can be employed,
if at all needed. The following two examples for Gaussian and uniform random
function models show the applicability of the proposed unconstrained optimiza-
tion of the fixed-point iteration algorithm to the pre-image problem.
First, consider 300 Gaussian random function models (101 × 101) generated
by sequential Gaussian simulation (SGSIM) (Figure 3.6). With these models, 300
additional prior models are generated by using the Euclidean distance and the
connectivity distance respectively.
If the Euclidean distance between the model variables is utilized, the scheme
of unconstrained optimization is applied, since Equation 3.9 holds. Yet, it should
be noted that although Equation 3.9 holds, the Euclidian distance requires a rel-
atively large number of eigenvalues for the condition of Equation 3.10 to hold.
With a large number of eigenvalues a relatively high dimensional space is created
and, consequently, the unconstrained optimization converges slowly in this high
dimensional space.
If the connectivity distance is employed, 2 or 3 eigenvalues are enough for
Equation 3.10 to hold. However, the connectivity distance is nonlinearly related
to the model variables, so Equation 3.9 does not hold. Therefore, the application of
this unconstrained optimization to connectivity distance provides an approximate
solution of the pre-image problem.
Figures 3.7 and 3.8 show 4 of the new 300 models generated by solving the
pre-image problem using unconstrained optimization. The models in Figure 3.7
are generated by using the Euclidian distance and the models in Figure 3.8 by
using the connectivity distance. Since they are generated by linearly combining
the initial Gaussian models, the new models have Gaussian histograms as seen in
the QQ-plot of Figure 3.10. Figure 3.9 depicts the initial 300 models and the new
300 models in the projection of metric space by MDS (left: the Euclidian distance;
right: the connectivity distance). It turns out that the new models capture the
variation of the initial models, which means the new models represent the prior
uncertainty space. However, Figure 3.11 shows the comparison of the histograms
of the initial and new model. The variance is decreased while new models follow
the Gaussian distribution. Figure 3.12 displays the variograms of initial and new
models. The range and the shape of the variograms are similar.
A model of continuous variables A model of continuous variables
100 3 100 3
90 90
2 2
80 80
70 70
1 1
60 60
x, ft
x, ft
50 0 50 0
40 40
−1 −1
30 30
20 20
−2 −2
10 10
0 −3 0 −3
0 10 20 30 40 50 60 70 80 90 100 0 10 20 30 40 50 60 70 80 90 100
y, ft y, ft

100 3 100 3
90 90
2 2
80 80
70 70
1 1
60 60
x, ft
x, ft
50 0 50 0
40 40
−1 −1
30 30
20 20
−2 −2
10 10
0 −3 0 −3
0 10 20 30 40 50 60 70 80 90 100 0 10 20 30 40 50 60 70 80 90 100
y, ft y, ft
Figure 3.6: 4 of 300 Gaussian models generated by SGSIM.
The same unconstrained optimization for solving the pre-image problem is ap-
plied to 300 models generated by the Direct Sequential Simulation (DSSIM, Deutsch
and Journel (1998)) (Figure 3.13). In this case all conditional distributions used are
uniform. In this case, a rank transform is required to preserve a desired prior

100 3 100 3
90 90
2 2
80 80
70 70
1 1
60 60
x, ft
x, ft
50 0 50 0
40 40
−1 −1
30 30
20 20
−2 −2
10 10
0 −3 0 −3
0 10 20 30 40 50 60 70 80 90 100 0 10 20 30 40 50 60 70 80 90 100
y, ft y, ft

100 3 100 3
90 90
2 2
80 80
70 70
1 1
60 60
x, ft
x, ft
50 0 50 0
40 40
−1 −1
30 30
20 20
−2 −2
10 10
0 −3 0 −3
0 10 20 30 40 50 60 70 80 90 100 0 10 20 30 40 50 60 70 80 90 100
y, ft y, ft
Figure 3.7: 4 of 300 new models generated by applying unconstrained optimization

to the pre-image problem using the Euclidian distance.

100 3 100 3
90 90
2 2
80 80
70 70
1 1
60 60
x, ft
x, ft
50 0 50 0
40 40
−1 −1
30 30
20 20
−2 −2
10 10
0 −3 0 −3
0 10 20 30 40 50 60 70 80 90 100 0 10 20 30 40 50 60 70 80 90 100
y, ft y, ft

100 3 100 3
90 90
2 2
80 80
70 70
1 1
60 60
x, ft
x, ft
50 0 50 0
40 40
−1 −1
30 30
20 20
−2 −2
10 10
0 −3 0 −3
0 10 20 30 40 50 60 70 80 90 100 0 10 20 30 40 50 60 70 80 90 100
y, ft y, ft
Figure 3.8: 4 of 300 new models generated by applying unconstrained optimization

to the pre-image problem using connectivity distance.
(a) Euclidian distance (b) Connectivity distance
Figure 3.9: 300 initial Gaussian random function models and 300 new models.
Gaussian prior Gaussian prior

4 4
3 3
2 2
1 1
Y Quantiles
Y Quantiles
0 0
−1 −1
−2 −2
−3 −3
−4 −4
−4 −3 −2 −1 0 1 2 3 4 −4 −3 −2 −1 0 1 2 3 4
X Quantiles X Quantiles
Figure 3.10: QQ-plot between an initial prior model and a new model from uncon-
strained optimization of the pre-image problem. The green line is the 45◦ -line. The
Gaussian shape is preserved but not the variance.
Gaussian prior Gaussian prior
3500 3500
Initial Initial
Pre−image Pre−image
3000 3000
2500 2500
2000 2000
1500 1500
1000 1000
500 500
0 0
−4 −3 −2 −1 0 1 2 3 4 −4 −3 −2 −1 0 1 2 3 4
Figure 3.11: Histograms of an initial prior model and a new model.

NE45 variogram Gaussian prior NE45 variogram Gaussian prior
1.4 1.4
Initial Initial
1.2 1.2
1 1
0.8 0.8
0.6 0.6
0.4 0.4
0.2 0.2
0 0
0 20 40 60 80 100 120 0 20 40 60 80 100 120
Figure 3.12: Variograms (standardized) of an initial prior model and a new model.
distribution, since the QQplot of Figure 3.17 shows clear difference in the distribu-
tions of the prior models and the new models. Figures 3.14 and 3.15 show the new
models from the pre-image problem when using the Euclidian distance and con-
nectivity distance respectively. Figure 3.16 displays the new 300 models and the
initial 300 models in the projection of metric space by MDS. Similar to the results
of the 300 Gaussian models, the pre-image problem generates the same distribu-
tion of new models in metric space as the initial prior models. Additionally, the
variance is decreased in the new models (the histograms of Figure 3.18) while the
(standardized) variogram is reasonably reproduced (Figure 3.19).
100 3 100 3
90 90
2 2
80 80
70 70
1 1
60 60
x, ft
x, ft
50 0 50 0
40 40
−1 −1
30 30
20 20
−2 −2
10 10
0 −3 0 −3
0 10 20 30 40 50 60 70 80 90 100 0 10 20 30 40 50 60 70 80 90 100
y, ft y, ft

100 3 100 3
90 90
2 2
80 80
70 70
1 1
60 60
x, ft
x, ft
50 0 50 0
40 40
−1 −1
30 30
20 20
−2 −2
10 10
0 −3 0 −3
0 10 20 30 40 50 60 70 80 90 100 0 10 20 30 40 50 60 70 80 90 100
y, ft y, ft
Figure 3.13: 4 of 300 uniform random function models generated by the DSSIM.

100 3 100 3
90 90
2 2
80 80
70 70
1 1
60 60
x, ft
x, ft
50 0 50 0
40 40
−1 −1
30 30
20 20
−2 −2
10 10
0 −3 0 −3
0 10 20 30 40 50 60 70 80 90 100 0 10 20 30 40 50 60 70 80 90 100
y, ft y, ft

100 3 100 3
90 90
2 2
80 80
70 70
1 1
60 60
x, ft
x, ft
50 0 50 0
40 40
−1 −1
30 30
20 20
−2 −2
10 10
0 −3 0 −3
0 10 20 30 40 50 60 70 80 90 100 0 10 20 30 40 50 60 70 80 90 100
y, ft y, ft
Figure 3.14: 4 of 300 new models generated by applying unconstrained optimiza-

tion to the pre-image problem using the Euclidian distance.

100 3 100 3
90 90
2 2
80 80
70 70
1 1
60 60
x, ft
x, ft
50 0 50 0
40 40
−1 −1
30 30
20 20
−2 −2
10 10
0 −3 0 −3
0 10 20 30 40 50 60 70 80 90 100 0 10 20 30 40 50 60 70 80 90 100
y, ft y, ft

100 3 100 3
90 90
2 2
80 80
70 70
1 1
60 60
x, ft
x, ft
50 0 50 0
40 40
−1 −1
30 30
20 20
−2 −2
10 10
0 −3 0 −3
0 10 20 30 40 50 60 70 80 90 100 0 10 20 30 40 50 60 70 80 90 100
y, ft y, ft
Figure 3.15: 4 of 300 new models generated by applying unconstrained optimiza-

tion to the pre-image problem using connectivity distance.
Figure 3.16: 300 initial uniform random function models and 300 new models.
Uniform prior Uniform prior

4 4
3 3
2 2
1 1
Y Quantiles
Y Quantiles
0 0
−1 −1
−2 −2
−3 −3
−3 −2 −1 0 1 2 3 4 5 −4 −3 −2 −1 0 1 2 3 4
X Quantiles X Quantiles
Figure 3.17: QQ-plot between an initial prior model and a new model from uncon-
strained optimization of the pre-image problem. The green line is the 45◦ -line.
Uniform prior Uniform prior
3000 3500
Initial Initial
3000
2500
2500
2000
2000
1500
1500
1000
1000
500
500
0 0
−3 −2 −1 0 1 2 3 4 −4 −3 −2 −1 0 1 2 3 4
Figure 3.18: Histograms of an initial prior model and a new model.

NE45 variogram Uniform prior NE45 variogram Uniform prior
1 1.4
Initial Initial
0.9
1.2
0.8
0.7 1
0.6
0.8
0.5
0.6
0.4
0.3 0.4
0.2
0.2
0.1
0 0
0 10 20 30 40 50 60 0 10 20 30 40 50 60
Figure 3.19: Variograms (standardized) of an initial prior model and a new model.
3.3.2 Feature-constrained optimization

Unconstrained optimization would apply to continuous variables only, since lin-
early combining categorical variables does not result in variables having the same
categories. Realistic geological models often have to be represented by categori-
cal variables, such as facies models from Boolean or multiple point geostatistical
simulations. For those categorical variables, a feature-constrained optimization is
proposed as follows
1. Perform a proximity distance transform on the initial set of prior models.
2. Linearly combine the transformed models using the combination coefficients

obtained from the fixed-point iteration algorithm.
3. Back-transform the results in step 2 to obtain a new model with categori-

cal variables. Back-transformation is performed by choosing a threshold be-
tween two categories.
The proximity distance transform assigns to each location the distance to the
border of the nearest object from the point. Figure 3.20 illustrates the proximity
distance transform for a simple binary image. As shown in the figure, the prox-
imity distance transform creates a continuous variable from a categorical variable
by assigning to each gridblock the distance to the nearest object. The value of the
proximity distance transform at the location of an object is zero, since the distance
to the nearest object from the object itself is zero. Using this property, the back
transform of the proximity distance transform is possible after obtaining a new
image of the proximity distance transform (by using a threshold). That is, if the
value at a gridblock is larger than zero, assign zero (indicating background) to the
gridblock; otherwise assign one (indicating object).
For demonstration of the proposed feature constrained optimization, Boolean
models are generated by placing various shapes of pre-assigned depositional ob-
jects. Figure 3.21 shows various types of Boolean models generated: Boolean chan-
nel models, Boolean lobe models, and Boolean fracture models.
(a) A binary image (b) Its proximity distance transform
Figure 3.20: Illustration of the proximity distance transform.
Figures 3.22 to 3.24 displays the process of the proposed feature constrained
optimization: (a) Generate the initial Boolean models. (b) Perform the proximity
distance transform for all the initial models. (c) Solve the pre-image problem by the
fixed-point iteration algorithm and apply the combination coefficients to linearly
combine the images of the proximity distance transform. (d) Perform the inverse
of the proximity distance transform for all the solutions from the fixed-point iter-
ation algorithm. The new models represent well the spatial characteristics of the
initial models, although not perfectly. The new models from the Boolean channel
models show channelized objects, similar results are obtained in the case of lobes
and fractures but the representation is worse than the case of channel.
Figure 3.25 depicts the locations of 300 initial models and 300 new models in the
projection of metric space by MDS. The new models represent the prior uncertainty
space regardless of which distance is employed.
3.3.3 Geologically constrained optimization

Motivation
Both the unconstrained optimization and the feature constrained optimization are
basically approximations which can become problematic under certain conditions.
(a) 4 of 300 Boolean channel models.

(b) 4 of 300 Boolean lobe models.

(c) 4 of 300 Boolean fracture models.
Figure 3.21: Boolean channel, lobe, and fracture models.

(a) 4 of 300 initial models.

(b) Proximity distance transform of 4 of 300 initial models.

(c) The solutions of the pre-image problem.

(d) 4 of 300 new models from the back transform of proximity distance transform.
Figure 3.22: The processes of feature constrained optimization for Boolean channel
models.



Figure 3.23: The processes of feature constrained optimization for Boolean lobe
models.



Figure 3.24: The processes of feature constrained optimization for Boolean fracture
models.
Euclidian Connectivity
(a) Boolean channel models.
(b) Boolean lobe models.
(c) Boolean fracture models.
Figure 3.25: 300 initial models (red) and 300 new models (blue) in the projection of
metric space by MDS.
First, in most applications Equation 3.9 does not hold. Equation 3.9 states ba-
sically that the distance defined is approximately the same as the Euclidean dis-
tance. In MUMS, the application-tailored distance is defined such that the distance
is correlated with the response of the model, not with the model itself. Hence,
Equation 3.9 holds only if the response of the model is linearly correlated with the
model itself. In such case any uncertainty assessment would be trivial.
Secondly, the two optimization methods proposed above do not always pre-
serve well the prior information (particularly for complex geology), which is chal-
lenging, see the fracture case Figure 3.24. The unconstrained optimization applied
to Gaussian models does not preserve the covariance. Furthermore the uncon-
strained optimization applied to non-Gaussian models with continuous variables
requires a rank transform to preserve the marginal distribution, but the rank trans-
form may destroy the minimization of the objective function as defined in the
pre-image problem. In other words, the rank transformed models obtained by
unconstrained optimization are not the exact pre-image solutions. In the feature
constrained optimization, the proximity distance transform and its back transform
no longer minimize the objective function of the pre-image problem. Moreover, the
feature constrained optimization can be applied only to the binary image, and are
not applicable to a model containing more than two categories. What is missing in
the previous methods is that the generating algorithm (SGSIM, DSSIM, SNESIM)
for creating the prior set of models is not used at all.
In order to overcome these limitations a geologically constrained optimization
employing this generating algorithm for the pre-image problem is proposed. In
this geologically constrained optimization we apply the Probability Perturbation
Method (PPM, Caers and Hoffman (2006)) to the minimization problem of the pre-
image problem. Such geologically constrained optimization provides the solution
in model space directly. Caers and Hoffman (2006) showed that the PPM algorithm
generates a non-stationary Markov chain that has sampling properties similar to
the rejection sampler (geologically consistent, adhering to Bayes’ rule) but at much
greater efficiency.
Recall that all sequential geostatistical simulation algorithms (variogram-based
or multiple-point) generate geologically realistic models based on sequentially draw-

ing grid-cell outcomes from a conditional probability. The traditional PPM de-
forms a categorical model variable gradually by perturbing the conditional proba-
bility such that this conditional probability generates a model which minimizes a
given objective function; in our case, this objective function is the pre-image prob-
lem of Equation 3.11. Recently, Hu (2008) extended PPM to any type of probabil-
ity distribution (discrete, continuous or mixed). We will first review the extended
PPM then demonstrate how it is efficiently applied to solve the pre-image problem.
xnew = arg min kφ(x) − φ(X)bnew k (3.11)

x
The probability perturbation method
To briefly recap what PPM does, we introduce sequential simulation first. In se-
quential simulation, we draw a prior model x containing outcomes xi (grid-cell
values):
|
x= x1 x2 · · · xi · · · xN ∈ R N ×1 (3.12)
where, an outcome xi is drawn from the conditional probability:
Prob{ Xi ≤ xi | Xi−1 ≤ xi−1 , · · · , X1 ≤ x1 } i = 1, · · · , N (3.13)
where, Xi represent a random variable at the i-th node, such as grid cell proper-
ties. Note that the subscripts ’1, 2, · · · , N’ represent nodes that are randomized in
sequential simulation.
Consider the minimization problem with an arbitrary objective function O( ):
xC = arg min O(x) (3.14)

x
PPM regards the condition of minimization of the objective function as a new type
of data event C. In other words, xi,C is drawn from the conditional probability:
Prob{ Xi ≤ xi | Xi−1 ≤ xi−1 , · · · , X1 ≤ x1 , C} i = 1, · · · , N (3.15)
Note that this conditioning event consists of two parts: { Xi ≤ xi | Xi−1 ≤ xi−1 , · · · , X1 ≤
x1 } and {C}.
PPM first parameterizes the conditional probability of the latter event Prob{ Xi ≤
xi |C} as
( n −1)
Prob{ Xi ≤ xi |C} = (1 − rC )1{ xi ≤ xi } + rC Prob{ Xi ≤ xi } (3.16)
( n −1)
where, xi denotes a model variable of the previous step n − 1.
The conditional probability of the first event
Prob{ Xi ≤ xi | Xi−1 ≤ xi−1 , · · · , X1 ≤ x1 } (3.17)
is known from the prior.

Then, the total conditional probability is obtained by using the combination
method called the tau-model (Journel, 2002):
τ1
1 p b c τ2
Prob{ Xi ≤ xi | Xi−1 ≤ x i − 1 , · · · , X1 ≤ x 1 , C } = with =
1+ p a a a
(3.18)
where,
1 − Prob{ Xi ≤ xi }
a = (3.19)
Prob{ Xi ≤ xi }
1 − Prob{ Xi ≤ xi | Xi−1 ≤ xi−1 , · · · , X1 ≤ x1 }
b = (3.20)
Prob{ Xi ≤ xi | Xi−1 ≤ xi−1 , · · · , X1 ≤ x1 }
1 − Prob{ Xi ≤ xi |C}
c = (3.21)
Prob{ Xi ≤ xi |C}
where, τ1 and τ2 represent the conditional dependency between Prob{ Xi ≤ xi |C}

and Prob{ Xi ≤ xi | Xi−1 ≤ xi−1 , · · · , X1 ≤ x1 }, while τ1 = τ2 = 1 represents the
conditional independence (which is what is usually assumed).

The objective function (Equation 3.14) is now reformulated as
(n)
rC = arg min O(x(rC )) (3.22)
rC
i.e. a one-dimensional optimization problem at the n-th iteration step.

By optimizing the coefficient rC ∈ [0, 1], PPM finds the model which minimizes
the objective function in between the current model x(n−1) and a new model. If
rC equals zero, x(rC ) becomes x(n−1) (x(0) = x(n−1) ). If rC equals one, the model
x(rC ) is a new prior model. Hence, the parameter rC creates a gradual deforma-
tion between the current model and a new model that is moreover consistent with
the prior. Additionally, the parameter rC creates a 1D optimization at each itera-
tion, which is easy to solve with standard numerical optimization techniques (Fig-
ure 3.26). Algorithm 3.3.1 provides a summary.
Probability perturbation for solving the pre-image problem
The evaluation of the objective function to solve the pre-image problem (Equa-
tion 3.11) requires the calculation of the distance between any initial model and
the current model as in Equations 3.26 to 3.29.
xnew = arg min kφ(x) − φ(X)bnew k (3.26)

x
= arg min φ(x)| φ(x) − 2φ(x)| φ(X)bnew + b|new Kbnew

(3.27)
x
L
= arg max ∑ bi,new k(x, xi ) (3.28)
x
i
L
d(x, xi )2

= arg max ∑ bi,new exp − (3.29)
x
i
2σ2
The PPM often requires a relatively large number of iterations to converge,

which means the PPM requires a relatively large number of distance calculations.
In order to increase the efficiency, we may choose the initial model in the same way
as choosing the initial model in the fixed-point iteration algorithm, see Section 3.2
Algorithm 3.3.1 The extended PPM algorithm

1: n = 0
2: Change random seed.
3: Generate an initial prior model x(n=0) using any sequential simulation method:
4: for i = 1, · · · , L do
(0)
5: xi is drawn sequentially from conditional probability:
Prob{ Xi ≤ xi | Xi−1 ≤ xi−1 , · · · , X1 ≤ x1 } (3.23)
6: end for
7: while O(x(n) ) is not minimized do
8: n = n+1
9: Change the random seed.
(n)
10: Generate x(rC ) by
11: for i = 1, · · · , L do
(n)
12: drawing xi (rC ) from conditional probability:
Prob{ Xi ≤ xi | Xi−1 ≤ xi−1 , · · · , X1 ≤ x1 , C} (3.24)
determined using Equations 3.16 to 3.21

13: end for
(n)
14: where, rC is determined such that
(n)
rC = arg min O(x(rC )) (3.25)
rC
(n)
15: Put x(n) = x(rC )
16: end while
17: Put xC = x(n)
Figure 3.26: The probability perturbation method to solve the pre-image problem
(geologically-constrained optimization).
(Equation 3.7). In Equation 3.30, we choose the best fit model amongst the initial
set of prior models.
x (0) = x k
k = arg min kφ(xi ) − φ(X)bnew k i = 1, ..., L (3.30)
i
However, starting the PPM from the same best model amongst the set of prior
models may require sampling the Markov chain of the PPM algorithm for a long
time in order to find a suitable model that has lower objective function, especially
when a prior model is less likely to be located in the region where the objective
function is low.
Hence we propose to start PPM from the solution of the unconstrained opti-
mization (Section 3.3.1, Equation 3.8):
|
xa = Xa = x1,a x2,a · · · xi,a · · · x N,a (3.31)
In other words, when obtaining x(n=1) , Equation 3.16 with n = 1 is replaced

with
Prob{ Xi ≤ xi |C} = (1 − rC )1{ xi,a ≤ xi } + rC Prob{ Xi ≤ xi } (3.32)
instead of using the initial model x(0) .

The solution of the unconstrained optimization xa is generated by linearly com-
bining the initial models, hence it consists of continuous variables. When initial
models X are binary, in Equation 3.32, if rC equals 0, we obtain a model which is
constrained to the solution of the unconstrained optimization as a probability as-
signed to each grid cell. If rC equals 1, we obtain a new model from the prior. By
starting PPM from the initial models constrained to the probability obtained from
the solution of the unconstrained optimization, the pre-image problem with PPM
generates a diverse set of prior models from an arbitrary feature expansion. When
initial models are continuous or have multiple categories, Equation 3.32 provides
a diverse set of initial models both for efficiency and diversity in solutions.
Example
Consider 300 models amongst 1,000 channelized prior models generated by SNESIM
in Chapter 2. The prior information imposed by the training image is explicitly
honored in the optimization process of PPM.
First, the initial point is chosen randomly amongst the initial prior models. Fig-
ure 3.27 shows the updates the PPM algorithm makes. The green circles ◦ denote
the locations of initial prior models. The large circles with colors from red ◦ to blue
◦ represent the model updates that decrease the objective function. The large gray
circles ◦ represent the model updates which do not decrease the objective function
hence are discarded. The lines between large red-to-blue-colored circles denote the
direction of the PPM updates. The contour map in the background displays the ob-
jective function over the entire domain (Equation 3.26). From Figure 3.27 it is clear
that PPM makes updates to either increase or decrease the connectivity between
the injector and the producer when needed. As seen in the figure, starting the PPM
algorithm from a random point requires a relatively large number of iterations.
Since we have already evaluated the objective function values at the locations
of the initial prior models, selecting the best fit model amongst the initial prior
models is tested to increase efficiency of PPM updates. Figure 3.28 shows the up-
dates of PPM. Although less number of iterations are required to converge, it is
more difficult to obtain a diverse set of solutions by starting from a single best
initial model. From a single best initial model in Figure 3.29 (a), 10 trials with dif-
ferent random seeds provided the same model of Figure 3.29 (b). In other words,
PPM requires many iterations to generate a diverse set of solutions when starting
from the same initial model.
In order to obtain a diverse set of solutions efficiently, PPM is applied by uti-
lizing the solution of the unconstrained optimization as prior probabilities. Fig-
ure 3.30 shows examples of such solutions. Figure 3.31 shows the updates of PPM.
It turns out that less number of iterations are required to converge. Figure 3.32
depicts a diverse set of solutions obtained by applying the PPM by using as initial
model the solution of the unconstrained optimization. All these diverse models
are located at the same point in the projection of metric space, which means these
models exhibit similar connectivity as seen in Figure 3.32.
3.4 Summary
The pre-image problem generates a new set of prior models from an initial set of
prior models. The fixed-point iteration algorithm to solve the pre-image problem
has been improved for efficiency by choosing the initial point carefully. In order
to obtain geologic models from the pre-image problem, three types of solutions
are proposed: unconstrained optimization, feature constrained optimization, and
Figure 3.27: The PPM iterations from a randomly chosen model as an initial model.
Figure 3.28: The PPM iterations from the best fit model amongst the initial prior
models as an initial model.
(a) Initial (b) Final
Figure 3.29: Initial and final models obtained by PPM starting from current best-fit
model. From the same initial model in (a) (best-fit model), PPM provides the same
final model with 10 trials of different random seeds.
Figure 3.30: The example solutions of the unconstrained optimization, which is

used as initial conditional probability of the PPM.
Figure 3.31: The PPM iterations from the solution of the fixed-point iteration algo-
rithm as an initial probability for the PPM.
Figure 3.32: A diverse set of the pre-image solutions obtained by the PPM starting
from the solution of unconstrained optimization.
geologically constrained optimization. Unconstrained optimization is applied to

continuous random function models and feature constrained optimization is em-
ployed for simple categorical Boolean models. However, in order to preserve the
prior information and obtain the exact pre-image, geologically constrained opti-
mization is required. Geologically constrained optimization applies the probabil-
ity perturbation method to minimize the objective function of the pre-image prob-
lem using the solution of the fixed-point iteration algorithm as an initial condi-
tional probability. The proposed geologically constrained optimization is efficient
and creates a diverse set of pre-image solutions, honoring the prior information.
Chapter 4
The Post-Image Problem
4.1 Introduction
Chapter 3 demonstrated how the pre-image problem creates a new model from an
arbitrary feature expansion using the fixed-point iteration algorithm and the prob-
ability perturbation method. By solving the pre-image problem from an arbitrary
feature expansion (φnew ), represented by a short Gaussian vector (ynew ), a new
model is generated from the probability distribution empirically represented by
the initial ensemble of models. For example, if the initial models are constrained
to geologic information and hard data (eg. well core or log) as well as soft data
(eg. seismic probability cube), the pre-image problem generates new models con-
strained to those data only.
However, when we need posterior models constrained to additional data, the
initial models honoring the prior information as well as the additional data have to
be re-created from scratch. To make matters worse, if these additional data exhibit
a strong nonlinear and time-varying relationship with model variables, there is no
direct method available to generate them.
Inverse modeling approaches have been applied to the problem of conditioning
to non-linear time-dependent data. Yet, no techniques for inverse modeling can ef-
ficiently generate multiple models representing the posterior probability distribu-
tion given geologic information, hard and soft data, and nonlinear time-dependent
93
CHAPTER 4. THE POST-IMAGE PROBLEM 94
data. Only the rejection sampler generates multiple models representing the pos-
terior probability distribution but it is inefficient. See Section 1.5.
This chapter addresses how to sample models from the posterior probability
distribution given non-linear and often time-dependent data in the framework of
MUMS. First, we determine the feature expansions representing posterior models
by reformulating the inverse problem in metric space. The problem of determining
the feature expansion representing posterior models is termed the ”Post-Image
Problem”.
The term, post-image problem, contains two meanings. First, the post-image
problem determines the feature expansion from metric space while the pre-image
problem determines the model in metric space from feature space. Hence, the post-
image problem represents the opposite problem of the pre-image problem. Sec-
ondly, the post-image problem generates posterior models, while the pre-image
problem generates additional prior models. Therefore, the term, ”post”-image
problem, also means ”for posterior models”, while ”pre”-image refers to prior
model generation.
The post-image problem generates feature expansions representing posterior
models given nonlinear time-dependent data. The pre-image problem generates
models from arbitrary feature expansions. Therefore, applying the pre-image prob-
lem on the feature expansions obtained by the post-image problem provides mul-
tiple posterior models constrained to all the prior information as well as the non-
linear time-dependent data.
In the following section, we define the post-image problem by reformulating
the inverse problem in metric space and propose two solutions of post-image prob-
lem with the comparison to the rejection sampler in the applications to Earth mod-
els.
4.2 Definition of the post-image problem

From the definition of Equation 2.2, the difficult (nonlinear and time-dependent)
data can be represented by the response of the ”true Earth” (Equation 4.1), if there
is no error in data.
d = g(xtrue ) (4.1)
where, d represents the data and xtrue the ”true Earth”.

For the nonlinear time-dependent data, the inverse of the function g−1 (d) is
hard to obtain explicitly, so the inverse problem is often addressed as an optimiza-
tion problem (Equation 4.2).
xopt = arg min k g(x) − g(xtrue )k (4.2)

x
In metric space, the inverse problem (Equation 4.2) is reformulated by defining

a distance as in Equation 4.3.
d(xi , x j ) = k g(xi ) − g(x j )k (4.3)
Additionally, since we have the data d, or we know g(xtrue ), the distance be-
tween each model and the ”true Earth” (Equation 4.4) can be defined.
d(xi , xtrue ) = k g(xi ) − g(xtrue )k (4.4)
The main idea behind formulating this post-image problem is as follows. If

we know all the distances between any two models in an ensemble of models, a
metric space representing all the models is constructed. If we define as distance the
distance in Equation 4.3, then we know all the distances between any two models
in the initial ensemble of prior models by evaluating the responses on all initial
models. Additionally, we know the distance between any initial model and the
”true Earth”. In other words, we know the distance between any two models in
the initial ensemble of prior models including the ”true Earth”.
Next, an augmented distance matrix including the ”true Earth” is constructed,
which means the location of ”true Earth” in metric space is identified. After MDS
of the augmented distance matrix, the location of ”true Earth” projected by MDS,
namely xm,true , is identified, although the ”true Earth” xtrue is unknown.
Since we know the location of the ”true Earth” projected by MDS, the feature
expansion of the ”true Earth” in kernel space φ(xm,true ) can be obtained by solving
Equations 4.5 and 4.6. In comparison with the pre-image problem, we call this
problem the ”post-image” problem, because while the pre-image problem finds
the model from its feature expansion, the post-image problem provides the feature
expansion from its location in metric space.
btrue = arg min kφ(xm,true ) − φ(Xm )bk (4.5)

b
= arg min {φ(xm,true )| φ(xm,true ) − 2φ(xm,true )| φ(Xm )b + b| Kb} (4.6)
b
where, btrue represents the linear combination coefficients of feature expansions of

initial prior models for the ”true Earth” (btrue = √1 VK ytrue , refer to Equation 2.37).
L
ytrue denotes the kernel KL expansion of the ”true Earth”.
Once the feature expansion of the ”true Earth” is known, the ”true Earth” can
be obtained by solving the pre-image problem as proposed in Chapter 3. In other
words, the inverse problem (Equation 4.2) is reformulated to the combination of
the post-image and pre-image problems. In the next section, we propose several
ways of solving the post-image problem.
4.3 Solving the post-image problem in metric space

Equations 4.5 and 4.6 are solved by a few different approaches. A single best so-
lution or multiple solutions are obtained by simple matrix operations or stochastic
optimization algorithms. In addition, when the response of a model and the model
variables have a severe nonlinear relationship, an iterative scheme is introduced.
4.3.1 A single ”best” solution

In order to minimize φ(xm,true )| φ(xm,true ) − 2φ(xm,true )| φ(Xm )b + b| Kb in Equa-
tion 4.6 in the least-square sense, we can differentiate it with respect to b, then set-
ting it to zero (Equation 4.7). As shown in Equation 4.7, btrue is obtained by solving
a simple linear matrix equation. (Note that putting btrue = K−1 φ(Xm )| φ(xm,true )
into the objective function in Equation 4.6 makes the objective function to be zero,
or the minimum.)
∂
{φ(xm,true )| φ(xm,true ) − 2φ(xm,true )| φ(Xm )b + b| Kb} = −2φ(Xm )| φ(xm,true ) + 2Kb
∂b
= 0
φ(Xm )| φ(xm,true ) = Kbtrue (4.7)
The feature expansion of the ”true Earth” is calculated by using btrue as linear
weight on the ensemble of feature expansion (Equation 4.8). The kernel KL expan-
sion of the ”true Earth” is calculated by Equation 4.9. Hence, the feature expansion
of the ”true Earth” is determined and the pre-image problem that is explained in
Chapter 3 provides the model for the ”true Earth”.
φ(xm,true ) = φ(Xm )btrue (4.8)

√ |
ytrue = LVK btrue (4.9)
4.3.2 Multiple solutions by stochastic optimization

However, a single best estimate is often not enough to represent the solution of
post-image problem for many practical applications (particularly those applica-
tions requiring uncertainty quantification). We could generate multiple random-
ized models from a single best estimate by solving the (ill-posed) pre-image in-
verse problem aided by the PPM as explained in Chapter 3. However, that model
of uncertainty would not follow Bayes’ rule or approach the rejection sampler, be-
cause the inverse of Gaussian kernel matrix often makes the ytrue a non-Gaussian
vector which includes extremely large or small values. The same effect is observed
in Kriging with a Gaussian variogram with no nugget. In Kriging, we handle
the problem by adding a very small artificial nugget effect but we have a better
method to obtain multiple solutions for the standard Gaussian vector ytrue in the
post-image problem as follows.

In order to generate multiple solutions we propose to employ the Gradual
Deformation Method (GDM), which Hu (2000) developed for stochastic history
matching on reservoir models. Gradual deformation provides an algorithm for
optimizing any random function that depends on a Gaussian vector. The KL-
expansion is such a function. Starting from any initial Gaussian random vector,
the objective function in Equation 4.5 is minimized by the sequential calibration
with gradual deformation (Figure 4.1).
Figure 4.1: The gradual deformation method to solve the post-image problem.
GDM proceeds as follows (Algorithm 4.3.1).

Once ytrue is obtained by this sequential calibration with gradual deformation,
the feature expansion of the ”true Earth” is obtained by Equation 4.11.
Algorithm 4.3.1 The algorithm of GDM in post-image problem

1: n = 0
2: Generate an initial standard Gaussian random vector, y(n=0) .
3: while the objective function (Equation 4.5) is not minimized do
4: n = n+1
5: Generate another standard Gaussian random vector ζ (n)
6: Find y(n) by linear combination of y(n−1) and ζ (n) , using one parameter θ (n)
in the sine and cosine functions. θ (n) is determined by solving 1D optimiza-
tion problem such that
y(n) = y(n−1) cos θ (n) + ξ (n) sin θ (n) (4.10)

(n)
1
( n −1) ( n)

θ = arg min φ(xm,true ) − φ(Xm ) √ VK y
cos θ + ξ sin θ
θ L
where, the superscript ’(i )’ represents the i-th iteration step,

7: end while
1
φ(xm,true ) = φ(Xm )btrue = φ(Xm ) √ VK ytrue (4.11)
L
4.4 Examples
In this section, the post-image problem is applied to solve three different problems
of modeling uncertainty in reservoir models with production history as nonlinear
time-dependent data. First, a simple and easy example is provided to demonstrate
the post-image and pre-image problems. Secondly, two less favorable cases are
presented, including a case where the ”true Earth” is near the boundary of the
prior and a case where there are few prior models near the ”true Earth”. More
importantly, uncertainty in future prediction is investigated in detail by solving the
post-image and pre-image problems. All the cases are compared with the rejection
sampler.
Consider a reservoir of 310 ft × 310 ft × 10 ft (Figure 4.2). Uncertainty on facies
distribution will be considered. We assume that a few meandering channels are
distributed mainly along the NE50 direction (geological knowledge). The training
image in Figure 4.3 shows the given geologic scenario for the reservoir of interest.
An injector and a producer are completed at bottom-left corner (45 ft, 45ft) and
top-right corner (275 ft, 275 ft) respectively as displayed in Figure 4.2. Core data at
the two wells show sand facies are distributed near the wells (hard data).
Reservoir geometry
300
250
200
y, ft
150
100
50
Injector
Producer
0
0 50 100 150 200 250 300
x, ft
Figure 4.2: The reservoir geometry and two wells: an injector and a producer.
Based on the prior information given (geologic scenario and hard data), 100
prior models are generated by means of the multiple-point geostatistical algo-
rithm, SNESIM. Figure 4.4 displays 6 of 100 prior models containing various shapes
of meandering channels of NE50 direction. Note that the injector is connected to
the producer by a sand facies channel structure in some of the prior models while
they are disconnected in others. The connectivity between the two wells is a dom-
inant factor affecting the flow behaviors in the reservoir and the nature of such
connectivity is highly dependent on the prior geological scenario.
Figure 4.3: The training image of meandering channels to NE50 direction.
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
Figure 4.4: 6 out of 100 initial prior models generated by SNESIM constrained to
geologic information and hard data.
4.4.1 Easy case

Consider the watercut history over 3 years in Figure 4.5. The data contains error
as seen in Figure 4.5. Since watercut is of interest, we define a distance as the
difference in watercut curves over 3 years of two models calculated by the Eclipse
(flow) simulator. In order to obtain all distances between any two models, 100
Eclipse flow simulations are required. Figure 4.6 depicts the watercut curves of
100 initial prior models with the watercut history or the watercut response of the
”true Earth”. As seen in Figure 4.6, it is expected that the injector and producer are
relatively well connected by sand facies.
Nonlinear and time−dependent data (Watercut)
1
Data
0.9
0.8
0.7
0.6
WCT, fraction
0.5
0.4
0.3
0.2
0.1
0
0 100 200 300 400 500 600 700 800 900 1000
TIME, days
Figure 4.5: Watercut history over 3 years (nonlinear time-dependent data).
Figure 4.7 shows the locations of 100 initial prior models as well as the ”true
Earth” in the projection from metric space by means of MDS. Since all the re-
sponses of initial prior models as well as the response of the ”true Earth” are avail-
able, the location of the ”true Earth” is determined, although the ”true Earth” itself
is unknown.
As explained in Chapter 2, the models in the left wide plume of points exhibit
good connectivity between the injector and producer; the models in the right nar-
row line of points have poor connectivity between the injector and producer. The
Responses of initial set of prior models

1
Data
Prior
0.9
0.8
0.7
0.6
WCT, fraction
0.5
0.4
0.3
0.2
0.1
0
0 100 200 300 400 500 600 700 800 900 1000
TIME, days
Figure 4.6: Watercut curves of 100 initial prior models displayed with data.
Projection of a metric space by multi−dimensional scaling

0.5
True Earth
Prior (low obj)
...
0.4
...
...
Prior (high obj)
0.3
0.2
0.1
−0.1
−0.2
−0.3
−1 −0.5 0 0.5 1 1.5 2 2.5
Figure 4.7: The locations of the true Earth and initial prior models in the projection
of metric space.
location of the ”true Earth” is approximately in the middle of the distribution of

initial prior models in metric space. The fact that the ”true Earth” is in the middle
of the prior uncertainty space makes the history matching problem relatively easy.
The extreme cases where the ”true Earth” is located near the border of or outside
of the prior uncertainty space will be discussed in the following sections.
The location of the ”true Earth” in metric space being determined, the feature
expansion of the ”true Earth” is obtained by solving the post-image problem. The
gradual deformation method is applied to minimize the objective function of the
post-image problem.
Figure 4.8 displays the objective function of the post-image problem. The post-
image problem is a 2D optimization problem in this example, since retaining two
largest eigenvalues (m = 2 in Chapter 2) is sufficient to capture the variation of
models in metric space. Moreover, the objective function in 2D space (Figure 4.8)
is quadratic hence easy to solve. 30 post-image solutions (30 possible feature ex-
pansions for the ”true Earth”) are obtained stochastically by means of the GDM.
Objective function of the post−image problem

0.5
Obj. func.
True Earth
Prior (low obj)
0.4
...
...
...
0.3 Prior (high obj)
0.2
0.1
−0.1
−0.2
−0.3
−0.5 0 0.5 1 1.5 2
Figure 4.8: The objective function of post-image problem in the projection of metric
space by the MDS.
Since 30 feature expansions of the ”true Earth” are obtained, the pre-image
problem for the feature expansions is solved in order to determine the models cor-
responding to the feature expansions. Figure 4.9 shows 6 of 30 pre-image solutions
obtained by unconstrained optimization (see Section 3.3.1), which are then used as
an initial probability to the PPM for solving the pre-image problem. Figure 4.10
displays 6 of 30 posterior models obtained by solving the pre-image problem by
means of the geologically constrained algorithm proposed in Section 3.3.3. It turns
out that various channelized models where the injector is connected to the pro-
ducer by a sand facies body are obtained as we expected. Note that the obtained
posterior models are diverse in channel shape and spatial distribution.
The solution of the fixed−point iteration algorithm The solution of the fixed−point iteration algorithm The solution of the fixed−point iteration algorithm
1 1 1
300 300 300
0.9 0.9 0.9
250 0.8 250 0.8 250 0.8
0.7 0.7 0.7

200 200 200
0.6 0.6 0.6
y, ft
y, ft
y, ft
0.5 0.5 0.5
150 150 150
0.4 0.4 0.4
100 100 100

0.3 0.3 0.3
0.2 0.2 0.2

50 50 50
0.1 0.1 0.1
0 0 0 0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
1 1 1
300 300 300
0.9 0.9 0.9
250 0.8 250 0.8 250 0.8
0.7 0.7 0.7

200 200 200
0.6 0.6 0.6
y, ft
y, ft
y, ft
0.5 0.5 0.5

150 150 150
0.4 0.4 0.4
100 100 100

0.3 0.3 0.3
0.2 0.2 0.2

50 50 50
0.1 0.1 0.1
0 0 0 0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
Figure 4.9: 6 of 30 solutions from the fixed-point iteration algorithm used as an

initial probability in the probability perturbation method for solving post-image
problem.
Figure 4.11 depicts the watercut responses of the 30 posterior models. All the 30
posterior models match the data well. To obtain 30 posterior models, 78 additional
forward simulations were needed to solve the pre-image problems (not includ-
ing the 100 forward simulations for calculating distances between prior models).
However, it needs to be verified that the 30 posterior models represent the poste-
rior probability as outlined by Bayes’ rule.
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
Figure 4.10: 6 of 30 posterior models constrained to watercut history obtained by

solving post-image and pre-image problems.
Matching nonlinear time−dependent data

1
Data
Posterior
0.9 Prior
0.8
0.7
0.6
WCT, fraction
0.5
0.4
0.3
0.2
0.1
0
0 100 200 300 400 500 600 700 800 900 1000
TIME, days
Figure 4.11: Watercut curves for 30 posterior models obtained by post-image and
pre-image problems matching the watercut history.
In order to obtain such verification, 30 posterior models are obtained by the

rejection sampler. For the rejection sampler, the likelihood P(M = m|D = d)
in Equation 1.2 is set to be the empirical likelihood function obtained from the
results of the post-image problem. Although the rejection sampler provides the
reference of the posterior distribution, it is extremely inefficient. Sampling 30 pos-
terior models required 9,898 Eclipse runs (2 orders of magnitude more than our
method). Figure 4.12 shows 6 of 30 posterior models obtained from the rejection
sampler. Similar to the results of the post-image problem, multiple posterior mod-
els where the two wells are connected well by the sand facies are obtained. Fig-
ure 4.13 depicts the watercut curves of the acquired 30 posterior models. All the
posterior models match the watercut history very well. The spread of watercut
curves obtained by rejection sampling is very similar to those from the post-image
solution. Note that the gray lines in Figure 4.13 show the watercut curves of 9,898
prior models. The spread of 9,898 watercut curves is similar to that of 100 watercut
curves of 100 initial prior models, so the initial prior models are covering most of
the prior uncertainty space.
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
Figure 4.12: 6 of 30 posterior models obtained by the rejection sampler.

Results from the rejection sampler

1
Data
Posterior
0.9 Prior
0.8
0.7
0.6
WCT, fraction
0.5
0.4
0.3
0.2
0.1
0
0 100 200 300 400 500 600 700 800 900 1000
TIME, days
Figure 4.13: Watercut curves for 30 posterior models obtained by the rejection sam-
pler.
The conditional mean and variance of the ensemble provide a detailed com-
parison between the post-image problem and the rejection sampler. First of all,
Figure 4.14 shows the conditional mean and variance of the initial ensemble of
100 prior models and the 9,898 prior models generated for the rejection sampler.
The two figures are very similar, which means that the 100 prior models are suf-
ficient to cover the prior uncertainty space. Note that the conditional mean and
variance should be symmetric with regard to the line connecting the injector to the
producer.
More importantly, Figure 4.15 depicts the conditional mean and variance of the
30 posterior models obtained by the post-image and pre-image problems and 30
posterior models obtained by the rejection sampler. This comparison provides a
verification of the post-image and pre-image problems in terms of representing
posterior uncertainty.
First, compare Figure 4.14 (c) with Figure 4.15 (c), the conditional mean of 9,898
prior models and 30 posterior models obtained by the rejection sampler. The mean
Conditional variance
0.5
300
Conditional mean
1 0.45
300
0.9 250 0.4
250 0.8 0.35

200
0.7 0.3
200
y, ft
0.6 0.25
150
y, ft
0.5 0.2
150
100
0.4 0.15
100
0.3 0.1
50
0.2 0.05
50
0.1 0 0
0 50 100 150 200 250 300
x, ft
0 0
0 50 100 150 200 250 300
x, ft (b) Conditional variance of 100
(a) Mean of 100 initial prior models initial prior models
0.5
300
Conditional mean
1 0.45
300
0.9 250 0.4
250 0.8 0.35

200
0.7 0.3
200
y, ft
0.6 0.25
150
y, ft
0.5 0.2
150
100
0.4 0.15
100
0.3 0.1
50
0.2 0.05
50
0.1 0 0
0 50 100 150 200 250 300
x, ft
0 0
0 50 100 150 200 250 300
x, ft (d) Conditional variance of 9,898
(c) Mean of 9,898 prior models for prior models for the rejection
the rejection sampler sampler
Figure 4.14: Comparison of the mean and conditional variance of 100 initial prior
models with 9,898 prior models for the rejection sampler.
0.5
300
Conditional mean
1 0.45
300
0.9 250 0.4
250 0.8 0.35

200
0.7 0.3
200
y, ft
0.6 0.25
150
y, ft
0.5 0.2
150
100
0.4 0.15
100
0.3 0.1
50
0.2 0.05
50
0.1 0 0
0 50 100 150 200 250 300
x, ft
0 0
0 50 100 150 200 250 300
(a) Mean of 30 posterior models posterior models from post-image
from post-image problem problem
0.5
300
Conditional mean
1 0.45
300
0.9 250 0.4
250 0.8 0.35

200
0.7 0.3
200
y, ft
0.6 0.25
150
y, ft
0.5 0.2
150
100
0.4 0.15
100
0.3 0.1
50
0.2 0.05
50
0.1 0 0
0 50 100 150 200 250 300
x, ft
0 0
0 50 100 150 200 250 300
x, ft (d) Conditional variance of 30
(c) Mean of 30 posterior models posterior models from the rejection
from the rejection sampler sampler
Figure 4.15: Comparison of the mean and conditional variance of 30 posterior mod-
els from the post-image problem with those from the rejection sampler.
of models where the indicator of sand facies is one and the indicator of mud back-
ground is zero represents the probability of having sand facies. In these figures,
the posterior probability of having sand facies increases along the line connecting
the injector to the producer. This makes sense, since the watercut is relatively high
so the posterior models exhibit high probability of being connected between the
injector and the producer by sand facies.
Next, compare Figure 4.14 (d) with Figure 4.15 (d), the conditional variance of
9,898 prior models and 30 posterior models obtained by the rejection sampler. The
variance around the line connecting the injector to the producer increased, because
the injector can be connected to the producer by sand facies with various shapes
and spatial distribution of the channel sand facies. On the other hand, the variance
in the other region (far from the line connecting the injector to the producer) is
almost zero, which means that the injector and the producer are connected by sand
facies with a relatively short path so the probability of being sand facies in the
region is very low.
Then, compare the results of the post-image and pre-image problems with
those of the rejection sampler. When we compare Figure 4.14 (a) and (b) with
Figure 4.15 (a) and (b), the change of the conditional mean and variance from 100
prior models to 30 posterior models obtained by the post-image and pre-image
problems is very similar to that obtained from the rejection sampler. Addition-
ally, the comparison of Figure 4.15 (a) and (b) with Figure 4.15 (c) and (d) shows
the conditional mean and variance of 30 posterior models obtained by the post-
image and pre-image problem are similar to those from the rejection sampler. In
conclusion, the reformulation of the post-image and pre-image problem in metric
space provides realistic uncertainty models for both the model variables and their
responses.
4.4.2 A case where the ”true Earth” is near the boundary of the
prior
The previous case concerned a situation where the ”true Earth” was located almost
in the middle of the plume of prior models in metric space. In order to verify the
applicability of the post-image and pre-image problem to uncertainty modeling,
less favorable cases should be considered.
Consider a new watercut history as displayed in Figure 4.16. The data are
much more difficult due to the following two reasons. First of all, the watercut
values decrease from 240 days to 400 days. In order to match the data we need
specific model characteristics other than simply connectivity between the injector
and the producer as will be shown later. Furthermore, the watercut history shows
almost maximum values amongst the watercut responses of 100 initial prior mod-
els. In the period between 100 days and 240 days, the watercut history is located
outside of the spread of the prior watercut responses. As a result, the location of
the ”true Earth” is almost near the boundary of the plume of points of 100 initial
prior models (Figure 4.17).

1
Data
Prior
0.9
0.8
0.7
0.6
WCT, fraction
0.5
0.4
0.3
0.2
0.1
0
0 100 200 300 400 500 600 700 800 900 1000
TIME, days

0.3
True Earth
Prior (low obj)
...
0.2
...
...
Prior (high obj)
0.1
−0.1
−0.2
−0.3
−0.4
−0.5
−2.5 −2 −1.5 −1 −0.5 0 0.5 1
of metric space.
However, the objective function in Figure 4.18 has a nice shape. Hence obtain-
ing the post-image solutions is stable and efficient. Note again how the history
matching problem is reduced to a 2D optimization problem. Figures 4.19 and 4.20
show the solutions of unconstrained optimization (Section 3.3.1) and geologically
constrained optimization (Section 3.3.3), respectively. It turns out that the post-
image and pre-image problems provide diverse posterior models constrained to
the watercut data. The reason why the watercut decreases from 240 days can now
be given as follows. Most of the posterior models contain two channels which start
from the injector and proceed to the producer separately and only one of the two
channels is connected to the producer. Hence, after the oil has been swept out in
the connected channel and before the water in the disconnected channel arrives at
the producer, the watercut decreases.
Figure 4.21 shows the watercut responses of the 30 posterior models obtained
from the post-image and pre-image problems. They match well. Especially, if one
compares it with the result from the rejection sampler (Figures 4.22 and 4.23), the
match is very similar to these results which required 9,563 forward simulations. In
Obj. func.
0.3 True Earth
Prior (low obj)
...
0.2 ...
...
Prior (high obj)
0.1
−0.1
−0.2
−0.3
−0.4
−0.5
−2 −1.5 −1 −0.5 0 0.5
Figure 4.18: The objective function of post-image problem in the projection of met-
ric space.
1 1 1
300 300 300
0.9 0.9 0.9
250 0.8 250 0.8 250 0.8
0.7 0.7 0.7

200 200 200
0.6 0.6 0.6
y, ft
y, ft
y, ft
0.5 0.5 0.5

150 150 150
0.4 0.4 0.4
100 100 100

0.3 0.3 0.3
0.2 0.2 0.2

50 50 50
0.1 0.1 0.1
0 0 0 0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
1 1 1
300 300 300
0.9 0.9 0.9
250 0.8 250 0.8 250 0.8
0.7 0.7 0.7

200 200 200
0.6 0.6 0.6
y, ft
y, ft
y, ft
0.5 0.5 0.5

150 150 150
0.4 0.4 0.4
100 100 100

0.3 0.3 0.3
0.2 0.2 0.2

50 50 50
0.1 0.1 0.1
0 0 0 0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft

problem.
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft

order to obtain 30 posterior models from the post-image and pre-image problems
97 forward simulations (+ 100 forward simulation initially done) were required in
this case.
Figure 4.24 displays the comparison of the conditional mean and variance be-
tween the posterior models obtained by the post-image and pre-image problems
and by the rejection sampler. It shows that the posterior models are likely to con-
tain a channel along the line of injector and producer. Unlike Figure 4.15, high level
of variance is observed in the region far from this line, which means another chan-
nel parallel to the connected channel but not connected to the producer is likely
to exist. The conditional mean and variance of 30 posterior models from the post-
image and pre-image problems represent most of the important characteristics in
the results of the rejection sampler.

1
Data
Posterior
0.9 Prior
0.8
0.7
0.6
WCT, fraction
0.5
0.4
0.3
0.2
0.1
0
0 100 200 300 400 500 600 700 800 900 1000
TIME, days
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft


1
Data
Posterior
0.9 Prior
0.8
0.7
0.6
WCT, fraction
0.5
0.4
0.3
0.2
0.1
0
0 100 200 300 400 500 600 700 800 900 1000
TIME, days
pler.
4.4.3 A case where few prior models are near the ”true Earth”
Consider a new watercut history (Figure 4.25). There are very few initial prior
models that show similar watercut responses to the watercut history. As in Fig-
ure 4.26, there are few points near the location of the ”true Earth”.
In this case, the post-image problem can be solved easily, however, the pre-
image problem seldom provides a converged solution. After 127 additional for-
ward simulations, the pre-image problem generated only 3 posterior models (Fig-
ures 4.27 and 4.28). Although the 3 posterior models are matching the history
(Figure 4.29) and show the major characteristics of being disconnected between
the injector and the producer, we need many more forward simulations to obtain
enough posterior models, especially for comparison with the rejection sampler.
One possible solution is to add the 3 posterior models to the set of initial prior
models and resolve the post-image and pre-image problems with 103 initial mod-
els. This would generate more points near the location of the ”true Earth”. If
required, this procedure can be iterated until enough number of posterior models
is obtained. The iteration creates a larger set of initial prior models. The idea of
0.5
300
Conditional mean
1 0.45
300
0.9 250 0.4
250 0.8 0.35

200
0.7 0.3
200
y, ft
0.6 0.25
150
y, ft
0.5 0.2
150
100
0.4 0.15
100
0.3 0.1
50
0.2 0.05
50
0.1 0 0
0 50 100 150 200 250 300
x, ft
0 0
0 50 100 150 200 250 300
0.5
300
Conditional mean
1 0.45
300
0.9 250 0.4
250 0.8 0.35

200
0.7 0.3
200
y, ft
0.6 0.25
150
y, ft
0.5 0.2
150
100
0.4 0.15
100
0.3 0.1
50
0.2 0.05
50
0.1 0 0
0 50 100 150 200 250 300
x, ft
0 0
0 50 100 150 200 250 300
els from the post-image problem with those from the rejection sampler.

1
Data
Prior
0.9
0.8
0.7
0.6
WCT, fraction
0.5
0.4
0.3
0.2
0.1
0
0 100 200 300 400 500 600 700 800 900 1000
TIME, days

0.3
True Earth
Prior (low obj)
...
0.2 ...
...
Prior (high obj)
0.1
−0.1
−0.2
−0.3
−0.4
−1 −0.5 0 0.5 1 1.5 2 2.5
of metric space.
1 1 1
300 300 300
0.9 0.9 0.9
250 0.8 250 0.8 250 0.8
0.7 0.7 0.7

200 200 200
0.6 0.6 0.6
y, ft
y, ft
y, ft
0.5 0.5 0.5
150 150 150
0.4 0.4 0.4
100 100 100

0.3 0.3 0.3
0.2 0.2 0.2

50 50 50
0.1 0.1 0.1
0 0 0 0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
Figure 4.27: 3 solutions from the unconstrained optimization used as an initial

probability in the probability perturbation method for solving post-image prob-
lem.
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
Figure 4.28: 3 posterior models constrained to watercut history obtained by solving

post-image and pre-image problems.

1
Data
Posterior
0.9 Prior
0.8
0.7
0.6
WCT, fraction
0.5
0.4
0.3
0.2
0.1
0
0 100 200 300 400 500 600 700 800 900 1000
TIME, days
iteration is expanded as follows.

In the process of solving the pre-image problem by means of geologically con-
strained optimization (Section 3.3.3), the PPM generates new models at every it-
eration step (Algorithm 3.3.1). Any newly generated model is added to the initial
set of prior models. When solving the pre-image problem, the distances between
newly generated models and initial prior models are evaluated. In other words,
the augmented distance matrix including the initial prior models and the newly
generated models is constructed without any cost of additional forward simula-
tions. From the augmented distance matrix, the location of the ”true Earth” is
updated and the post-image and pre-image problems are solved. This allows gen-
erating new prior models near the location of the ”true Earth” and, hence generates
multiple posterior models efficiently.
The rejection sampler generates posterior models by accepting/rejecting a prior
model based on the likelihood. The Metropolis-Hastings sampler (Metropolis et al.,
1953; Hastings, 1970) generates posterior models by accepting/rejecting a prior
model based on the comparison with the previously sampled prior model. The
probability perturbation method generates posterior models sequentially by com-

bining the best fit model amongst the previously sampled prior models and a new
prior model. The post-image problem generates posterior models by using all the
previously sampled prior models simultaneously, not just the previous one, which
explains why the post-image and pre-image problems generate multiple posterior
models efficiently (Figure 4.30).
Figure 4.30: Comparison of the post-image and pre-image solution methods with
other sampling techniques.
Consider the same watercut history (Figure 4.25). The same methodology but
now with iteration is applied. 30 posterior models are obtained after 138 new prior
models are added to the initial set of prior models (Figure 4.31). That is, amongst
238 prior models, 30 posterior models are obtained with 238 forward simulations
or about 8 flow simulations per history matched model. Considering that the prior
models have low likelihood of matching the data, this clearly illustrates the effi-
ciency of the post-image and pre-image solution method. Figure 4.32 displays the
watercut responses of 30 posterior models with the data. They match well. Espe-
cially, if one compares it with the result from the rejection sampler (Figures 4.33
and 4.34), the uncertainty in future prediction of watercut is very similar to the
results of rejection sampler which required 11,454 forward simulations.

Additionally, Figure 4.32 shows the watercut curves of 100 initial prior models
and 138 newly added prior models in different colors. It turns out that unlike
the initial prior models, the newly added prior models are more likely to match
the data. The post-image and pre-image problems generate more models near the
”true Earth” and many models near the ”true Earth” make it possible to generate
more posterior models recursively. Figure 4.35 depicts the objective function of
post-image problem. Figure 4.35 also shows that more prior models are generated
near the location of the ”true Earth”, compared with Figure 4.26.
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft

solving post-image and pre-image problems with iteration.
Figure 4.36 displays the comparison of the conditional mean and variance be-
tween the posterior models obtained by the methodology with iteration and by
the rejection sampler. The mean of 30 posterior models shows the injector is not
likely to be connected to the producer by a channel sand facies. The conditional
variance of 30 posterior models shows there are channels of various shapes and lo-
cations, since the channels do not have to connect the injector to the producer. The

1
Data
Posterior
0.9 Prior
Prior added
0.8
0.7
0.6
WCT, fraction
0.5
0.4
0.3
0.2
0.1
0
0 100 200 300 400 500 600 700 800 900 1000
TIME, days
Figure 4.32: Watercut curves for 30 posterior models obtained by the post-image
and pre-image problems with iteration. Watercut curves of initial prior models
and newly added prior models are displayed separately.
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft


1
Data
Posterior
0.9 Prior
0.8
0.7
0.6
WCT, fraction
0.5
0.4
0.3
0.2
0.1
0
0 100 200 300 400 500 600 700 800 900 1000
TIME, days
pler.
Obj. func.
True Earth
0.4 Prior (low obj)
...
...
...
0.3
Prior (high obj)
0.2
0.1
−0.1
−0.2
−0.3
−1 −0.5 0 0.5 1 1.5
ric space.
conditional mean and variance of 30 posterior models from the post-image and
pre-image problems represent most of the important characteristics in the results
of the rejection sampler.
0.5
300
Conditional mean
1 0.45
300
0.9 250 0.4
250 0.8 0.35

200
0.7 0.3
200
y, ft
0.6 0.25
150
y, ft
0.5 0.2
150
100
0.4 0.15
100
0.3 0.1
50
0.2 0.05
50
0.1 0 0
0 50 100 150 200 250 300
x, ft
0 0
0 50 100 150 200 250 300
0.5
300
Conditional mean
1 0.45
300
0.9 250 0.4
250 0.8 0.35

200
0.7 0.3
200
y, ft
0.6 0.25
150
y, ft
0.5 0.2
150
100
0.4 0.15
100
0.3 0.1
50
0.2 0.05
50
0.1 0 0
0 50 100 150 200 250 300
x, ft
0 0
0 50 100 150 200 250 300
els from the post-image problem (238 forward simulations) with those from the
rejection sampler (11,454 forward simulations).
4.5 Modeling uncertainty of future prediction in met-

ric space
As mentioned before, uncertainty in the future prediction is our main interest, not
uncertainty in the model variables.
To that extent, consider measuring the watercut at the producer where sud-
denly water breakthrough occurs at the time of 400 days. Figure 4.37 shows the
watercut history obtained before the water breakthrough. At this moment of water
breakthrough, we have to make a decision about our next action (continue produc-
tion? drill new wells? ...). This decision mainly depends upon the future predic-
tion of watercut. In this early stage of the water breakthrough, the lack of historical
data makes uncertainty in the future prediction of watercut substantial. Therefore,
uncertainty in the future prediction of watercut should be modeled as realistically
as possible.
1
Data
Prior
0.9
0.8
0.7
0.6
WCT, fraction
0.5
0.4
0.3
0.2
0.1
0
0 100 200 300 400 500 600 700 800 900 1000
TIME, days
Assuming the reservoir geometry, geologic information, and the hard data are
the same as in Section 4.4, we start from the same 100 initial prior models generated
in Section 4.4.
Figure 4.38 shows the locations of the ”true Earth” and 100 initial prior models.
The post-image and pre-image problems are solved to obtain 15 posterior models
(Figures 4.40 and 4.41). Iteration in the post-image and pre-image problems is
required, since there are few prior models near the ”true Earth”. Figure 4.39 shows
how many models are newly added near the location of the ”true Earth”.

0.3
True Earth
Prior (low obj)
0.25 ...
...
...
0.2 Prior (high obj)
0.15
0.1
0.05
−0.05
−0.1
−0.15
−0.2
−0.4 −0.2 0 0.2 0.4 0.6 0.8 1
of metric space.
Figure 4.42 depicts the match with watercut history and the future prediction
after 480 days. 15 posterior models match the history and show the degree of
uncertainty in the future prediction of watercut. Figures 4.43 and 4.44 display the
results from the rejection sampler. The uncertainty in future prediction adequately
represents the uncertainty obtained by the rejection sampler.
Figure 4.45 shows the comparison of conditional mean and variance between
the posterior models from the post-image and the pre-image problems and the
rejection sampler. Again, the results are similar. This again shows that in the fu-
ture prediction the techniques for modeling uncertainty in metric space provides
realistic uncertainty models.
Obj. func.
True Earth
0.25 Prior (low obj)
...
...
0.2 ...
Prior (high obj)
0.15
0.1
0.05
−0.05
−0.1
−0.15
−0.5 −0.4 −0.3 −0.2 −0.1 0 0.1 0.2 0.3
ric space.
1 1 1
300 300 300
0.9 0.9 0.9
250 0.8 250 0.8 250 0.8
0.7 0.7 0.7

200 200 200
0.6 0.6 0.6
y, ft
y, ft
y, ft
0.5 0.5 0.5

150 150 150
0.4 0.4 0.4
100 100 100

0.3 0.3 0.3
0.2 0.2 0.2

50 50 50
0.1 0.1 0.1
0 0 0 0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
1 1
300 300 300
0.9 0.9 0.9
250 0.8 250 0.8 250 0.8
0.7 0.7 0.7
200 200 200

0.6 0.6 0.6
y, ft
y, ft
y, ft
0.5 0.5 0.5

150 150 150
0.4 0.4 0.4
100 100 100

0.3 0.3 0.3
0.2 0.2 0.2

50 50 50
0.1 0.1 0.1
0 0 0 0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft

problem.
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft


1
Data
Posterior
0.9 Prior
Prior added
0.8
0.7
0.6
WCT, fraction
0.5
0.4
0.3
0.2
0.1
0
0 100 200 300 400 500 600 700 800 900 1000
TIME, days
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft

1
Data
Posterior
0.9 Prior
0.8
0.7
0.6
WCT, fraction
0.5
0.4
0.3
0.2
0.1
0
0 100 200 300 400 500 600 700 800 900 1000
TIME, days
pler.
0.5
300
Conditional mean
1 0.45
300
0.9 250 0.4
250 0.8 0.35

200
0.7 0.3
200
y, ft
0.6 0.25
150
y, ft
0.5 0.2
150
100
0.4 0.15
100
0.3 0.1
50
0.2 0.05
50
0.1 0 0
0 50 100 150 200 250 300
x, ft
0 0
0 50 100 150 200 250 300
0.5
300
Conditional mean
1 0.45
300
0.9 250 0.4
250 0.8 0.35

200
0.7 0.3
200
y, ft
0.6 0.25
150
y, ft
0.5 0.2
150
100
0.4 0.15
100
0.3 0.1
50
0.2 0.05
50
0.1 0 0
0 50 100 150 200 250 300
x, ft
0 0
0 50 100 150 200 250 300
els from the post-image problem (238 forward simulations) with those from the
rejection sampler (12,424 forward simulations).
4.6 Summary
The post-image problem is developed and formulated for efficiently generating
multiple posterior models from the initial ensemble of prior models in metric space.
The uncertainty in the posterior models obtained by solving the post-image and
pre-image problems is similar to the results obtained from the rejection sampler.
Although the ”true Earth” is located near the boundary of the distribution of the
prior, the post-image problem can find the multiple posterior models unless there
are few initial models near the ”true Earth” in metric space. In case of having
few prior models near the ”true Earth”, an iteration scheme is applied. The post-
image and pre-image problems with iteration generates multiple posterior mod-
els efficiently in the situation where the prior models are not likely to match the
data. Unlike other sampling techniques, the post-image problem generates poste-
rior models based on the information of all previously sampled prior models. The
posterior models obtained by the post-image and pre-image problems represent
uncertainty in future prediction realistically.
Chapter 5
Metric Ensemble Kalman Filter
5.1 Introduction
As explained in Chapter 1, the Ensemble Kalman Filter (EnKF) has been intro-
duced and employed to generate multiple reservoir models constrained to non-
linear time-dependent data, since it shows good performance and efficiency. The
EnKF is not an iterative algorithm so it requires exactly one forward simulation
for one history-matched model. Additionally, the EnKF makes a real-time update
whenever new data are obtained without any forward simulation from the be-
ginning. Due to these merits mainly in efficiency, the EnKF has recently gained
popularity to solve history matching problems.
However, the application of EnKF to modeling uncertainty is fundamentally
flawed and unfortunately this has not been emphasized in the EnKF literature at
all. First of all, the EnKF cannot preserve the prior information such as geologic
information, since the EnKF requires the model variables to be Gaussian. It can-
not be applied to generate reservoir models of facies distributions or any discrete
properties without destroying any intended prior geological information. More
importantly, multiple models obtained by the EnKF do not represent the posterior
as formulated under the conditions of Bayes’ rule. The models obtained by EnKF
represent a dramatically reduced uncertainty. This reduction of uncertainty is due
to the very nature of ENKF: EnKF is an estimating/filtering technique; it is not a
134
CHAPTER 5. METRIC ENSEMBLE KALMAN FILTER 135
sampling/stochastic simulation technique (except under the rare circumstance of

linearity between model and data and multi-Gaussian distributions). Addition-
ally, the EnKF has a stability issue since it updates large state vectors including all
the model variables based on the covariance between the model variables and the
data.
In this chapter, we implement the EnKF in metric space to overcome some of
the problems in the EnKF. The main idea is to replace a large state vector including
all the model variables with the parameterizations by the kernel Karhunen-Loeve
(KL) expansion. In Chapter 2, we mentioned that all prior models can be parame-
terized into short Gaussian random vectors by means of the kernel KL expansion.
In Chapter 3, we explained the pre-image problem for finding a model correspond-
ing to an arbitrary feature expansion where the feature expansion is represented by
a short Gaussian random vector. Therefore, we can update the parameterizations
(Gaussian random vectors) in the framework of EnKF and find the models corre-
sponding to the updated parameterizations by solving the pre-image problem.
Section 5.2 and 5.3 introduce the Kalman filter and EnKF briefly. Section 5.4
formulates EnKF in metric space. From Section 5.5 to Section 5.6, Metric Ensemble
Kalman Filter (Metric EnKF) is applied to both the permeability models and the
facies distribution models with the comparison with the rejection sampler and the
post-image problem proposed in Chapter 4. Section 5.7 provides the application
to Brugge field-scale synthetic data, followed by a summary.
5.2 The Kalman Filter

Before introducing the EnKF, the Kalman Filter (KF) is briefly discussed. Con-
sider the problem of estimating the state of a linear stochastic difference equation
(Equation 5.1) with data (Equation 5.2). In this system, we can obtain data through
a linear operation on a state vector. The data has noise.
zt = Azt−1 + But−1 + wt−1 (5.1)

dt = Hzt + vt (5.2)
where, z represents the state vector, i.e. the state of the system. Unlike the model
x used in the previous chapters, the state vector z includes static model variables
as well as dynamic model variables. u is the control input (for example, boundary
condition of the system) with the control input operator B, and w is the error in the
model of physical process. The subscript t represents time. d denotes the data (for
instance, bottom hole pressure at a producer) and v the noise in data (for instance,
the noise when measuring the bottom hole pressure). Although we measure the
same properties several times, the measurements are not exactly identical because
of noise. H is called the data-to-state operator (for example, if we measure perme-
ability at some gridblocks, H becomes a matrix that consists of 0 and 1 such that
we can obtain the permeability values at the gridblocks from the state vector by
d = Hz).
The estimation error is defined by Equations 5.3 and 5.4.
e− = z − ẑ− (5.3)
e = z − ẑ (5.4)
where, e is the estimation error. The superscript ’−’ indicates the vector for an a
priori state and no superscript denotes the a posteriori state. A priori here is a state
before assimilating and a posteriori after assimilating the data. The hat denotes the
estimation and no hat denotes the true state.
Four error covariances are defined by Equations 5.5 to 5.8.
Q = ww| (5.5)
R = vv| (5.6)
P− = e− e−| (5.7)
P = ee| (5.8)
where, Q is the error covariance of state vectors, R the error covariance of data, P
the error covariance of estimation. The bar represents the mean.
In deriving the equations for KF, the goal is to find an equation that computes
an a posteriori state estimate as a sum of the a priori estimate and a weighted differ-
ence between the data and the prediction as shown in Equation 5.9 (the assimila-
tion equation).
ẑt = ẑ− −

t + Gt dt − Hẑt (5.9)
where, G is named the Kalman gain, which is determined by minimizing the esti-
mation error.
When we substitute Equations 5.4 and 5.9 into Equation 5.8 and assume that
the measurement errors are independent of the estimation error, we obtain Equa-
tion 5.10.
|
Pt = (I − Gt H )P− |
t (I − Gt H) + Gt RGt (5.10)
Differentiating Equation 5.10 and finding the Kalman gain to minimize the es-
timation error, we finally obtain the Kalman gain equation, Equation 5.11. Addi-
tionally, the a posteriori estimation error covariance is calculated from the a priori
estimation error covariance (Equation 5.12) and vice versa (Equation 5.13).
−1
Gt = P−
t H
|
HP− |
t H +R (5.11)
Pt = (I − Gt H )P−
t (5.12)
P−
t = APt−1 A| + Q (5.13)
Equations 5.1 and 5.13 represent the forecast (predict) step, or time update, and
Equation 5.9, 5.11, and 5.12 represent the assimilation (correct) step, or measure-
ment update. The time update is performed until new data are obtained. When
new data are obtained, a measurement update is performed. Then the time up-
date is performed again starting from the state assimilated by the measurement
update until the time new data are obtained. This recursive nature is one of the
very appealing features of the KF (Welch and Bishop, 2004).
5.3 The Ensemble Kalman Filter

The EnKF method consists of two steps: the forecast step and the assimilation
step, as explained in the previous section. In history matching, the forecast step is
the reservoir simulation step from the current state to the next measurement time
of the production history. The assimilation step is a correction step to honor the
data at that time. The EnKF is a recursive data process algorithm that updates all
variables simultaneously with repetition of forecast and assimilation steps.
A nonlinear difference equation that calculates the state at time t from the one
at time t − 1 is generally represented as follows.
z t = f ( z t −1 , u t −1 ) (5.14)
where, the operator f ( ) represents the nonlinear difference equation, which ob-
tains the current state of model from the state of the previous time step and the
control input. The state vector consists of all static and dynamic model variables,
such as the permeability, porosity, pressure, and water saturation at each gridblock
as well as data (Equation 5.15).
 
x
 
 d
z =  g (x)  (5.15)

g(x)
where, x represents the static model variables (e.g. permeability and porosity at
each gridblock), gd (x) the dynamic model variables (e.g. pressure and saturation
at each gridblock) obtained from the forward simulator g( ). gd ( ) and g( ) are
different in that gd ( ) provides the dynamic variables at each gridblock and g( )
provides the actual responses at wells (e.g. well bottom hole pressure or oil and
water production rate).
Equation 5.16 shows the response at time t which contains measurement noise.
The measurement noise is assumed to be white noise. Since the state vector con-
tains the response, the measurement matrix operator H is composed of 0 and 1.
dt = Hzt + vt (5.16)
The measurement noise is generated by Equation 5.17.
vt = v̄t + δt (5.17)
where, the bar means the mean and δ represents the white noise.
The measurement error covariance is calculated by Equation 5.18. If we assume
that the measurement error of a property is independent between all properties
at the same location, then the measurement error covariance is a block diagonal
matrix (for example, the porosity and the permeability at the same location). If we
assume that the measurement error of a variable at one location is independent of
that of other locations, for the same property, the measurement error covariance is
a diagonal matrix. In other words, the measurement error covariance becomes the
measurement error variance.
R = v̄v̄| (5.18)
The aim of the assimilation step is to minimize the estimation error. Unlike the
KF, the estimation error and the estimation error covariance are obtained by means
of an ensemble (Equation 5.19), as defined by Equations 5.20 to 5.23, respectively.
|
Z= z1 z2 · · · zi · · · zL (5.19)
!
1 L −
e−
j = ∑
L i =1
zi − z − j j = 1, · · · , L (5.20)
!
1 L
L i∑
ej = zi − z j j = 1, · · · , L (5.21)
=1
L
1
∑ e−j e j
−|
P− = (5.22)
L j =1
L
1
∑ ej ej
|
P = (5.23)
L j =1
where, L indicates the size of the ensemble or the number of initial models. In
other words, the assimilation step updates an a priori state to an a posteriori state in
which the estimation error is minimized. In EnKF, the true state is assumed to be
the mean of ensemble members. Note that the size of the ensemble should be large
enough to cover the true state.
The state vector that minimizes the estimation error is obtained from Equa-
tions 5.24 and 5.25.
ẑt = z− −

k + Gt dt − Hzt (5.24)
−1
Gt = P−
t H
|
HP− |
t H +R (5.25)
Once we obtain an a priori estimate through forward simulation, we acquire the

a posteriori estimate after some basic matrix calculations.
Summarizing the EnKF, first, we generate an initial ensemble of prior models.
Second, we conduct the time update to acquire the state at time t1 through forward
simulation: the prediction step. When additional data become available at time t1 ,
we carry out the measurement update by calculating the Kalman gain: the assim-
ilation step. From the a posteriori state, we conduct the prediction step again until
additional data are available at time t2 . Likewise, whenever we obtain data, we do
the assimilation. The update proceeds with the iterative prediction and correction
steps.
5.4 Metric Ensemble Kalman Filter

Applying the EnKF for modeling uncertainty becomes problematic. First, all the
updates in EnKF assume multi-Gaussianity in the state vector and the errors. How-
ever, the static variables as well as the dynamic variables in the state vector are
never multi-Gaussian in flow problems.
Secondly, constructing the state vector to include all the static and dynamic
model variables renders the state vector very large. For example, if the state vector
includes permeability, porosity, pressure, oil and gas saturation at 100,000 grid-
blocks, the length of the state vector becomes 500,000 (5 × 100,000). The calcu-
lations of the Kalman gain and covariances with this large state vector results in
an unstable filter update, and overshooting. Overshooting means that model vari-
ables are updated to non-physically large or small values. The overshooting occurs
since the EnKF updates the model variables which do not affect the data physically
(for example, the model variables far from the data) just based on the covariance.
This overshooting is often observed in the region far from where measurements are
taken (Nævdal et al., 2005; Gu and Oliver, 2005). Covariance localization methods
or ensemble regeneration methods have been employed to avoid such overshoot-
ing (Devegowda et al., 2010; Park and Choe, 2006).
More importantly, the ensemble of models obtained by EnKF does not represent
a realistic posterior uncertainty given the prior model uncertainty and likelihood
stated. Minimizing the estimation error at every measurement time step reduces
the uncertainty in models dramatically. It is not because one obtains multiple mod-
els as solutions in the EnKF that they necessarily present a realistic model of un-
certainty. EnKF is basically an optimization method, not a sampling technique as
the rejection sampler or Metropolis sampler.
In order to overcome some of these limitations, we propose a Metric Ensem-
ble Kalman Filter (Metric EnKF), which performs EnKF in metric space. In metric
space modeling (Chapter 2), we parameterize a model in metric space (xm ) into
a short Gaussian random vector y by the kernel KL expansion, which represents
the feature expansion φ(x) in kernel space. In Chapter 3, we developed a geolog-

ically realistic model constrained to prior information from an arbitrary Gaussian
random vector by solving the pre-image problem.
First, we define a distance such that it is well correlated with the dynamic re-
sponses of the Earth models, such distance could also be the difference in response
themselves. Then, by means of the kernel KL expansion, all initial models are
turned into a set of Gaussian random vectors y. Next, the traditional EnKF is run
with the Gaussian random vector yi . Equation 5.27 describes the update equation
for yi if we ignore measurement error.
Y = ( y1 y2 ··· yL ) (5.26)
yi = yi− + Gm (d − g(x)) (5.27)
Gm = Cy,g(x) C− 1
g(x),g(x)
(5.28)
where matrix Y is the ensemble of the model parameterizations. Gm denotes the

Kalman gain of the metric EnKF. Cy,g(x) and Cg(x),g(x) are defined as follows:
1 L
L∑
Cy,g(x) = y i g ( x i )| (5.29)
i =i
1 L
L∑
Cg(x),g(x) = g ( x i ) g ( x i )| (5.30)
i =i
Since the length of yi is at most the number of models in the ensemble (if we
retain all the positive eigenvalues in the kernel KL expansion), the metric EnKF
updates the set of short Gaussian random vectors stably and efficiently.
From yi , we obtain the corresponding static and dynamic model variables by
solving the pre-image problem. For both static and dynamic variables, the same
distance previously defined is employed. For the static model variables, we can
apply the geologically constrained optimization to the pre-image problem in or-
der to create geologically realistic reservoir models. For the dynamic variables,
the unconstrained optimization or the fixed-point iteration algorithm is applied to
solve the pre-image problem. See Chapter 3 for various solutions of the pre-image
problem.
The entire procedure of metric EnKF is as follows.
1. Generate an initial ensemble of prior models
2. Define a distance and construct a distance matrix
3. Parameterize the prior models into Gaussian random vectors by the kernel
KL expansion
4. Apply the ensemble Kalman filter on the parameterizations
5. Solve the pre-image problems with the updated parameterizations
5.5 Application to Gaussian prior models

We use the 1,000 Gaussian reservoir models (310 ft × 310 ft × 10 ft) that were pre-
sented in Chapter 2. The permeability distribution was modeled with an anisotropic
spherical variogram (NE50 direction; 200 ft (major direction) and 50 ft (minor) of
correlation length). It is log-normally distributed and the mean and standard devi-
ation of log-permeability are 4.0 and 1.0, respectively. Two wells are available with
quarter-five-spot pattern. We assume the permeability values at the two wells to
be known. Injector and producer are located at (45 ft, 45 ft) and (275 ft, 275 ft),
respectively. Both the permeability values at the two wells are 150 md. During
3 years, watercut is measured at the producer every two months. The measured
watercut value contains Gaussian noise (noise level: 10%). Figure 5.1 shows the
watercut data.
Distances between all possible combinations of two models have been calcu-
lated. In this example, a connectivity distance (Section 2.8.2) was used, since the
connectivity distance is well correlated with the difference in watercut response
between the models (See Chapter 2).
Recall Figure 5.2 presented in Chapter 2: in the first group (right-side wide
plume), the injector is connected to the producer by high-permeability region (hot
spot); in the second group (left-side narrow line), the two wells are disconnected.
Metric EnKF has been implemented with 300 (randomly chosen) out of 1,000
prior models. Figure 5.3 shows 6 of 300 prior models and Figure 5.4 displays the
mean and variance of 300 prior models. The mean and variance show the effect
of the hard permeability data. Figure 5.5 displays the watercut curves of prior
models and the data. The data are far from the mean of watercut curves of prior
models.
At 260 days, a first correction is executed based on the data. Reservoir simu-
lations (prediction) from 0 days to 260 days for 300 initial models are performed.
Figure 5.6 shows the watercut curves calculated by the reservoir simulations and
the watercut at 260 days. None of the models exhibit breakthrough, so all water-
cut values at 260 days are zero. Also the watercut data is zero at 260 days, which
means there is no need to correct the state vectors. Figure 5.7 displays the update
at 260 days in metric space. As expected, no change in all the models is observed.
At 520 days, the second correction is performed based on data. Reservoir sim-
ulations (the prediction step) from 260 days to 520 days for 300 prior models are
performed. For the prediction, the reservoir simulations are conducted starting
from the pressure and water saturation updated at 260 days. Figure 5.8 shows
the watercut curves calculated by the reservoir simulations and the watercut data
at 520 days. The watercut values from the simulations vary from 0.0 to 0.2 and
the mean is around 0.02, while the watercut data is 0.05, which means most of the
models should be updated to increase the watercut.
Figure 5.9 displays the update at 520 days in metric space. Recall that the mod-
els located in left narrow line region are the disconnected ones and the models
located in right wide plume region are the connected ones. As a result, almost all
of the disconnected models are updated to the connected ones.
Figure 5.10 displays the updates after 520 days. Figure 5.11 lists the updates of
log-permeability, a priori and a posteriori water saturation of one model. The update
of permeability is consistent with the water saturation. The pre-image problem,
solved using unconstrained optimization (see Section 3.3.1), was applied to both
the static and dynamic model variables. The pressure and the saturation are also
continuous and a linear combination of pressure or saturation fields provides a
realistic pressure or saturation field.

Figure 5.12 exhibits the final mean and conditional variance when EnKF fin-
ishes. While the initial mean (Figure 5.4) represents the disconnected high-permeability
zone from injector to producer, the final mean displays a more connected high-
permeability zone. Figure 5.13 shows the reference field. Figure 5.14 represents
the prediction of watercut of 300 final models from 0 days to 1095 days. The mean
of 300 watercut curves matches the measurements well, which can be identified
by comparing it with Figure 5.5. However, the match is not perfect since we did
not solve the pre-image problem exactly (that would require using the PPM, see
Section 3.3.3).
5.5.1 Model selection to reduce ensemble size

A simple way to reduce the amount of models in the ensemble is to select a few
statistically representative models. Scheidt and Caers (2009b) developed an effec-
tive model selection method using the kernel k-means clustering in metric space.
First, one performs the kernel k-means clustering of prior models in metric space.
Secondly, one selects a model for each cluster that is nearest to the centroid of that
cluster (the medoids). Then, as they showed, the selected models reproduce the
statistics of flow responses of the initial set of models.
In our case, the initial 300 models are clustered into 30 clusters by means of
kernel k-means clustering (Figure 5.15). Secondly, 30 models which are nearest to
the centroids of the corresponding clusters are chosen (Figure 5.16). Figures 5.17
and 5.18 display watercut curves for the selected 30 models and 300 prior mod-
els and their p10 , p50 , and p90 (10-percentile, median, 90-percentile), respectively.
Figure 5.19 compares the p10 , p50 , and p90 of the selected 30 models with those of
prior 300 models. Only 30 models reproduce the statistics of flow responses of 300
models.
Then, the same metric EnKF procedure is applied with the 30 models as an
initial ensemble. In this case, only 30 reservoir simulations are needed. Figure 5.20
represents the movements of 30 models at the update of 520 days. As in the case
of 300 models, all the 30 models move to the reference point. Figure 5.21 depicts
the flow predictions of the final 30 models. All the models are constrained to the
measurements within the measurement error level (10%).
Figures 5.22 and 5.23 display watercut curves for the final 30 models and the
final 300 models and their p10 , p50 , and p90 , respectively. Figure 5.24 compares the
p10 , p50 , and p90 of the 30 final models with those of the previously obtained 300
final models. EnKF with only 30 selected models reproduces the statistics of flow
responses of final 300 models relatively well. In summary, the ensemble size can
be reduced by kernel k-means clustering and the reduced ensemble reproduces the
similar results as those of full ensemble case.
Figure 5.1: Watercut data measured every two months. Only the red circles ◦
(noisy data) are available to the algorithm.
Figure 5.2: 2D projection of metric space of 1,000 initial models based on their own
distances. Color represents the difference in responses between initial models and
the model located in × (◦: low; ◦: high). Since the connectivity distance is highly
correlated with the difference in responses, although the models are mapped based
on the connectivity distance, the models are well sorted with the difference in re-
sponses.
Figure 5.3: Log-permeability of 6 out of 1,000 models which are generated by

SGSIM. All the models are conditioned to hard data: 150 md at (45 ft, 45 ft) and
(275 ft, 275 ft).
Figure 5.4: The mean (left) and conditional variance (right) of log-permeability of
1,000 initial models. It is verified that all the models are conditioned to hard data.
In the map of the mean (left), the well locations, or the hard data locations, are
easily identified: (45 ft, 45 ft) and (275 ft, 275 ft).
Figure 5.5: Watercut curves simulated with all 1,000 initial models and the mea-
sured watercut data. Red circles ◦ mean the measured data. Green line − means
the mean of the watercut curves. Grey lines show − 1,000 watercut curves.
Figure 5.6: Watercut curves calculated by the reservoir simulations and the mea-
sured watercut at 260 days.
Figure 5.7: Update at 260 days in 2D MDS space. ◦’s represent the a priori models
(before correction) and ◦’s the a posteriori models (after correction).
Figure 5.8: Watercut curves calculated by the reservoir simulations and the mea-
sured watercut at 520 days.
Figure 5.9: Update at 520 days in 2D MDS space. ◦’s represent the a priori models
(before correction) and ◦’s the a posteriori models (after correction). Grey lines (−)
show the path of update.
(a) 580 days
(b) 640 days
(c) 710 days
(d) 770 days

(e) 840 days
(f) 900 days
(g) 970 days
(h) 1030 days

(i) 1095 days
Figure 5.10: LEFT: Watercut curves calculated by the reservoir simulations and the
measured watercut from 580 days to 1,095 days; RIGHT: Update from 580 days to
1,095 days in 2D MDS space. ◦’s represent the a priori models (before correction)
and ◦’s the a posteriori models (after correction). Grey lines (−) show the path of
update.
(a) 260 days (LEFT: ln k; CENTER: a priori Sw ; RIGHT: a posteriori Sw )
(b) 520 days (LEFT: ln k; CENTER: a priori Sw ; RIGHT: a posteriori Sw )
(c) 580 days (LEFT: ln k; CENTER: a priori Sw ; RIGHT: a posteriori Sw )
(d) 640 days (LEFT: ln k; CENTER: a priori Sw ; RIGHT: a posteriori Sw )
(e) 710 days (LEFT: ln k; CENTER: a priori Sw ; RIGHT: a posteriori Sw )

(f) 770 days (LEFT: ln k; CENTER: a priori Sw ; RIGHT: a posteriori Sw )
(g) 840 days (LEFT: ln k; CENTER: a priori Sw ; RIGHT: a posteriori Sw )
(h) 900 days (LEFT: ln k; CENTER: a priori Sw ; RIGHT: a posteriori Sw )
(i) 970 days (LEFT: ln k; CENTER: a priori Sw ; RIGHT: a posteriori Sw )
(j) 1030 days (LEFT: ln k; CENTER: a priori Sw ; RIGHT: a posteriori Sw )

(k) 1095 days (LEFT: ln k; CENTER: a priori Sw ; RIGHT: a posteriori Sw )
Figure 5.11: The updates of log-permeability ln k, a priori and a posteriori water

saturation Sw of one model amongst 300 models.
Figure 5.12: The mean (left) and conditional variance (right) of log-permeability of
300 final models after EnKF.
Figure 5.13: Log permeability of reference model.
Figure 5.14: Watercut curves predicted by reservoir simulations of 300 final models
from 0 days to 1095 days.
Figure 5.15: The initial 300 models clustered into 30 clusters by means of the kernel
k-mean clustering.
Figure 5.16: The 30 models selected (the medoids).

Figure 5.17: Watercut curves for the initial 300 models and their p50 , p10 , and p90
(red solid line and dotted lines).
Figure 5.18: Watercut curves for the selected initial 30 models and their p50 , p10 ,
and p90 (red solid line and dotted lines).
Figure 5.19: p50 , p10 , and p90 of the initial 300 models (red) and the selected initial
30 models (blue).
Figure 5.20: EnKF update of the selected 30 models at 520 days in 2D projection of
metric space.
Figure 5.21: Watercut curves predicted by the final 30 models of EnKF.
Figure 5.22: Watercut curves for the final 300 models (original ensemble) and their
p50 , p10 , and p90 (red solid line and dotted lines).
Figure 5.23: Watercut curves for the final 30 models (reduced ensemble) and their
p50 , p10 , and p90 (red solid line and dotted lines).
Figure 5.24: p50 , p10 , and p90 of the final 300 models (red) and the final 30 models
(blue).
5.6 Comparison of metric EnKF with the post-image

solution
Section 5.5 demonstrated the applicability of the metric EnKF to Gaussian models.
However, Gaussian models can be handled by the conventional EnKF and the pre-
image solutions from the unconstrained optimization (Section 5.5) are not the exact
solutions, as mentioned in Section 3.3.1. In this section, the metric EnKF is applied
to update the reservoir models of a (binary) facies distribution.
5.6.1 Comparison of metric EnKF with post-image problem

Both metric EnKF and post-image solution method attempt to find the feature ex-
pansion of the ”true Earth” in kernel space. Note that the feature expansion of the
”true Earth” is represented by the linear combination coefficient of the ensemble
of initial prior feature expansions or by the standard normal random vector by the
kernel Karhunen-Loeve expansion. In both methods, after obtaining the feature
expansions of the ”true Earth”, the pre-image problem generates the correspond-
ing Earth models.
The major difference between metric EnKF and post-image problem lies in the
feature expansion of the ”true Earth”. In the post-image problem, the feature ex-
pansion of the ”true Earth” is determined such that the feature expansion of the
”true Earth” in kernel space represents the pre-determined location of the ”true
Earth” in metric space. In this process, the distances between the feature expansion
of the ”true Earth” and feature expansions of all initial prior models are considered
to be preserved. Hence, the post-image problem actually generates a new feature
expansion corresponding to the pre-determined location of the ”true Earth” in met-
ric space.
In metric EnKF, the feature expansion of the ”true Earth” is updated by adding
an increment to the feature expansion or the parameterization of one of the initial
prior models. In the update of metric EnKF, the increment is calculated based on
the difference between the data and the prediction multiplied by the Kalman gain.
The Kalman gain can be understood as a gradient (or sensitivity coefficients in

history matching terminology) which describes how the feature expansion should
be changed to match the data. Since, the response is non-linearly related to the
model variables, or the feature expansions, the EnKF obtains this gradient infor-
mation from the ensemble. The gradient estimated from the ensemble statistics is
not exact, because linear operations in covariance calculation do not properly con-
sider the nonlinear relationship between the model variables and the responses.
Therefore the feature expansions obtained by metric EnKF are not the exact fea-
ture expansion of the ”true Earth”, while the post-image provides the exact feature
expansion of the ”true Earth”.
Another difference between the post-image problem and metric EnKF is in the
definition of the distance. In post-image problem, in order to identify the location
of the ”true Earth” in metric space, we have to define the distance as the difference
in the model responses. This requires time-consuming forward simulations. In
the post-image problem, the number of forward simulations required initially is
the number of the initial prior models. Additionally geologically constrained opti-
mization for the pre-image problem requires distance calculations at each iteration
step. This requires typically 3 - 10 forward simulations to obtain one posterior
model, depending on how likely an arbitrary prior model matches the data.
On the other hand, the number of forward simulations required in metric EnKF
is exactly the same as the number of initial prior models. We can utilize any type
of distance which can be calculated fast once the distance is correlated with the re-
sponses, such as connectivity distance. In other words, if the connectivity distance
is used, geologically constrained optimization for the pre-image problem does not
require any additional forward simulation and the calculation of the connectivity
distance is more than 1,000 times faster than one forward simulation. The fact that
the EnKF is non-iterative is (misleadingly) appealing in uncertainty assessment
problems where costly forward simulations are needed. However, the following
two examples of comparing metric EnKF and post-image problem shows clearly
that the EnKF is not appropriate for modeling uncertainty.

1
Data
Prior
0.9
0.8
0.7
0.6
WCT, fraction
0.5
0.4
0.3
0.2
0.1
0
0 100 200 300 400 500 600 700 800 900 1000
TIME, days
5.6.2 A case where the ”true Earth” is near the boundary of the
prior
Consider the same reservoir presented in Chapter 4 (310 ft × 310 ft × 10 ft). Un-
certainty on facies distribution will be considered under the same channelized ge-
ologic scenario along the NE50 direction. Based on the prior information given
(geologic scenario and hard data), 100 prior models are generated by means of
the multiple-point geostatistical algorithm, SNESIM. Consider the watercut his-
tory over 3 years in Figure 5.25, which is the same data as in Section 4.4.2.
Since watercut is of interest, we employed the connectivity distance, which is
well correlated with the difference in watercut prediction. Figure 5.26 displays
the locations of initial prior models in the projection of metric space. The distri-
bution of models in metric space using the connectivity distance is similar to the
result using the actual difference in watercut as in Section 4.4.2, since both are cor-
related with the dynamic response of the model. The models located in the left re-
gion show poor connectivity between the injector and the producer and vice versa.
Figure 5.27 depicts the locations of final models in the projection of metric space
[Initial] Projection of a metric space by multi−dimensional scaling
Prior (low obj)

3 ...
...
...
Prior (high obj)
2
−1
−2
−3
−4
−25 −20 −15 −10 −5 0 5 10
Figure 5.26: Initial ensemble of prior models in the projection of metric space.
after the update of the metric EnKF. The models are gathered in the right-hand
region where the good-connectivity models are placed. As seen in the data, good-
connectivity models are good candidates for matching the data. Figure 5.28 shows
the update of EnKF visually in the projection of metric space. All the initial mod-
els moved to the right region after the update of the metric EnKF. In other words,
all the initial models are updated to exhibit good connectivity between the injec-
tor and the producer. By using the projection of metric space, any optimization or
update process can be analyzed in 2D space effectively.
Figure 5.29 demonstrates 6 of 100 final models obtained by the metric EnKF.
All final models honor the geologic prior information and hard data. All final
models show good connectivity between the injector and the producer. Figure 5.30
depicts the watercut prediction of 100 final models and the data. All the models
are matching the watercut data well. However, when compared with the results
of the rejection sampler (Figures 5.31 and 5.32), the watercut predictions between
100 days and 300 days do not match the data. This resulted from the fact that
the watercut data between 100 days and 300 days are outside of the spread of the
watercut curves of the initial 100 prior models. In EnKF, the truth always has to
[Final] Projection of a metric space by multi−dimensional scaling
Prior (low obj)

3 ...
...
...
Prior (high obj)
2
−1
−2
−3
−4
−25 −20 −15 −10 −5 0 5 10
Figure 5.27: Final ensemble of prior models in the projection of metric space.
Update of models in metric space

4
Update
Initial
3 Final
−1
−2
−3
−4
−5
−25 −20 −15 −10 −5 0 5 10
Figure 5.28: Update of initial ensemble of prior models in the projection of metric
space.
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
Figure 5.29: 6 of 100 final models constrained to watercut history obtained by met-
ric EnKF.
be within the spread of the initially generated ensemble of prior models, since
EnKF assumes that the mean of the ensemble statistics is the truth at each update
as mentioned in Section 5.6.1. Yet, the overall match is relatively good, compared
with the results from the post-image problem in Section 4.4.2.
However, the results of the metric EnKF look even more problematic if the
mean and conditional variance of the final models from the metric EnKF are com-
pared with those from the rejection sampler (Figure 5.33). The mean of the models
from the rejection sampler shows clear connection between the injector and the
producer. This makes sense since the data show high watercut values. The mean
of the models of the metric EnKF does not display this connection and there is a
region of high probability of sand presence in the top-left region, which means that
many models from the metric EnKF have a sand channel which connects the in-
jector to the producer through the top-left region. In other words, EnKF provided
biased samples. The conditional variances are also very different. Although the
models of the metric EnKF match the data relatively well, the variation of the ob-
tained models does not cover the posterior probability or the posterior uncertainty

1
Data
Posterior
0.9 Prior
0.8
0.7
0.6
WCT, fraction
0.5
0.4
0.3
0.2
0.1
0
0 100 200 300 400 500 600 700 800 900 1000
TIME, days
Figure 5.30: Watercut curves for 100 posterior models obtained by metric EnKF
matching the watercut history.
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft


1
Data
Posterior
0.9 Prior
0.8
0.7
0.6
WCT, fraction
0.5
0.4
0.3
0.2
0.1
0
0 100 200 300 400 500 600 700 800 900 1000
TIME, days
Figure 5.32: Watercut curves for 100 posterior models obtained by the rejection
sampler. (15,305 forward simulations)
space well. The following example shows this deficiency more clearly.
5.6.3 A case where few prior models are near the ”true Earth”
In the same setting, consider a new watercut data, which are used in Section 4.4.3
(Figure 5.34). Figures 5.35 to 5.37 display the update of the metric EnKF in the
projection of metric space. Since the watercut data show low watercut values, all
the initial prior models are updated to the poor-connectivity region, or left narrow-
line region in metric space. Figure 5.38 displays 6 of 60 final models obtained by
the metric EnKF. All the models show poor connectivity between the injector and
the producer by sand facies bodies. Figure 5.39 shows the watercut prediction of
final 60 models and the data. They match the data relatively well, but there one can
observe three groups of matched responses (thick lines in Figure 5.39). These thick
lines mean that multiple matched responses plot on the same location. Hence, the
metric EnKF provided a number of models that look almost similar to each other.
On the other hand, the watercut prediction from the models of rejection sampler is
more uniformly distributed (Figures 5.40 and 5.41).
0.5
300
Conditional mean
1 0.45
300
0.9 250 0.4
250 0.8 0.35

200
0.7 0.3
200
y, ft
0.6 0.25
150
y, ft
0.5 0.2
150
100
0.4 0.15
100
0.3 0.1
50
0.2 0.05
50
0.1 0 0
0 50 100 150 200 250 300
x, ft
0 0
0 50 100 150 200 250 300
(a) Mean of 100 posterior models posterior models from metric
from metric EnKF EnKF
0.5
300
Conditional mean
1 0.45
300
0.9 250 0.4
250 0.8 0.35

200
0.7 0.3
200
y, ft
0.6 0.25
150
y, ft
0.5 0.2
150
100
0.4 0.15
100
0.3 0.1
50
0.2 0.05
50
0.1 0 0
0 50 100 150 200 250 300
x, ft
0 0
0 50 100 150 200 250 300
Figure 5.33: The mean and conditional variance of 100 posterior models from met-
ric EnKF (100 forward simulations) and from the rejection sampler (15,305 forward
simulations).

1
Data
Prior
0.9
0.8
0.7
0.6
WCT, fraction
0.5
0.4
0.3
0.2
0.1
0
0 100 200 300 400 500 600 700 800 900 1000
TIME, days
[Initial] Projection of a metric space by multi−dimensional scaling
Prior (low obj)

3 ...
...
...
Prior (high obj)
2
−1
−2
−3
−4
−25 −20 −15 −10 −5 0 5 10
Figure 5.35: Initial ensemble of prior models in the projection of metric space.
[Final] Projection of a metric space by multi−dimensional scaling
Prior (low obj)

3 ...
...
...
Prior (high obj)
2
−1
−2
−3
−4
−25 −20 −15 −10 −5 0 5 10
Figure 5.36: Final ensemble of prior models in the projection of metric space.
Update of models in metric space

4
Update
Initial
3 Final
−1
−2
−3
−4
−5
−25 −20 −15 −10 −5 0 5 10
Figure 5.37: Update of initial ensemble of prior models in the projection of metric
space.
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
Figure 5.38: 6 of 60 final models constrained to watercut history obtained by metric

EnKF.

1
Data
Posterior
0.9 Prior
0.8
0.7
0.6
WCT, fraction
0.5
0.4
0.3
0.2
0.1
0
0 100 200 300 400 500 600 700 800 900 1000
TIME, days
Figure 5.39: Watercut curves for 60 posterior models obtained by metric EnKF
matching the watercut history.
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft
300 300 300
250 250 250
200 200 200

y, ft
y, ft
y, ft
150 150 150
100 100 100
50 50 50
Sand Sand Sand

Mud Mud Mud
0 0 0
0 50 100 150 200 250 300 0 50 100 150 200 250 300 0 50 100 150 200 250 300
x, ft x, ft x, ft

1
Data
Posterior
0.9 Prior
0.8
0.7
0.6
WCT, fraction
0.5
0.4
0.3
0.2
0.1
0
0 100 200 300 400 500 600 700 800 900 1000
TIME, days
pler. (38,201 forward simulations)
The comparison of the mean and conditional variance reveals the problem of
EnKF clearly (Figure 5.42). The mean and conditional variance of the final 60 mod-
els from metric EnKF clearly show the metric EnKF generates a number of very
similar models. Since there are few prior models near the ”true Earth” in metric
space, there is not enough information to calculate the Kalman gain. As men-
tioned before, Kalman gain can be understood as a sensitivity coefficient. If few
prior models are near the ”true Earth”, the covariances obtained from the ensemble
statistics cannot exactly provide the relationship between the state vector and the
response. A Kalman gain with insufficient information leads to a situation where
most of the state vectors are updated to the same location. Therefore, although the
update of EnKF provides multiple models that match the data, those models do not
represent the posterior probability. In order to model the uncertainty realistically,
we need to sample the posterior and try to increase the efficiency of the sampling
technique. In fact, the result obtained from the EnKF are rather disconcerning: the
EnKF provides multiple models that all match the data and honor prior statisti-
cal information (channels). However, the results provide a false sense of security
about the uncertainty of the resulting models. The uncertainty is unrealistically
low and there is no ”test” that can verify this objectively. This simple observation
basically annihilates the single appeal of EnKF for reservoir modeling: i.e. provide
a model of reservoir uncertainty through multiple history matched models.
The following field-scale application of metric EnKF shows this problem as
well. It should be noted that this problem of understating uncertainty is a fun-
damental problem with the EnKF, not of metric space modeling.
5.7 Application to Brugge field-scale synthetic data

The Brugge field-scale synthetic data set was generated for testing optimization
and history matching methods (Peters et al., 2009). Figure 5.43 shows the reser-
voir structure and wells. The flow simulation model consists of 60,048 gridblocks.
There are 20 production wells in the middle of the reservoir and 10 injection wells
around the border of the reservoir. Water is injected at the 10 injection wells and
0.5
300
Conditional mean
1 0.45
300
0.9 250 0.4
250 0.8 0.35

200
0.7 0.3
200
y, ft
0.6 0.25
150
y, ft
0.5 0.2
150
100
0.4 0.15
100
0.3 0.1
50
0.2 0.05
50
0.1 0 0
0 50 100 150 200 250 300
x, ft
0 0
0 50 100 150 200 250 300
(a) Mean of 60 posterior models posterior models from metric
from metric EnKF EnKF
0.5
300
Conditional mean
1 0.45
300
0.9 250 0.4
250 0.8 0.35

200
0.7 0.3
200
y, ft
0.6 0.25
150
y, ft
0.5 0.2
150
100
0.4 0.15
100
0.3 0.1
50
0.2 0.05
50
0.1 0 0
0 50 100 150 200 250 300
x, ft
0 0
0 50 100 150 200 250 300
Figure 5.42: The mean and conditional variance of 60 posterior models from metric
EnKF (100 forward simulations) and from the rejection sampler (38,201 forward
simulations).
Figure 5.43: The Brugge field and wells (Oil saturation).
the displaced oil is produced at the 20 production wells in 10 years. 65 initial

prior models of net-to-gross ratio (NTG), permeability of each direction (PERMX,
PERMY, PERMZ), and porosity (PORO) are provided in the dataset.
Figure 5.44 shows the nonlinear time-dependent data: 10-year production his-
tory of oil and water production and the bottom-hole pressure at 20 producing
wells. Each well has a different production scenario. 20 producers start to produce
oil every two months. A producer whose water production is high will be shut in.
In this study, only watercut data are used for updating the NTG, PERMX, PERMY,
PERMZ, and PORO. Figure 5.45 displays the permeability at each gridblock of 4
of 65 prior models.
Figure 5.46 shows the watercut data and the prediction of watercut from 65
initial models calculated by the Eclipse simulator. At some wells, such as well 5
or well 14, most of the predictions of watercut are much higher than the data. At
other wells such as well 13 or well 17, most of the predictions of watercut are much
(a) BHP
(b) OPR
(c) WPR
Figure 5.44: Production history.

Figure 5.45: Permeability of 4 of 65 prior models.

lower than the data.

Figure 5.47 represents the location of 65 initial prior models in the projection
of metric space by multi-dimensional scaling. In this case, the distance is defined
as the difference in watercut prediction as provided by the Eclipse simulator. The
models that match well with the data are mainly located on the right side.
Figure 5.48 depicts the single update of the metric EnKF, using the data at all
time steps at the same time. All the initial prior models are updated to the region
near the point of the ”true Earth”. The reservoir model has 60,048 gridblocks and 7
properties (NTG, PERMX, PERMY, PERMZ, PORO, gridblock pressure, gridblock
oil saturation) but the dimension of the state vector is just 65 (the same as the
number of initial models), which renders the update of EnKF stable.
Figure 5.49 shows the comparison between the predictions of watercut of the
final 65 models updated by metric EnKF and the data. Compared with the initial
models (Figure 5.46), all the watercut curves of the final 65 models are matching
the data relatively well.
Figures 5.50 and 5.51 show the prediction of oil production rate and bottom-
hole pressure of 65 final models and the data. In the process of metric EnKF, we
used only watercut, not oil production or bottom-hole pressure. However, the
prediction of oil production rate and bottom-hole pressure matches the data well.
Figure 5.52 displays the permeability of 4 of final 65 models. Some of them
are somewhat different from each other but some of them are very similar to each
other. Figure 5.53 shows the mean and conditional variance of initial 65 models
and the final 65 models. As seen in the figure, the conditional variance of the final
65 models is very low, which means that all the final models look very similar. As
mentioned before, the EnKF decreases the uncertainty in the model dramatically.
Even though all the final models are matching the data, if the final models are all
very similar, those obtained models cannot provide a realistic uncertainty in future
prediction. EnKF updates all the initial models toward a single point and does not
provide a varying set of posterior models. The final models obtained by EnKF may
give some information on the mean of the posterior models but does not provide
posterior samples representing realistic uncertainty.
Well 1 Well 2 Well 3 Well 4
Figure 5.46: The prediction of watercut from 65 initial prior models and the data.
Figure 5.47: 65 initial prior models in the projection of the metric space.
Figure 5.48: Update of the metric EnKF of 65 models of Brugge data set.
Figure 5.49: The prediction of watercut of 65 final models and the data.
Figure 5.50: The prediction of oil production rates of 65 final models and the data.
Figure 5.51: The prediction of bottom-hole pressure of 65 final models and the data.
Figure 5.52: The permeability of 4 of 65 final model obtained by the metric EnKF.
(b) The conditional variance of

(a) The mean of initial 65 models. initial 65 models
(d) The conditional variance of

(c) The mean of final 65 models final 65 models
Figure 5.53: The mean and conditional variance of initial 65 models and final 65
models.
5.8 Summary
The EnKF has four major limitations: it cannot preserve prior geologic information;
its large-scale filtering often makes the update unstable; it does not guarantee the
consistent update of different properties; it decreases the uncertainty dramatically.
In order to overcome those limitations, we propose metric EnKF, which replace the
state vector in the EnKF with the standard Gaussian random vector (parameteriza-
tion) obtained by the kernel KL expansion in metric space. Metric EnKF preserves
prior geologic information, makes stable filtering and consistent update of differ-
ent properties. Additionally, model selection by the kernel k-means clustering in
metric space decreases the number of initial prior models. However, similar to
the EnKF, metric EnKF also provides biased final models that do not cover the
posterior uncertainty space. Updating/filtering schemes are not appropriate for
modeling uncertainty; sampling approaches are desirable in such case.
Chapter 6
Conclusions and future work
6.1 Conclusions
The Bayesian framework provides a consistent and repeatable mathematical frame-
work for modeling uncertainty on future predictions. The only exact sampling
techniques following Bayes’ rule is the rejection sampler, which is extremely inef-
ficient. With the work presented in the thesis it is possible to efficiently obtain a
realistic uncertainty model of facies distribution and petrophysical properties of
reservoir in the framework of Modeling Uncertainty in Metric Space (MUMS). Ad-
ditionally, MUMS provides a realistic uncertainty model for future oil production
with multiple posterior models constrained to prior geologic information and hard
data as well as nonlinear time-dependent production history.
The main conclusions observed in this study are as follows:
1. An efficient sampling technique which follows Bayes’ rule: the post-image

problem
By solving the post-image problem and the pre-image problem multiple pos-
terior models honoring prior geologic information, hard data, and nonlinear
time-dependent data are generated efficiently. Unlike other sampling tech-
niques, solving the post-image problem with an iterative scheme generates
posterior samples using the information of all the previously sampled prior
190
CHAPTER 6. CONCLUSIONS AND FUTURE WORK 191
models at the same time.

In the examples of binary channelized reservoir models, solving the post-
image problem generates one posterior model per 3 - 10 prior models (accep-
tance ratio is 0.1 to 0.3), while the rejection sampler requires 300 - 500 prior
samples for one posterior sample (acceptance ratio is 0.002 to 0.003). The ac-
ceptance ratio is dependent upon how likely a prior model matches the data.
In solving the post-image problem iteratively, the acceptance ratio increases
as the number of posterior models increases.
2. Generating additional prior models: geologically constrained optimization

of the pre-image problem
Geologically constrained optimization by means of the PPM and using as
the initial probability the solution of an unconstrained optimization provides
a diverse set of additional prior (geologically realistic) models (continuous
or categorical). Unconstrained optimization is applicable to the models of
continuous variables; Feature-constrained optimization is applicable to the
models of simple depositional objects. However, unconstrained and feature-
constrained optimization methods often do not preserve the prior informa-
tion nor provide the exact pre-image solution.
3. Robust solution of the pre-image problem

Schölkopf and Smola (2002) and Kwok and Tsang (2004)’s optimization meth-
ods for the pre-image problem often provide the wrong solution. Choosing
as the initial point the best-fit model amongst initial models makes the fixed-
point iteration algorithm robust. The evaluation of the objective function for
initial models takes no additional cost, since it is already done when con-
structing a metric space of initial models.
4. Improvement of the EnKF: Metric EnKF

The Metric EnKF overcomes some critical limitations of the EnKF. It pre-
serves prior geologic information; a stable and efficient filtering is estab-
lished. It updates the static and dynamic model variables consistently. The
model selection by the kernel k-means clustering improves the efficiency of

EnKF.
5. Limitation of the EnKF on uncertainty modeling

Metric EnKF has been applied to various cases: Gaussian models, channel-
ized binary models, and the Brugge field-scale synthetic reservoir. The appli-
cations show that the Metric EnKF does not resolve the problem of EnKF, i.e.
it does not provide a realistic uncertainty model, compared with the rejec-
tion sampler. Hence, the EnKF is not appropriate for modeling uncertainty;
sampling approaches are desirable in such case.
6. Visualization of multiple models with MDS

MDS provides a low-dimensional representation of metric space, which makes
it possible to analyze multiple models effectively in 2D or 3D space by visual
inspection. The connectivity distance which is well correlated with the differ-
ence in dynamic response renders the distribution of models in metric space
ranked favorably for many applications such as optimization. These tech-
niques can be applied to any type of reservoir models whether continuous or
categorical variables.
6.2 Future work

In this study, we proposed the post-image and pre-image solution method, which
provided promising results in modeling uncertainty in metric space by sampling
multiple posterior models that follow Bayes’ rule. Evident future work would be
to test this method on cases with more wells and complex 3D field cases. This
section provides some future work that focuses on the verification and exploring
the variety of applicability of the method.
6.2.1 Further verification of the post-image and pre-image solu-

tion method
As for proposing a new problem, Popper (2002) stated in 1959:
”Whenever we propose a solution to a problem, we ought to try as hard

as we can to overthrow our solution, rather than defend it.”
He stated that we should falsify not only a model based on data (as mentioned in
Chapter 1) but also a solution to a problem based on many efforts from various
points of view. In this sense, although this study provided results to understand
why this proposed solution works, further efforts to ”overthrow” the solution are
required. For this, studies about the theory and the range of applicability are sug-
gested.
Theoretical study (Deduction)
This study showed that the posterior models obtained by the post-image and pre-
image solution method exhibit the same uncertainty provided by the rejection sam-
pler that follows Bayes’ rule in various cases. However since it is inductive way of
showing the method works, proving that the proposed method generates posterior
samples that follow Bayes’ rule would be the best way to verify the method.
This method samples a model neither purely randomly as the rejection sampler
does nor by employing the Markov chain as many other samplers do. This method
generates an additional prior model based on the information of all the previously
sampled prior models. At the same time, this method just attempts to increase
the probability for the generated prior model to match the given nonlinear time-
dependent data, that is, to increase the efficiency. Theoretically investigating this
sampling technique would provide verification, therefore highly suggested.
Additionally, the investigation and application of the proposed technique in
various cases of different data-model relationships, i.e. the likelihood, would help
the theoretical verification. This study compared the posterior samples obtained
by the proposed method with those obtained from the rejection sampler but the
empirical likelihood estimated from the results of the proposed method has been
applied to the rejection sampler as a likelihood. Hence, investigating how the pro-
posed method represents the previously assigned likelihood for the rejection sam-
pler would be valuable.
Range of applicability (Demarcation)
The proposed technique or any other sampling techniques to quantify uncertainty

is required and applicable only when uncertainty is substantial. On the other hand,
when the data given is very informative such that the data almost fully constrains
the model, uncertainty may be small and only a few models represent future per-
formance. In this case, the proposed method need not have to be utilized.
Beyond these conceptual statements, determining the range of applicability
would help the verification and also provide further guideline of applying the
proposed technique. Many aspects should be considered to determine the range
of application: which properties to be determined, which types of data are given,
how large the model is, how subjective the interpretation of data is, what stage of
development is in the field, and so on.
6.2.2 Expansion of the method for a wider range of application

This study has dealt with a homogeneous source of uncertainty: the uncertainty
in spatial distribution of facies bodies and petrophysical properties in an Earth
model. However, as mentioned in Chapter 1, various sources of uncertainty exist
in Earth models. Additionally, this study focused on the Earth models with hard
data and mainly production history (specifically watercut history). Since the scope
of the methodology and framework of modeling uncertainty in metric space is
not limited to that specific application, it is possible and also worth to apply the
method to other various challenging sampling problems.
Various sources of uncertainty
Various sources of uncertainty are involved in the process of modeling the Earth:
structural uncertainty from uncertain structure of an Earth model, geological un-
certainty from uncertain geological scenario in the Earth model, spatial uncertainty
from uncertain spatial distribution of facies bodies and petrophysical properties,
physical uncertainty from uncertain physical forward model for prediction, inter-
pretation uncertainty from uncertain data interpretation. All the sources of un-
certainty are of great importance, but this study handled only spatial uncertainty.
The proposed framework of modeling uncertainty in metric space has a poten-
tial to address the structural uncertainty and the geological uncertainty, which are
often major sources of uncertainty in Earth modeling.
Structural uncertainty can be addressed by generating prior models with differ-
ent structures possible for the Earth model. Likewise, geological uncertainty can
be tackled by generating prior models with multiple geological scenarios (specifi-
cally multiple training images or multiple variograms in geostatistics).
Then we calculate distances between any two models, the difference between
the responses. Although we have multiple structures and multiple geological sce-
narios, the distance table is constructed as proposed in this study. Therefore the
location of the ”true Earth” is determined by solving the post-image problem.
Challenges arise after determining the location of the ”true Earth” in metric
space. In order to generate a model corresponding to the location of the ”true
Earth”, the pre-image problem has to be solved using the geologically constrained
optimization. The geologically constrained optimization employs the probability
perturbation method and the probability perturbation method requires using a
single structure and a single geological scenario (a single training image or a single
variogram).
In order to choose which structure or which geological scenario to be used, the
probability of a certain structure or a certain geological scenario in the posterior
should be determined.
Two possible approaches to determine these probabilities can be suggested.
First, the probability can be identified from the density map of models from each
structure or each geological scenario in metric space. Secondly, the post-image
problem provides the weights which determine the feature expansion of the ”true
Earth” by linear combination of the feature expansions of the initial set of prior
models. These weights also can provide the idea about that posterior probability.
The weights assigned to models of each structure or each geological scenario are
in some way expected to be correlated with that probability. Once the probability
near the location of the ”true Earth” is determined by means of any method, the
determined probability gives an idea about how often a certain structure or a ge-
ological scenario should be utilized in the probability perturbation method of the
geologically constrained optimization for the pre-image problem.
Currently, there are few techniques to efficiently and realistically deal with
structural uncertainty and geological uncertainty given nonlinear time-dependent
data. The framework of modeling uncertainty in metric space has potentially a
wide applicability to handle these challenging uncertainty modeling. Hence, the
attempts to apply MUMS to more wide range of uncertainty are of central interest.
Application to other challenging sampling techniques
The various examples included in this study are mainly about history matching,
specifically the uncertainty in Earth models with well log or core data as hard
data and production history as nonlinear time-dependent data. However, there
are many other similar challenging problems which involve highly nonlinear or
time-dependent data and costly forward simulations.
First, we suggest implementing the framework of MUMS to seismic imaging or
seismic inversion. The uncertainty in seismic imaging/inversion is huge. Besides
the structural/geological/spatial uncertainty, the interpretation of data as well as
the physical modeling involve substantial amount of uncertainty. Moreover, the
forward simulation for seismic imaging is extremely costly. The proposed frame-
work is applicable to these problems favorably.
Secondly, another problem similar to history matching is the aquifer parame-
terization for groundwater flow. Aquifers are also geological structures and flow
of water in an aquifer is the same as the flow of oil/gas/water in a reservoir. Es-

pecially, the uncertainty in the propagation of groundwater contamination is of
critical importance for the remediation of environment. The framework of MUMS
would take an important role in modeling uncertainty in future prediction of en-
vironmental pollution.
6.2.3 Other specific suggestions

As minor suggestions for future work, there are a few specific ideas to improve the
proposed framework.
Use of a proxy distance
In order to locate the ”true Earth” in metric space, the post-image problem requires
defining as a distance the actual difference between any two models, since we only
have a response from the ”true Earth”, that is, the data. However, if we define as a
distance the actual difference in responses, the pre-image problem requires the cal-
culation of responses of all newly generated models and the forward simulations
to obtain the responses are very costly.
In order to improve the efficiency in the post-image and pre-image solution
method, a proxy distance which is correlated with the actual difference in re-
sponses but evaluated efficiently can be employed, as in metric EnKF (Chapter
5). The problem is that there is no distance measure for the ”true Earth” if a proxy
distance is utilized. Yet, the metric EnKF showed the models are updated to a cer-
tain point in metric space even though the location of the ”true Earth” is unknown.
This is because the proxy distance is defined to be well correlated with the actual
difference in responses and all the models are distributed in a ranked way with
regard to their responses.
In other words, there should be a location of the ”true Earth” or at least a region
where the ”true Earth” exists in metric space as defined by a proxy distance. Also,
it is expected that, as we increase the number of prior models near the ”true Earth”,
the location of the ”true Earth” in metric space using a proxy distance becomes
more accurate. Research about the use of a proxy distance for the post-image and
pre-image problems could dramatically increase the efficiency of posterior sam-
pling.
Appendix A
Metrel: Petrel Plug-in for MUMS
A.1 Introduction
Developing a plan to maximize oil production requires constructing reservoir mod-
els constrained to all available data. Reservoir modeling is, however, still a vexed
question because of various sources and types of data that need to be integrated as
well as the possibly existing uncertainty due to lack of data to fully constrain the
reservoir model.
From today’s oil fields, many types of data are being obtained. One of the
most important data is provided by geologists. Geologists produce a geological
interpretation of the reservoir from outcrop or other inspections, resulting in e.g.
guesses of channel dimensions, their stacking patterns or where the turbulent flow
in the ocean dominated deposition. Additionally, direct observation from a few
wells is available as a form of well log, core, or well test data. On the other hand,
indirect observation from geophysical survey (esp. seismic survey), often termed
”soft” data, provides a lower-resolution constraint. Additionally, production his-
tory (bottom hole pressure, oil or water rate) is recorded during the production.
Matching the reservoir to the production history is very difficult due to the severe
nonlinearity between the reservoir model and the history. Modeling a reservoir
requires integration of all available data from varying scales and sources.
In particular at the appraisal stage, where reservoir production data are few
199
APPENDIX A. METREL: PETREL PLUG-IN FOR MUMS 200
and where critical decision need to be made, uncertainty about reservoir volume
and prediction performance is still considerable and critical to the decision mak-
ing process. Such uncertainty is captured and represented by generating several
alternative reservoir models by varying key geological, geophysical and reservoir
engineering parameters. Hence, a powerful tool for managing multiple reservoir
models is required. In order to assess the uncertainty using multiple reservoir
models, Monte Carlo simulation or experimental design is widely used. However,
Monte Carlo simulation demands a number of flow simulations, which is not fea-
sible practically. Additionally, the experimental design is not applicable to spatial
(geological) variables which are often categorical and critical to flow (Caers and
Scheidt, 2010).
Metric space modeling means that processes accompanied by modeling a reser-
voir are reformulated and performed in metric space, where the location of any
model is determined exclusively by the mutual differences in responses as defined
by a ”distance”. First step of all metric space modeling techniques is to define a
distance to construct a metric space for the initial set of multiple models; Secondly
the metric space is represented by its projection to the low-dimensional space
by means of multi-dimensional scaling (MDS). MDS generates a map of points
with maintaining the distance between any two points. MDS makes it possible to
analyze the ensemble of multiple models by simple visual inspection as well as
through many statistical analysis techniques. From the constructed metric space,
a series of operations for reservoir modeling is available: generating additional
models (Caers, 2008a; Scheidt et al., 2008), selecting a few representative models
by screening and clustering models (Scheidt and Caers, 2009a, 2010), sensitivity
analysis and uncertainty assessment for models (Scheidt and Caers, 2008, 2009b),
updating models for constraining to nonlinear time-series data (Caers and Park,
2008; Park et al., 2008a), and so forth (for a detailed summary, refer to Caers et al.
(2010)). While a reservoir model is often represented by millions of parameters
(properties at each gridblock), in metric space, a reservoir model is represented by
the distance between other models that is correlated with the output of applica-
tion, which is simple and of critical interest. Also, as long as a distance between
any two models is defined, metric space modeling technologies can be applied to
any combination of models, such as models of several different structural geom-
etry or models of different geological scenarios. In this appendix, we show that
Metric Space modeling is more than an interesting academic idea and that it can,
with the right software engineering, be readily put in practice.
Ocean is an application development framework that allows to develop ap-
plications tightly integrated with the Petrel product family (Schlumberger, 2008).
Under the Windows.NET environment, Ocean allows one to develop user-friendly
plugins which can be executed in Petrel using all Petrel functionality and database.
Petrel is a reservoir modeling software which makes it possible to generate multi-
ple reservoir models (multiple structures, multiple properties, etc.) given almost
all types of geological, geophysical, petrophysical data, and so on. In addition,
Petrel has many strong analysis functions for 3D visualization, reservoir flow sim-
ulation, uncertainty assessment, and so forth.
In this study, we have developed a Petrel plug-in (Metrel) where core technolo-
gies for metric space modeling are implemented based on the Ocean framework.
First, Metrel allows defining any type of distance from the Petrel database. Second,
Metrel constructs a metric space and map all the initial set of models into low-
dimensional space by means of MDS. The results are stored in the Petrel database
and each model can be viewed and analyzed in 3D display window as a point.
Third, Metrel performs kernel k-means clustering (KKM) to divide the set of mod-
els into several groups for further analyses. Finally, based on the results from MDS
and clustering, sensitivity analysis and uncertainty assessment are available. In
Section A.2 to A.4, we explain how the plug-in works and how and where to use
Metrel, followed by summarizing remarks in Section A.5.
With Metrel, users can choose a few representative models and determine the
uncertainty in future prediction (eg. p10 , p50 , and p90 ) with the reduced number of
models. Additionally, users can analyze the sensitivity of any type of parameters
whether continuous (channel width or length) or categorical (type of structural
model, multiple geological scenarios). Finally, users can analyze multiple models
very easily by means of simple visual inspection.
Figure A.1: Structure of Petrel database: Model.
A.2 How Metrel works

In a Petrel database, three types of tabs exist: Input, Models, and Results. Input
contains various input parameters, such as well information, fluid petrophysical
properties, etc. Models contains various models that have been generated from the
input data. Lastly, Results contains simulation or analysis results, such as flow
simulation results or sensitivity analysis results.
Since Metrel starts from a set of multiple models, the tab Models is explained
in detail first. In Models, there is a pre-defined hierarchy. We can define vari-
ous structural models in Models and each structural model can contain multiple
property models (Figure A.1). For example, if we have 3 structural models: no
fault, one-fault, two-fault models, each structural model may be assigned multiple
permeability fields or multiple porosity fields (Figure A.2). Then we can define
many combinations of those models and properties for flow simulation or sensi-
tivity analysis; each combination is stored in the Petrel database as a form of the
term Cases in Petrel.
A Case is defined in Petrel for uncertainty analysis as well as for reservoir flow
simulation. In order to define a Case, we have to assign every input parameter that
Figure A.2: Example of structural models and corresponding property models in

Petrel database (Model).
the reservoir simulation or the uncertainty analysis requires. For instance, we have
to assign to a Case which structural model is to use, which permeability model,
which porosity model, which relative permeability curve, which fluid behavior
curves, and so on (Figure A.3). We can define multiple Cases from the input and
model databases in Petrel. The defined Cases are used for the input of Metrel.
Using this set of cases defined and chosen for Metrel, Metrel can perform two
core operations for metric space modeling: MDS and KKM (see Chapter 2).
As discussed in Chapter 2, MDS maps Cases into a low-dimensional space by
preserving the distance between any two Cases (Figure A.4). In Metrel, the dis-
tance is defined by the difference between properties or simulation results of any
two Cases. A single property or multiple properties can be chosen to define the
distance. For example, the distance can be defined by the difference in oil pro-
duction and bottom hole pressure obtained through streamline simulation. Metrel
generates a new Pointset for displaying the results of MDS. The Pointset can be
viewed in the 3D view of Petrel as well as the name of Case and parameters used
for defining the Case.
The second functionality implemented in Metrel is KKM (Figure A.5). Metrel
Figure A.3: Example of Case and corresponding properties in Petrel database.
Figure A.4: Distance and the projection of Cases from metric space by multi-
dimensional scaling.
Figure A.5: Kernel k-means clustering of Cases in metric space.
makes it possible to apply the clustering to any metric space (Pointset) that is gen-
erated by means of MDS. KKM generates a new Pointset which identifies models
closest to the cluster centroid and their cluster indices. These models are then
selected as representative of the entire set. Additionally KKM generates another
new Pointset which contains all the models as well as their cluster indices. We
can also make use of the statistical analysis tools already implemented in Petrel to
analyze e.g. histogram of input parameters or results, sensitivity analysis on input
parameters, and so forth.
A.3 How to use Metrel

This section can be regarded as a manual of Metrel. The possible use of the plug-in
would be as follows.
1. Define multiple Cases representing reservoir model uncertainty.
2. Define which property or properties to be used for the distance calculation.

If the distance is defined by the difference in flow responses, we advocate
using streamline simulation (Frontsim in Petrel) for all the Cases defined.
Evaluation of the distance needs to be relatively efficient.
3. Run Metrel. The Metrel user-interface would display all the Cases and the
Properties which are shared by all the Cases.
4. Choose which Cases to be used for MDS and which Properties to be used
for distance calculation (Figure A.6). The Map multiple models into the
metric space button executes MDS and a new Pointset is generated in the
Input tab of the Petrel database. The new Pointset represents the loca-
tion of each Case in MDS space and its name (Figure A.7). Also any other
properties can be added into the Pointset by using the function Edit From
Spreadsheet in the Pointset.
5. Go to the next tab: Clustering. Choose which metric space to be used for
the clustering (Figure A.6). The other parameters (dimension of metric space
and kernel bandwidth) are determined automatically by clicking the buttons
located on the right-hand side of the input boxes (for details about how to
choose it automatically, see Scheidt and Caers (2009b)). The only parameter
that needs to be determined by the user is the number of clusters. Then the
clustered result in the new Pointset is added in the Input tab. The new
Pointset additionally contains the cluster indices and centroids information
(Figure A.8).
A.4 How to use Metrel: an example application

We apply Metrel to the Brugge field synthetic data set, which is generated for test-
ing optimization and history matching methods (Peters et al., 2009, 2010). The
objective is to assess the uncertainty in 10-year prediction of oil production and
analyze the sensitivity of generation methods of permerbility and porosity on the
oil production. Figure A.9 shows reservoir geometry and wells which are intro-
duced into the Petrel database:
Figure A.6: User interfaces of Metrel.
Figure A.7: Pointset generated by Figure A.8: Pointset generated by

MDS. KKM.
Figure A.9: Brugge field in Petrel database.
• Geometry: A high-resolution model of 20 million gridblocks and a flow-

simulation model of 60,048 gridblocks are provided.
• Wells: There are 20 production wells and 10 injection wells.
• Property: 104 property models of varying net-to-gross ratio (NTG), perme-

ability (PERMX, PERMY, PERMZ), and porosity (PORO) are given. Table A.1
displays how the porosity and permeability models are generated. 78 mod-
els are generated based on facies (Figure A.10) and the remaining 26 models
are generated without facies information(Figure A.11). Among 78 models
generated with facies information, 39 porosity models are generated by the
multiple-point geostatistical simulation (MPS) technique and the remaining
39 models are generated by the sequential indicator simulation (SIS). 26 mod-
els generated without facies information are also generated by SIS. From the
porosity models, 39 permeability models are generated by single-poroperm
regression; 39 models are generated by poroperm regression per facies; the
remaining 26 models are generated by co-Kriging on porosity (for details,
refer to Peters et al. (2010)).
Following is a summary of the uncertainty analysis and sensitivity assessment

using Metrel with the Brugge field data set.
Table A.1: Generation of 104 models with different techniques. For facies, YES
means the generation of porosity and permeability is based on facies model and
NO means facies ignored; for fluvial (porosity generation method), MPS means
multiple-point Geostatistical simulation and SIS means sequential indicator sim-
ulation; for permeability (permeability generation method), KS means the perme-
ability model is generated by the single-poroperm regression, KP means the porop-
erm regression per facies, and KM means the permeability model by co-Kriging on
porosity. The number is the parenthesis represents the number of models gener-
ated.
Parameter 104 property models
Facies YES (78) NO (26)
Fluvial MPS (39) SIS (65)
Perm KS (13) KM (13) KP (13) KS (13) KM (13) KP (13) KS (13) KM (13)
Figure A.10: Permeability based on Figure A.11: Permeability without

facies information. using facies information.
1. Generate 104 Simulation Cases for frontsim simulations.
2. Run Frontsim for the 104 Cases. Figure A.12 shows the streamlines that are
used in one of the Frontsim simulations.
3. Start the plugin (Metrel).
4. Define a distance as the difference in oil and water production over 10 years
resulting from frontsim simulations and choose all 104 Cases.
5. Perform MDS by clicking the button: Map multiple models into metric
space. Figure A.13 depicts the result of MDS. Each point represents each
Figure A.12: Streamlines traced by one of the Frontsim simulations.
Case. The Cases are arranged in the 3D space (projection of the metric space)
such that similar Cases in terms of their oil and water flow characteristics are
located close to each other.
6. Perform KKM by clicking the button: Kernel k-means clustering. Fig-

ure A.14 shows the result of KKM (6 clusters). Each point has been assigned
the cluster index to which it belongs. All the Cases are clustered based on
their flow characteristics. Figure A.14 also displays the Cases closest to cen-
troids, which are the representative Cases amongst 104 Cases: BRUGGE33,
48, 68, 78, 88, 93.
7. Run full reservoir simulations for the chosen Cases (Eclipse) and analyze the
Pointsets generated in the Input tab for the uncertainty assessment and sen-
sitivity analysis as presented in the following subsections.
Figure A.13: Projection of metric space by MDS. Each dot represents a reservoir
model (Case). The color means z-dir location of each Case
Figure A.14: Clustering results and a few representative Cases chosen by KKM.
Chosen Cases are represented by large circles which labeled BRUGGE 33, BRUGGE 48,
BRUGGE 68, BRUGGE 78, BRUGGE 88, and BRUGGE 93.
A.4.1 Uncertainty assessment

The original work on uncertainty assessment through metric space modeling tech-
niques is published in Scheidt and Caers (2008, 2009a). Metrel enables one to em-
ploy the method in Petrel. In this example, the objective of uncertainty assessment
is to determine the uncertainty in 10-year prediction of oil and water production
by Eclipse flow simulations. The uncertainty in future prediction is usually repre-
sented by p10 , p50 , and p90 curves of oil and water production curves by reservoir
simulations of 104 models generated. Figure A.15 shows 104 field oil and water
production curves of 104 models. However, running all 104 full flow simulations
(Eclipse) is not feasible in most practical studies, since it would take more than
three days of CPU. In order to assess performance of our method, we did execute
all 104 flow simulations with Eclipse. On the other hand, Figure A.16 depicts 6 oil
and water production curves of 6 representative models chosen by metric space
modeling techniques: MDS and KKM. Figures A.17 and A.18 show the compari-
son of p10 , p50 , p90 curves of field oil and water production rates of the exhaustive
set of 104 models and the selected 6 representative models. As seen in Figures A.17
and A.21, 6 representative curves are reproducing the statistics of 104 representa-
tive curves reasonably well. Figures A.19 and A.20 display the oil and water pro-
duction rates of individual well (P17) of 104 models and 6 representative models.
Figures A.21 and A.22 show the comparison of p10 , p50 , and p90 curves of oil and
water production rates of individual well (P17) of 104 models and 6 representative
models. The uncertainty of production curves for individual wells are also repre-
sented well by the chosen 6 models, although not as well as the field production:
this is to be expected since well production is more varying; selecting more models
will give a better approximation (as shown in Scheidt and Caers (2009a)). In this
example, the number of clusters are set to 6 through the visual inspection of the
cloud of 104 Cases in metric space.
Figure A.15: Field oil and water production curves of 104 models by exhaustive
simulations, which cannot be applied in the field.
Figure A.16: Field oil and water production curves of 6 representative models cho-
sen by KKM.
Figure A.17: p10 , p50 , and p90 of field oil production curves of 104 models (green
dashed lines) and 6 representative models chosen by KKM (blue solid lines).
Figure A.18: p10 , p50 , and p90 of field water production curves of 104 models (green
dashed lines) and 6 representative models chosen by KKM (blue solid lines).
Figure A.19: Well (p17) oil and water production curves of 104 models by exhaus-
tive simulations, which cannot be applied in the field.
Figure A.20: Well (p17) oil and water production curves of 6 representative models
chosen by KKM.
Figure A.21: p10 , p50 , and p90 of well (p17) oil production curves of 104 models
(green dashed lines) and 6 representative models chosen by KKM (blue solid lines).
Figure A.22: p10 , p50 , and p90 of well (p17) water production curves of 104 models
(green dashed lines) and 6 representative models chosen by KKM (blue solid lines).
A.4.2 Sensitivity analysis

In this example, the 104 porosity and permeability models are generated by dif-
ferent techniques: facies-based or not, porosity by MPS or SIS, and permeability
by single poroperm regression or poroperm regression per facies or coKriging on
porosity. Hence, a possible objective of sensitivity analysis would be to determine
which parameter is the most critical for future prediction of oil and water produc-
tion or how influential the parameter is. This can also be achieved from the results
of Metrel run.
In Petrel, those generation methods (YES or NO, MPS or SIS, and KS or KM or
KP; see Table A.1) can be added as a new Attribute to the Pointset generated by
MDS or KKM. Figure A.23 shows how those input parameters are introduced into
the Petrel database and can be edited by the users. (Note that the current version
of Ocean (version 2009.2) does not allow the users to access those input parameters
from Cases but the new version of Ocean (version 2010.1, however not available
at the time of plugin development) would allow the access. So with Ocean 2010.1
the input parameters can also be automatically displayed.) Figure A.24 shows the
input parameters of the 6 representative Cases selected by KKM of Metrel. Then,
the user can display the metric space with the input parameters as in Figures A.25
and A.27.
Figures A.25 and ??hows the Cases on the left-hand side as indicated by NO, i.e.
those generated without considering facies information, while the Cases on the
right-hand side are all YES. Likewise, the porosity generation method (MPS or SIS)
divides the Cases horizontally. The Cases located at the upper side of map are gen-
erated by SIS, and the Cases in the lower side of map by MPS (Figure A.26). More
importantly, the Cases are clustered based on the permeability generation tech-
nique (KS or KM or KP) (Figure A.27). Therefore, facies information and porosity
generation methods influence the future prediction of oil and water production to
some extent but the permeability generation technique is more important in pre-
diction of future flow performance.
Figure A.23: Checking the type of porosity and permeability model generation
method in the spreadsheet of Pointset. x, y, Depth represent the location of each
model in the space projected by MDS. The case name, cluster index, and generation
methods of permeability and porosity are listed in the table.
Figure A.24: Checking the type of porosity and permeability model generation
method for 6 representative models only in the spreadsheet of Pointset.
Figure A.25: Projection of metric space with displaying the usage of facies infor-
mation for the generation of porosity model (YES: facies considered; NO: facies
ignored).
Figure A.26: Projection of metric space with displaying the type of simulation
method to generate porosity model (MPS: multiple-point geostatistical method;
SIS: sequential indicator simulation).
Figure A.27: Projection of metric space with displaying the type of method to gen-
erate permeability model (KS: single poroperm regression; KP: poroperm regres-
sion per facies; KM: coKriging on porosity).
A.5 Summary
We have developed a petrel plug-in (Metrel) using Ocean development framework.
Metrel enables core technologies of metric space modeling (MDS and KKM) in Pe-
trel. Metrel allows us to analyze multiple models in 2D or 3D view of Petrel or other
Petrel analysis functions. Metrel can choose a few representative models amongst
a set of multiple models, which would help the efficient further analyses, such as
calculating P10, P50, and P90 of prediction from reservoir flow simulations. Metrel
helps to analyze the sensitivity of the input parameters or methods to the results in-
terested. An example run of Metrel with the Brugge field-scale data set exhibits that
6 representative models chosen by Metrel and 6 full flow simulations are enough
to assess the uncertainty and analyze the sensitivity.
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Modeling Uncertainty in Metric Space

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MODELING UNCERTAINTY IN METRIC SPACE

(Dr. Jef Caers) Principal Adviser

I certify that I have read this dissertation and that, in my opinion, it

(Dr. Louis Durlofsky)

I certify that I have read this dissertation and that, in my opinion, it

(Dr. Tapan Mukerji)

Approved for the University Committee on Graduate Studies.

Modeling uncertainty for future prediction requires drawing multiple posterior

2 Modeling Uncertainty in Metric Space 15

3 The Pre-Image Problem 38

4 The Post-Image Problem 93

5 Metric Ensemble Kalman Filter 134

6 Conclusions and future work 190

A Metrel: Petrel Plug-in for MUMS 199

4.1 The gradual deformation method to solve the post-image problem. . 98

A.1 Structure of Petrel database: Model. . . . . . . . . . . . . . . . . . . . . 202

1.1 Modeling Uncertainty

1.2 A Bayesian approach to modeling uncertainty

P(D = d|X = x) P(X = x)

1. Generates a model x from a prior distribution.

2. Evaluate the responses g(x) of the model x by physical laws g( ).

3. Compare the responses with the data: k g(x) − dk.

5. Repeat until the desired number of models is obtained.

Figure 1.2: How the rejection sampler works.

1.3 Uncertainty in reservoir modeling

Figure 1.3: Various sources of uncertainty in the oil industry.

Earth. For better understanding, we need to identify 3-dimensional (3D) structural

1.4 Reservoir modeling

sequential Gaussian or indicator simulation, often cannot represent geological re-

1.5 State-of-the-art review

1.5.1 Inverse modeling approaches

1.5.2 Introducing distances and kernels

1.5.3 Modeling uncertainty in metric space

by defining a distance; the multi-dimensional scaling for euclidianizing the dis-

nonlinear time-dependent data by post-image problem (Park and Caers, 2010a,b),

2. The proposed methodology should be efficient such that it can be applied to

In Chapter 2, the mathematical background of modeling uncertainty in metric

Modeling Uncertainty in Metric Space

in metric space will handle only distances.

2.2 Ensemble generation

Let gi be a set of values that represents responses of a model xi , which is often a

2.4 Multi-dimensional scaling

where, H represents the centering matrix:

with I of the identity matrix and 1 of a column vector of L ones (1 = [1 1 · · · 1]| ∈

where, VB denotes the collection of eigenvectors of B and ΛB the diagonal matrix

to achieve a correlation coefficient of 0.99 or higher between the distance defined

2.5 Kernel k-means clustering

and assigned the same cluster index (Equation 2.10).

ui = argmin kc j,opt − xi,m k (2.10)

where, the matrix C represents the collection of cluster centroids (c j , j = 1, ..., Nc )

Xm 7 → Φ k (xi,m , x j,m ) = φ|i φ j

ui = argmax k(c j,opt , xi,m ) (2.15)

2.6 Model expansion

When we perform eigenvalue decomposition on the covariance (Equation 2.17),

CX VCX = VCX ΛCX (2.17)

where, VA is a matrix each column of which is the eigenvector of matrix A. ΛA

[φ(Xm )]:,j = φ(x j,m ) (2.22)

where, [A]:,j represents j-th column of the matrix A.

φ(xi,m ) = VCΦ Λ1/2

However, since the feature expansion is often very high-dimensional, even

infinite-dimensional depending on the chosen kernel, the eigenvalue decompo-

k(xi,m , x j,m ) : = φ(xi,m )| φ(x j,m ) (2.26)

where, the (i,j)-th element of K is k ij = k (xi,m , x j,m ).

For the parameterization of the given ensemble, we have to find an ensemble of