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Int. J. Numer. Meth. Engng 2010; 00:1–6 Prepared using nmeauth.cls [Version: 2002/09/18 v2.02]
SUMMARY
This paper developed the basic-concepts of ground-water hydraulic on stochastic media. The Theis
equation is used to study the transient movement of groundwater as a result of pumping in a confined
aquifer in saturated porous media considering stochastic parameters.
key words: Karhunen-Loève expansion; Monte Carlo; quasi-Monte Carlo; Sparse Grid; Theis
equation.
1. Introduction
The study of the movement, distribution, and quality of water in confined aquifers including
the hydrologic cycle, water resources and environmental watershed sustainability has recently
been subjects of great relevance. In order to understand the behavior of the hydraulic properties
of the medium and its relevance in the characterization of the aquifer, is important to know
the coefficients of permeability or transmissibility, and storage since these hydraulic properties
are essentials in aquifers and confining beds [19].
The most common procedure for determining the hydraulic properties of aquifers is to
identify the hydraulic and physical boundary conditions affecting flow in the aquifer and
calculate the expected solution considering the hydraulic properties as variable and taking
into account the hydraulic and physical boundaries. Subsequently is compared the observed
response with the computed response adopting those hydraulic properties that were assumed
in the computed response which matches the observed response [16].
However, due the uncertainty and variable factors involved as the permeability or porosity,
these computed or experimental measurements should be applied with extreme caution.
Furthermore, a laboratory measurement of this coefficients on one sample is representative
of only a minute part of the corresponding data of an aquifer [3]. This combination of
∗ Correspondence to:
†
Received
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c 2010 John Wiley & Sons, Ltd. Revised
2
significant spatial variability with a relative small number of observations leads to uncertainty
in estimating or predicting flow in such formation properties material so that it is necessary
to measure this uncertainty.
Infer the uncertainty in hydraulic properties is essential to ensure the benefits of the
development of water reservoirs. In computational models of flow used to manage or predict
groundwater resources, the prediction must be quantified in terms of uncertainty of the
hydraulics parameters. A natural approach in the quantification of this uncertainties is given by
stochastic methods. In this way some stochastic methods have been proposed in the literature
to study the flow and transport involving aquifer on stochastic approaches of the hydraulic
parameters.
One of the most common methods is the Monte Carlo method. This method solve differential
equations with stochastic parameter through a large number of realizations of the random
input field. Its accuracy depends on the number of realizations N that one chooses and their
approximations are of the order O(N 1/2 ) [21, 18]. However the regularity of the integrand is not
reflected [13]. Another way is the method based on sequences of pseudorandom numbers known
as quasi-Monte Carlo method [6, 14]. Morokoff and Caflisch [12] remark that the advantage of
the quasi-Monte Carlo method is greater if the integrand is smooth although these methods
make use of low degree of regularity, and the stochastic number of stochastic dimensions
integral is small.
Another possible way to describe uncertainties in the physical model consists in using a
Karhunen-Loéve or Polynomial Chaos (PC) expansion based on the spectral stochastic finite
element method. The former represents the stochastic parameter as a linear combination of an
infinite number of uncorrelated random variables and eigenpair originated from the spectral
decomposition, while the latter uses polynomial expansions in terms of independent random
variables. This methods was used by Ghanen and Spanos [5] and its representation is based
in multidimensional Hermite polynomials of the independent normalized gaussian variables
considering the highest degree. This scheme effectively leads a coupled deterministic system
of the equations that increased with stochastic dimensions.
A recent approach to model uncertainty is the probabilistic collocation method constructed
through Smolyak’s algorithm known as Sparse Grid [4, 20]. This method is an extension of
polynomial chaos approach with collocation projection and is based on a higher-dimensional
multiscale basis, which is derived from a one-dimensional multiscale basis by a tensor product
construction. In this case are to build interpolation function for the dependent variables using
their values at particular points in the stochastic space. Some studies show that the sparse
grid offer high-order convergence when the integrand is smooth [15]. Recently this approach
has been used for flow in heterogeneous strongly porous media to two and three-dimensional
flow and transport in porous media [11].
In the present paper, quasi-Monte Carlo methods and the Sparse Grid are compared on
transient movement of groundwater. The Theis equation [17, 9] was used to describe the
solutions of MC and SG on the boundary of the experiments as a result of pumped well
in confined aquifer under conditions of horizontal boundary that extend to infinity. We show
that the moments (mean and variance) exhibits a certain regularity from a realizations number
regardless of time period and stochastic dimension involved. (Falar sobre a formula de Theis
e os experimentos considerando o sparse grid e quasi-Monte Carlo).
This paper is structured as follow. In §2 we present the governing equations of the model
problem. In §3 we discuss the representation of stochastic parameters through Karhunen-Loève
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expansion. The MC, QMC and SG algorithms are presented in §4. In §5 we analyze numerical
results.
2. Governing Equations
The problem is to determine the drawdown distribution around a well that penetrates a
heterogeneous confined aquifer. It is assumed that the permeability, compressibility, and the
thickness of each of layer does not vary with the time but with the distance in an confined
aquifer in saturated porous media whose discharge is given by a constant rate Q. In this case,
the equation of continuity and Darcy’s law, which governs the movement of water respectively
toward the well is
∂p(x; ω; t)
S(x) + ∇ · q(x; ω; t) = f (x) (1)
∂t
and
q(x; ω; t) = −T (x; ω)∇p(x; ω; t), (2)
subjected to initial and boundary conditions
{
p(x; ω; 0) = H0 , x ∈ D ⊂ R2
(3)
p(x; ω; t) = h0 (r) x ∈ ΓD ,
where p(x; ω; t) is hydraulic head, H0 is the constant hydraulic head until the start of pumping
of the well, and by h0 (r) prescribed head in the boundary ΓD which is formed by points at a
radial distance r from well large enough. This condition is to approximate
lim h(x; ω; t) = H0 .
kxk→∞
In addition, q(x; ω; t) is the discharge vector, S(x) the elastic storage coefficient, T (x; ω)
the hydraulic transmissivity field and f (x) = Q.δ(x) where δ(x) is the Dirac delta function.
In the spatial discretization by finite elements the weak form of the equation (1) consist in
find ph ∈ H01 (D) such that
∫ ( ) ∫
∂p(x; ω, t)
φ(x) + T (x; ω)∇p(x; ω; t)∇φ(x) dx = f (x)φ(x) dx, ∀ φ ∈ H01 (D), (4)
D ∂t D
where H01 (D) space of functions square integrable whose derivative is square integrable and
has compact support in D.
In this variational problem we use the functions H0 (r) calculated from the deterministic
solutions h = h(x, t) given by Theis:
( 2 )
Q r
s = H02 − h2 = W , (5)
2πT 4νt
with W (u) defined as well function to nonleaky aquifers expressed by
∫ ∞
1
W (u) = exp(−x) dx. (6)
u x
The formula (5) has been widely used to analyze pumping-test data to determine the
parameters S and T of aquifers [7]. Note that in t = 0, the drawdown s at the well is zero
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throughout the aquifer. Immediately after the well is opened, the water level at the well drops
to a lower level, sw , constant in this level for the duration of the pumping period.
In the next section for the purpose numerical we approach T (x; ω) and p(x; ω; t) by finite
expansions .
We begin presenting (Ω, F, µ) a complete probability space, with Ω representing the set of
outcomes, F ⊂ 2Ω consist of the σ-algebra of events, and µ : F → [0, 1] a probability measure.
We introduce the model uncertainty, quantified by the independent variable ω ∈ Ω and by
transmissivity T (x, ω) as a function of random lognormal representation, i.e:
T (x; ω) = exp(Y (x; ω)), (7)
where Y (x; ω) a stationary Gaussian process. We assume also that the covariance function
C(x, y) of the process Y (x; ω) satisfies C(x, y) = C(y, x) e C(x, x) > 0 for all x 6= 0. In this
form, Y (x; ω) can be represented in terms of the Karhunen-Loève expansion
∞ √
∑
Y (x; ω) = hY (x; ω)i + λn ϕn (x)ξn , (8)
n=1
in that hY (x; ω)i represent the mean of Y and we assume {ξ1 , ξ2 , . . .} as a set of mutually
orthonormal Gaussian random variables with zero mean. For calculation purposes, it is
necessary to truncate the expansion above in
∑
M √
YM (x; ω) = hY (x; ω)i + λn ϕn (x)ξn , (9)
n=1
reducing the transmissivity the T (x; ω) ≈ T (x; ξ1 , . . . , ξM ). The term M represent the number
of coordinates of the effective stochastic characterization and is referred to as the stochastic
dimension.
The terms λn e ϕn (x) from equation (8) represent the eigenvalue and eigenfunction
respectively, associated with C(x, y) and can be obtained from Fredholm equation
∫
C(x, y)ϕn (x) dx = λϕn (y). (10)
D
In our experiments we used the exponential and power-law covariance. The exponential
covariance function is defined as
C(x, y) = σY2 exp(−|x − y|)/η, (11)
where σY2 and η are the variance and correlation length of the stationary random process.
According to [11] the choice of exponential covariance suggests that the decay of the eigenvalues
depends primarily on correlation length so that for larger correlation length, the eigenvalue
decay is fast and a small number of terms is necessary in the Karhunen-Loève expansion.
Otherwise, for small correlation length, the eigenvalue decay slower and more terms are needed
to achieve a better convergence.
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In this section we shall briefly describe the classical stochatic methods for the calculation of
statistical moments of head p . We review the Monte Carlo method (MC), the quasi-Monte
Carlo method (QMC) and the Sparse Grid (SG).
such that φ ∈ Wh (D) for each transmissivity T (x; ξ (j) ), j = 1, . . . , Nr , based on random
variables {ξ(j) }N
n=1 and find a corresponding approximation ph in the piecewise linear
r
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1 ∑
Nr
ph (x) ≈
µMC ph (x; ξ (k) ). (16)
Nr
k=1
In the case of quasi-Monte Carlo methods (QMC) deterministic points X(1) , X(2) , . . . , X(Nr )
are chosen in hypercube [0, 1]M . This points are uniformly distributed so that their degree
of uniformity is established by difference between the discrete uniform distribution and the
continuous uniforms distribution on [0, 1]M . The points that satisfy this property are elements
of a low-discrepancy sequence [10]. In the experiments we deal Sobol sequence (for details see
[14, 12]).
By hypothesis we assume a Gaussian process in the experiments so that a change of variables
is necessary in the low-discrepancy sequence {X(j) }j=1
Nr
. Thus given an univariate standard
normal cumulative distribution function Φ : Γ → [0, 1]M the equation (14) can be rewritten
as:
1 ∑
Nr
µQMC
ph (x) ≈ ph (x; Φ−1 (X(k) )),
Nr
k=1
(18)
1 ∑
Nr
σp2,QMC (x) ≈ (ph (x; Φ−1 (X(k) )) − µQMC
ph (x))2 .
h
Nr
k=1
that the order of polynomial exactness increases for each direction i. Thus the interpolation
operator Ii is given by:
∑
mi
(j) (j)
Ii (f )(ξ) = f (ξi )wi (ξ), (19)
j=1
Given collocations points and weights, quadrature rules are straightforward to implement,
since (19) requires only to calculate a weighted sum of function values. In the multivariate
case, each rule ΘM specifies a set of nodes M -dimensional, {ξ (j) }N
j=1 ∈ Γ that will be applied
r
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in the equation (14) so that the final solution will be obtained by interpolation operator I of
M -dimensional functions f : Γ → R defined by the following tensor-product formula:
∑
m1 ∑
mM
(j ) (j ) (j ) (j )
I(f )(ξ) = I1 ⊗ . . . ⊗ IM (f )(ξ) = ... f (ξ1 1 , . . . , ξMM )w1 1 (ξ1 ) . . . wMM (ξM ). (20)
j1 =1 jM =1
The integration rule by Smolyak formula is constructed from tensor products of one-
dimensional quadrature formulas, adjusting formulas of high order and low order through
of the equation
∑ ∑
Aq,M (f ) = ∆i1 ⊗ . . . ⊗ ∆iM (f ) = Aq−1,M (f ) + ∆i1 ⊗ . . . ⊗ ∆iM (f ), (21)
|i|≤q |i|=q
We employ the Kronrod-Patterson rule for the calculation of the moments of the head so
that
∑
Nr
hf i ≈ wm f (ξ (m) ), (23)
m=1
for some arbitrary function f where the weights wi are according to the Kronrod-Patterson
rule. Thus the mean and variance of hydraulic head are approximated by
∑
Nr
(k)
µSG
ph (x) = pSG
h (x, ξ )wk , (24)
k=1
∑
Nr ∑
Nr
σp2,SG
h
(x) = (pSG
h (x, ξ
(k)
) − µSG )wk wj (pSG
h (x, ξ
(j)
) − µSG ). (25)
k=1 j=1
the Kronrod-Patterson rule with accuracy level i adds a number of points to the set of nodes
Θi of the preceding accuracy level and updates the weights allowing Θi−1 ⊂ Θi . These sets
are designated nested.
5. Results
In this section we examine the performance of the methods in computing the expected values
of some quantities of interest for our transient model problem in 2D. In particular, we consider
(1) on D = [0, 1000]2 with
f (x) = Q.δ(x − x1 ) − Q.δ(x − x2 )
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and subject to a pumping rate was set at Q = 0, 125 m3 /s. The wells are located in
positions x1 = (270, 500) and x2 = (730, 500). The average transmissivity is given by
TG = exp(hY i) = 0, 0038 m2 /s and the total time of observation was 100 days.
No flow is prescribed under the bottom or top of the aquifer and flow in the lateral boundaries
extending to infinity with hydraulic load H0 = 380 m and effective porosity ψe = 25%. In the
following examples, we establish the boundary conditions through the Theis formula (5). For
the purpose of comparison, we conducted Monte Carlo simulations. For each case, we use
8000 two-dimensional unconditional realizations generated on the grid of 40 × 40 nodes with
the separable covariance function given by (11) and (12), based on (9) with 1600 terms. The
unsteady state, saturated flow equation is solved for each realization of the log hydraulic
conductivity, using code Matlab
c
.
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µp
375
379.92
374
379.9
373
379.88
379.86 372
379.84 371
0 200 400 600 800 1000 0 200 400 600 800 1000
x x
(a) (b)
x 10
−3 QMC, Nr = 100, t = 2 QMC, Nr = 100, t = 100
4 0.25
MC MC
3.5 M = 10 M = 10
M = 100 0.2
M = 100
3 M = 400 M = 400
2.5
0.15
σp2
σp2
0.1
1.5
1
0.05
0.5
0 0
0 200 400 600 800 1000 0 200 400 600 800 1000
x x
(c) (d)
Figure 1. Pressures level curves of the mean and variance for exponencial covariance of log-conductivity
on Sobol sequence.
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Fig. 2 shows profiles of the mean and variance through SG considering the degree polynomial
KSG = 2, with stochastic dimension M = 50 and 100. As previously related, in t = 2 (see Fig.
2(c)) the predominance of initial conditions determines a small variability in the media, but
when the time increases to t = 100 (Fig. 2(d)) the influence of initial conditions is reduced,
for this reason its variability increases.
SG, KSG = 2, t = 2 SG, KSG = 2, t = 100
380.02 379
MC MC
380 M = 50 378 M = 50
M = 100 M = 100
379.98
377
379.96
376
379.94
µp
µp
375
379.92
374
379.9
373
379.88
379.86 372
379.84 371
0 200 400 600 800 1000 0 200 400 600 800 1000
x x
(a) (b)
x 10
−3 SG, KSG = 2, t = 2 SG, KSG = 2, t = 100
3.5 0.25
MC MC
3
M = 50 M = 50
M = 100 0.2
M = 100
2.5
0.15
2
σp2
σp2
1.5
0.1
1
0.05
0.5
0 0
0 200 400 600 800 1000 0 200 400 600 800 1000
x t
(c) (d)
Figure 2. Pressures level curves of the mean and variance for exponential covariance of log-conductivity
on Sparse Grid.
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In Figs. 3-4 we present the evolution of the relative errors of the mean and variance in terms
of number of realizations Nr in time t = 2 and t = 100 using QMC and SG respectively. In
QMC we consider a stochastic dimension M = 10, 100 and 400. We can observe that both
short and long times, the error decreases as the stochastic dimension increases. Besides to long
periods of time, the decrease of the error works best for media as the variance in relation to
short periods of time.
−4
x 10
QMC, t = 2 −3
x 10
QMC, t = 100
4 3.1
M = 10 M = 10
M = 100 M = 100
M = 400 3 M = 400
3.8
2.9
3.6
Error Mean
Error Mean
2.8
3.4
2.7
3.2
2.6
3
2.5
2.8
2.4
2.6 2.3
0 500 1000 1500 2000 2500 3000 0 500 1000 1500 2000 2500 3000
Nr Nr
(a) (b)
QMC, t = 2 QMC, t = 100
1 1
M = 10 M = 10
M = 100 M = 100
0.95 M = 400 0.95 M = 400
0.9 0.9
Error V ariance
Error V ariance
0.85 0.85
0.8 0.8
0.75 0.75
0.7 0.7
0.65 0.65
0 500 1000 1500 2000 2500 3000 0 500 1000 1500 2000 2500 3000
Nr Nr
(c) (d)
Figure 3. Error (on L2 norm) of the mean and variance on Sobol solutions with respect to the MC
solution.
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x 10
−4
SG t = 2 x 10
−3 SG, t = 100
3.5
KSG = 2 KSG = 2
KSG = 3 KSG = 3
KSG = 4 3 KSG = 4
Error Mean
Error Mean
2.5
1.5
1 1
0 500 1000 1500 2000 2500 0 500 1000 1500 2000 2500
Nr Nr
(a) (b)
SG, t = 2 SG, t = 100
1 1
KSG = 2 KSG = 2
0.9
KSG = 3 0.9
KSG = 3
KSG = 4 KSG = 4
Error V ariance
Error V ariance
0.8 0.8
0.7 0.7
0.6 0.6
0.5 0.5
0.4 0.4
0 500 1000 1500 2000 2500 0 500 1000 1500 2000 2500
Nr Nr
(c) (d)
Figure 4. Error (on L2 norm) of the mean and variance on SG with respect to the MC solution.
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375
379.94
µp
µp
374
379.92
373
379.9 372
371
379.88
370
379.86 369
0 200 400 600 800 1000 0 200 400 600 800 1000
x x
(a) (b)
QMC, Nr = 100, t = 2 QMC, Nr = 100, t = 100
0.015 9
MC MC
M = 10 8 M = 10
M = 100 M = 100
M = 400 7 M = 400
0.01 6
5
σp2
σp2
0.005 3
0 0
0 200 400 600 800 1000 0 200 400 600 800 1000
x x
(c) (d)
Figure 5. Pressures level curves of mean and variance for power-law covariance of log-conductivity on
Sobol sequence.
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375
379.94
µp
µp
374
379.92
373
379.9 372
371
379.88
370
379.86 369
0 200 400 600 800 1000 0 200 400 600 800 1000
x x
(a) (b)
SG, KSG = 2, t = 2 SG, KSG = 2, t = 100
0.015 9
MC MC
M = 50 8 M = 50
M = 100 M = 100
7
0.01 6
5
σp2
σp2
0.005 3
0 0
0 200 400 600 800 1000 0 200 400 600 800 1000
x
(c) (d)
Figure 6. Pressures level curves of mean and variance for power-law covariance of log-conductivity on
Sparse Grid.
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x 10
−4 QMC, t = 2 x 10
−3 QMC, t = 100
4.5 4
M = 10 M = 10
M = 100 M = 100
4 M = 400 M = 400
3.5
3.5
Error Mean
Error Mean
3
3
2.5 2.5
2
2
1.5
1.5
1
0.5 1
0 500 1000 1500 2000 2500 3000 0 500 1000 1500 2000 2500 3000
Nr Nr
(a) (b)
QMC, t = 2 QMC, t = 100
0.8 3
M = 10 M = 10
M = 100 M = 100
M = 400 M = 400
0.7
2.5
Error V ariance
Error V ariance
0.6
2
0.5
1.5
0.4
1
0.3
0.5
0.2
0.1 0
0 500 1000 1500 2000 2500 3000 0 500 1000 1500 2000 2500 3000
Nr Nr
(c) (d)
Figure 7. Error (on L2 norm) of the variance of the Sobol solutions with respect to the MC solution.
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x 10
−4 SG, t = 2 −3
x 10
SG, t = 100
6 4.5
KSG = 2 KSG = 2
KSG = 3 4
KSG = 3
5
KSG = 4 3.5
KSG = 4
Error Mean
Error Mean
4 3
2.5
3
2
2 1.5
1
1
0.5
0 0
0 500 1000 1500 2000 2500 0 500 1000 1500 2000 2500
Nr Nr
(a) (b)
SG, t = 2 SG, t = 100
0.9 0.8
KSG = 2 KSG = 2
0.85
KSG = 3 0.75 KSG = 3
0.8
KSG = 4 KSG = 4
0.7
Error V ariance
Error V ariance
0.75
0.65
0.7
0.6
0.65
0.55
0.6
0.5
0.55
0.5 0.45
0.45 0.4
0 500 1000 1500 2000 2500 0 500 1000 1500 2000 2500
Nr Nr
(c) (d)
Figure 8. Error (on L2 norm) of the variance of the Sobol solutions with respect to the MC solution.
references
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[3] J.G Ferris, D.B. Knowles, and Stallman R. W. Brown, R.H. Theory of Aquifer Test.
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[4] B. Ganapathysubramanian and N. Zabaras. Sparse grid collocation schemes for stochastic
natural convection problems. J. Comput. Phys., 225(1):652–685, 2007.
[5] R. Ghanem and P.D. Spanos. Stochastic Finite Element: A Spectral Aproach. Springer,
New York, 1991.
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