Computational Geosciences (2020) 24:2043–2057

https://doi.org/10.1007/s10596-019-09895-8

ORIGINAL PAPER

Managing geological uncertainty in expensive reservoir simulation

optimization
Kashif Rashid1

Received: 21 September 2018 / Accepted: 30 August 2019 / Published online: 5 February 2020
© Springer Nature Switzerland AG 2020

Abstract
A method to manage geological uncertainty as part of an expensive simulation-based optimization process is presented.
When the number of realizations representing the uncertainty is high, the computational cost to optimize the system can be
considerable, and often prohibitively, as each forward evaluation is expensive to evaluate. To overcome this limitation, an
iterative procedure is developed that selects a subset of realizations, based on a binary nonlinear optimization subproblem,
to match the statistical properties of the target function at known sample points. This results in a reduced-order model that
is optimized in place of the full system at a much lower computational cost. The result is validated over the ensemble of all
realizations giving rise to one new sample point per iteration. The process repeats until the stipulated stopping conditions
are met. Demonstration of the proposed method on a publicly available realistic reservoir model with 50 realizations shows
that comparable results to full optimization can be obtained but far more efficiently.

Keywords Geological uncertainty · Realizations · Expensive · reservoir simulation and optimization

1 Introduction a single simulation-based objective evaluation, comprising

This paper presents a method to manage geological uncer-
tainty in a reservoir simulation process. The uncertainty
is represented in the form of multiple possible realiza-
tions that are usually created as a result of the geostatistics
gathered from core and well log data. Geoscientists can gen-
erate a multitude of realizations that are constrained to the
known data, yet enable the uncertainty in the subsurface to
be considered [1]. In reservoir simulation, each realization
entails a forward evaluation that is often time consuming
to perform. This cost is compounded when tens of real-
izations are considered [2]. Thus, the intent is usually to
provide a sufficient number of realizations that can capture
the uncertainty in the model without unduly affecting the
computational cost expected in evaluating the model under
uncertainty.
The possibility of using hundreds of realizations is
precluded due to the computational cost associated with
 Kashif Rashid
krashid@slb.com
1 Schlumberger-Doll Research, Cambridge, MA,
02139, USA
all the underlying realizations, and, particularly, during
optimization, when many such evaluations are required in
order to reach an optimal solution. This paper presents an
iterative method that serves to identify the least number
of realizations necessary while ensuring the statistical
properties of the objective value are retained to a certain
degree. The method, adaptive reduced-order-modeling
(AROM), is demonstrated on an open-literature reservoir
simulation optimization problem comprising 50 underlying
realizations, along with a simple analytical case with 8
realizations.
2 Background review
An oilfield production system may comprise one or more
reservoir models connected to a surface gathering network
by many wells. Producer wells serve to extract the reservoir
fluids to the surface, while injector wells are used to inject
either water or gas into the formation for pressure manage-
ment purposes. This stimulates the recovery of hydrocar-
bons by ensuring that the oil component flows preferentially
from the reservoir contact zones into the wells and ideally,
up to the surface, and further downstream to a collection
sink [3].
2044
Most often, various types of sub-surface or surface
valves are used to aid the production of reservoir fluids
by controlling well rates and boundary pressure conditions.
That is, flow from zones or wells with undesirable reser-
voir fluids is mitigated in favor of those producing valuable
hydrocarbons. The long-term goal is often to maximize the
net present value (NPV) of the produced hydrocarbons and
in that regard, various design configurations can be tested
by simulation, including consideration of the number and
location of new wells, or other design choices. However, as
reservoir and other petrophysical properties (derived from
logs, cores, sensors, and field data) are riddled with uncer-
tainty, viable decisions from a simulation process cannot
be made in the absence of uncertainty. Geological uncer-
tainty for example is presented in the form of multiple,
possibly equi-probable, realizations of the underlying reser-
voir geology that dictates how the reservoir may behave.
Uncertainty then is considered in the simulation step by
evaluation of all realizations, each requiring an expensive
simulation evaluation, in conjunction with a utility-driven
objective [4].
Mathematically, the forward simulation yields a utility-
based objective value (F ) for a given design imposed by the
set of control variables (X) over the set of all realizations
(ρ) for a given risk-aversion (or confidence) factor (λ).
This results in an expensive simulation-based nonlinear
optimization problem, that is further complicated if some
variables are integer [5]. However, for convenience, and
without loss, only continuous variables are considered in
this discussion.
It can be noted that the solution process entails three
components: (i) the problem definition that is dictated by the
choice of controls, decisions to be made, and the stipulated
objective with constraints; (ii) the solver choice, based on
the availability of gradient information or otherwise; and
(iii) some approximation scheme that may be employed
for computational expediency. In the following, an outline
of key approaches is given as they concern the last two
components (solver and approximation choice), as the
problem definition is assumed known.
The general utility-based optimization problem can be
tackled with a gradient-based approach using derivative
information directly from the simulation process, from
an adjoint scheme, or by numerical perturbation at much
greater cost [6, 7]. However, as this information may be
anticipated with a significant computational cost, along with
the fact that gradient-based methods are prone to become
stuck in local minima, an alternative is to use derivative-free
methods from the outset [8]. This includes the downhill-
simplex method or population-based heuristics, such as
genetic algorithms, simulated annealing, and particle swarm
optimization, that can potentially seek the global solution
[9, 10]. However, these methods typically entail a great
Comput Geosci (2020) 24:2043–2057
number of evaluations which makes them computationally
prohibitive for use without some approximation scheme,
especially when considering uncertainty [5].
The use proxy or surrogate methods (e.g., kriging,
neural-networks, and radial-basis functions) have proven
particularly effective in alleviating the computational cost
associated with optimization and especially when applied
adaptively, where the proxy model is continually refined [2,
5, 11]. However, these methods can be impractical for
problems with high dimensions as the number of samples
required to generate the approximation can be a significant
bottleneck. Here, stochastic approximation and perturbation
methods can be considered better alternatives to manage
problems of scale [12, 13]. The approximate gradient direc-
tion established from an ensemble of evaluations enables a
gradient-based solver to progress effectively, albeit to a local
minimum. The use of covariance matrix adaption evolu-
tion strategy with neighborhood approximation can also be
considered in this category [14].
Another method in this class is the ensemble-based
stochastic gradient scheme known as EnOpt [15, 16]. It
returns an approximate gradient from an approximation
constructed over the sensitivity of the ensemble of controls
using the mean objective values. Each control sample is
drawn from a multi-variate Gaussian distribution in which
the prior mean is updated by iteration. The method maxi-
mizes the expected objective over an ensemble of realiza-
tions and controls. However, it overcomes the computational
burden of necessitating m2 evaluations (with m realiza-
tions per sample) by approximating a robust gradient with
one realization per sample. The stochastic simplex gradi-
ent (StoSAG) method similarly constructs an approximate
gradient [17, 18]. Like EnOpt, it samples a distribution of
the controls and each sample is connected to one underly-
ing realization. Smoothing conditions can be imposed on
the control samples using multipliers, along with cross-
covariance conditions. The authors note that StoSAG over-
comes the limitations imposed by the assumptions in EnOpt
that results in StoSAG and its smoothed variants outper-
forming EnOpt in the tests presented [17]. Nonetheless, both
methods can suffer from drastic control perturbations that
may lower reliability of the approximate gradient derived.
In addition, m realizations are still maintained that can
be costly if a large number of realizations are considered.
Lastly, if sufficiently accurate, the approximate gradient
will only lead to a local solution from the given starting
condition.
Retrospective optimization (RO) is one method that
selects a subset of realizations for analysis and is potentially
better suited to problems with many realizations [19]. A
sequence of problems are solved in which an increasing
number of realizations are selected randomly or using
a clustering scheme on pre-selected static or dynamic
Comput Geosci (2020) 24:2043–2057 2045

reservoir properties. The latter requires the clustering step compactly defined for any subset of selected realizations as
to be repeated more frequently as the control setting will follows:
impact the dynamic properties. Here, each subset gives
rise to an approximation of the real problem that can be max M(X|U, ρ) = M(X|ρ̄)
solved with any type of solver. The result from one problem X ∈ Rn

is marked as the starting point for the next, ultimately, m̄ = m j =1 uj
leading to the final and actual problem comprising all
n = nv (np + nq )
realizations. The authors show that the method is efficient,
particularly when using the clustering scheme during the xiL ≤ xi ≤ xiU i ∈ [1 n] (2)
realization selection step and that a convergent solution where M is the reduced-order model functional of
is established in only a few iterations. This suggests the control variable set X of dimensionality n and ρ̄
that all iterations may not be necessary to reach a represents the compact set of m̄ selected realizations
good solution, potentially making the procedure more {ρ̄1 , ρ̄2 , . . . , ρ̄m̄ }. Thus, the intent is to establish a reduced-
effective when the number of realizations in contention is order representation M with a given U as a proxy to the
large. real problem F . However, the solution to this subproblem
is contingent on some number of known samples that typify
the system behavior and are used to identify U . Hence, the
3 Proposed method latter problem, stated as Eq. 14 below, is solved each time a
new sample becomes available.
3.1 Problem statement
3.3 Sample evaluation
The general optimization under uncertainty problem can be
stated as follows: Evidently, it is incorrect to take a single distribution of
results obtained at a particular design configuration as being
max F (X|ρ) representative of the entire domain. For this reason, the first
X ∈ Rn step of the procedure is to randomly generate S samples
xiL ≤ xi ≤ xiU i ∈ [1 n] (1) in the n dimensional search space. The number of samples
is dictated by computational expediency, but a reasonable
number should be taken to be meaningful. The full model is
where F is the simulation-based functional of the control evaluated for each sample k in S:
variable set X of dimensionality n and ρ represents the set
of m realizations {ρ1 , ρ2 , . . . , ρm }. The ith variable from n Rkj = F (Xk |ρ j )
is bound between xiL and xiU , respectively. j ∈ [1 m]
The conventional approach is to launch an optimization
k ∈ [1 S] (3)
process in which each objective will require m simulation
evaluations (one for each realization) and take a consider- where Rkj is the metric value of the kth sample evaluation
able amount of time to run. For a high-dimensional problem, with the j th realization ρj . Let D represent the set of S
this entails hundreds of simulation evaluations in order to known samples in tabular form. That is, D = [X R]S
reach a solution [2]. Hence, the computational cost involved with D ∈ R[S×(n+m)] . The desired moments can then be
can be considerable. established for each sample as follows:
Although one may resort to the use of high performance
1 
m
computing to run the required simulation evaluations in
parallel for speed-up, another approach is to consider using μk (Rk ) = Rkj (4)
m
j =1
a subset of the realizations in order to approximate the actual
problem for computational advantage. This is the premise 
 
of the proposed method: adaptive reduced-order modeling 1 m
(AROM). σk (Rk ) =  (μk − Rkj )2 (5)
m
j =1

3.2 Reduced-order model
Let us define U ∈ Bm as the array of selected realizations,
such that uj ρj indicates an active realization ρj if uj = 1,
with uj ∈ {0, 1} and j ∈ [1, m]. Let the problem be
where μk and σk are the mean and standard deviation of the
kth sample, respectively, and the utility-based objective is
given by:
fk = μk (Rk ) − λσk (Rk ) = Fλ (Xk |ρ) (6)
2046 Comput Geosci (2020) 24:2043–2057

where λ represents the desired confidence factor in the
solution [4]. Note that the objective concerns the mean
response when λ = 0.
3.4 Realization selection subproblem
Now consider a measure of the desired moments, specified
as follows:
E(U |D) = μ + σ
μ (R, U ) = μ(R) − μ̄(R, U )
σ (R, U ) = σ (R) − σ̄ (R, U )
where μ and σ are the error measures for the first two
moments in the known data R with respect to the full and
reduced model representation, respectively.1 Specified as a
root mean square error, this gives:2

 S
 
μ (R, U ) =  S1
wk (μk − μ̄k )2 (10)
k=1
 tion problem to better states. The reduced problem is
 S
 
σ (R, U ) =  S1 wk (σk − σ̄k )2 (11)
k=1
where wk ∈ [0 1] is a weight term assigned to the kth sample
in R. That is, samples yielding better results can be valued
more highly than those returning less desirable results (e.g.,
assigning lower weights to the random samples generated
in the early stages). The approximated quantities μ̄k and σ̄k
are defined as follows:
Here, the inequality constraints enforce the range of
the permissible number of active realizations during
the search. When m̄L = m̄U , a strict equality results,
forcing only m̄ realizations to be selected. The solution
from Eq. 14 is the set of selected realizations Û . The
realization selection subproblem (14) is a pure-binary
nonlinear constrained optimization problem that neces-
sitates a suitable solver. This can include the use of a
meta-heuristic-based solver or a dedicated integer non-
(7) linear programming solver [20–24]. The former type is
(8) typically more robust under the conditions imposed and
(9) especially with increasing dimensionality. Note that an
optimal solution cannot be guaranteed when m̄ is very
large (in the order of thousands of binary variables) as
Eq. 14 is NP hard.3 However, the set of realizations is
expected to be in the order of hundreds of variables,
which is manageable by most dedicated solvers [20–
23]. In addition, optimality is not a strict requirement
for the subproblem because a near-optimal solution can
be sufficient to drive the reduced-order model optimiza-
then defined:
arg max M(X|Û , ρ) = M(X|ρ̄) (15)
X
as per (2) but with the optimal U established in Eq. 14.
The optimal solution from the reduced model is:
fM = M(X̂ | Û , ρ) (16)

1 
m
μ̄k (Rk , U ) = uj Rkj (12) while the validated result from the full model is:
m̄
j =1

  m fS = F (X̂ | ρ) (17)
1
σ̄k (Rk , U ) =  uj (μ̄k − Rkj )2 (13)
m̄
j =1 An error measure of the model mismatch:
The realization selection subproblem can now be stated as
follows: m = fM − fS  or Xk − Xk−1  (18)

arg min E(U | D, m̄L , m̄U )

U can be used for convergence purposes. When the error is

m greater than a stipulated threshold level, the data repository
s.t. m̄L ≤ uj ≤ m̄U and sample count is updated:
j =1
uj ∈ {0 1} j ∈ [1 . . . m] (14) D = D ∪ [X̂ R] and S = S + 1. (19)

1 The mismatch between the actual and estimated CDF should be used 3 Refers to computational complexity associated with problems that are
if higher moments are required. deemed non-deterministic polynomial time hard, i.e., they cannot be
2 Alternative error measures include SSE, MSE, and MAE. solved in polynomial time.
Comput Geosci (2020) 24:2043–2057 2047

The complete method can now be stated as follows:

S0: set : nv , S, m
T , T , F
s best = 0,
generate : X ∈ R[S×n]
for each sample : Xk k ∈ [1 . . . S] :
eval : F(Xk , ρ) → Rk Fk
store : D = D ∪ [X R]s
S1: solve : arg min E(U | D, m̄L , m̄U ) → Û
U
solve : arg max M(X|Û , ρ) = M(X|ρ̄) → X̂
X
eval : M(X̂|ρ̄) → fM
eval : F (X̂|ρ) → R fS
eval : m = fM − fS  or Xk − Xk−1 
eval : s = fS − Fbest 
update : D = D ∪ [X̂ R] S = S + 1 Fig. 1 Mean response (bold) over all realizations, with optimum
(asterisk) at x̂ = 1.1078 and ŷ = 0.7029
est : D → [Xbest , Rbest , Fbest ]
if : m > m
T go to S1 where F is the mean response of the 8 realizations (fi ) in
the uncertainty set ρ and U is the binary array of selections,
if : s > sT update : m̄L m̄U go to S1
with ui ∈ {0, 1}. The one-dimensional multi-modal function
return : Xbest , Rbest , Fbest is shown in Fig. 1.
if required, update : nv go to S0 (20)
4.2 Analytical results

4 Test study The RO method is applied with three sample paths of 2, 5,

In this section, a simple analytical case with 8 realizations is
used to contrast the RO and AROM methods for illustrative
purposes, followed by the application of AROM on an
open-literature reservoir simulation problem comprising 50
realizations [25, 26].
4.1 Analytical benchmark
and 8 realizations, where the subset realizations are selected
randomly. Evidently, from a random starting point and
using a gradient-based sequential quadratic programming
(SQP) solver, the procedure will converge to the nearest
local minimum (see Figs. 2, 3, and 4). A new region is
never explored as the solution from one problem imposes
the starting condition for the next. Hence, while setting

The analytical test case is given as follows:

1
8
max F (x|U, ρ) = ui fi
8
i=1
x∈R
0.0 ≤ x ≤ 1.2
f1 = −(1.4 − 3.0x)sin(18x)
f2 = −(1.3 − 1.4x)sin(16x)
f3 = −(1.5 − 3.2x)sin(13x)
f4 = −(1.9 − 3.5x)sin(19x)
f5 = −(1.2 − 1.6x)sin(14x)
f6 = −(1.3 − 3.2x)sin(15x)
f7 = −(1.8 − 2.1x)sin(22x)
f8 = −(1.4 − 3.9x)sin(18x) (21) Fig. 2 RO-SQP iteration 1. Solution (asterisk) vs. actual value (circle)
2048 Comput Geosci (2020) 24:2043–2057

Fig. 3 RO-SQP iteration 2. Solution (asterisk) vs. actual value (circle) Fig. 6 RO-GA iteration 2. Solution (asterisk) vs. actual value (circle)

Fig. 4 RO-SQP iteration 3. Solution (asterisk) vs. actual value (circle)

Fig. 7 RO-GA iteration 3. Solution (asterisk) vs. actual value (circle)

Table 1 RO-GA test results

Itn m x̂ M(x̂) F (x̂)

1 2 0.2306 0.8701 0.4920

2 5 1.0799 0.8232 0.6257
3 8 1.1075 0.7029 0.7029

Selected realizations m, approximate model M(x) and actual model

F (x). Selection array by itn: U 1 = [010000010] and U 2 =
Fig. 5 RO-GA iteration 1. Solution (asterisk) vs. actual value (circle) [10111100]
Comput Geosci (2020) 24:2043–2057 2049

Table 2 AROM-GA test results

It Ns m x̂ M(x̂) F (x̂) xbest Fbest

1 3 3 1.1075 1.0266 0.7029 1.1075 0.7029

2 4 3 1.0943 0.8398 0.6842 1.1075 0.7029
3 5 4 1.1399 0.8689 0.5904 1.1075 0.7029
4 6 5 1.1291 0.6732 0.6534 1.1075 0.7029

Samples Ns, realizations m, approximate model M(x) and

and actual model F (x), with best known solution (xbest , Fbest )

random starting points is likely to be beneficial, it defeats

the purpose of the sequence of path problems. The optimum
will only be found if the starting point is perchance well
located. However, this limitation is readily mitigated using a
global (GA) solver, as shown in Figs. 5, 6, and 7. The results
are presented in Table 1.
Results using the AROM scheme are shown in Table 2.
Here, the procedure commences with 3 random samples of
the full model to optimally select three realizations. Subse-
quently, one new sample is added per iteration and 5 realiza-
tions are selected prior to reaching the stopping conditions.
The best known solution (post validation) is shown in the last
two columns of the table, notably identified at the outset. The
AROM progress plots are shown in Figs. 8, 9, 10, and 11.
4.3 Method discussion
Notably, both methods find the expected optimum. Here, a
simple genetic algorithm is used that readily identifies the
global optimum manifest in each iteration. In effect, the
choice and cost of solver application is removed from the
discussion. This leaves the premise behind each method.
Fig. 9 AROM-GA iteration 2. Solution (asterisk) vs. actual value
(circle)
RO stipulates a sequence of path problems a priori, where
the last is the actual problem comprising all realizations. In
that sense, it creates improving initial conditions with which
to solve the actual problem. The number of path problems
and the selection size in RO are user specified. The selection
of realizations is random, as clustering was not applicable.
AROM on the other hand demands a number of samples
S and the starting (minimum) subset size m. m realizations
are then sampled from N, and the resulting ROM is
optimized. The solution is validated to yield one new
sample. This inner loop process (for given m) repeats until
convergence and serves to identify the best solution possible
for k realizations for the given convergence conditions (on
X or M etc.). Here, a norm on X was used since for small

Fig. 8 AROM-GA iteration 1. Solution (asterisk) vs. actual value Fig. 10 AROM-GA iteration 3. Solution (asterisk) vs. actual value
(circle) (circle)
2050
Fig. 11 AROM-GA iteration 4. Solution (asterisk) vs. actual value
(circle)
k, it is less likely that the approximate model M will be
close to the actual model F . The subset size m is then
increased in the outer-loop and the procedure repeats for the
new size m. This AROM process repeats until the outer-
loop stopping conditions are met. That is, when there is little
change in the best known solution (Fbest ) and the expected
marginal gain is minimal. In this regard, AROM can halt
before reaching the full problem, which is useful when N
is large. However, the full model evaluation required, for
initial sample generation and for each validation step, can
be costly for large N since it is assumed that the black-box
Fig. 12 Reservoir model of the Olympus case comprising 11 producer and 7 injector wells. Model dimensions: 118 × 181 × 16 = 341,728 cells.
The grid property shown is permeability
Comput Geosci (2020) 24:2043–2057
Fig. 13 Control variable set by block in the reservoir simulation
schedule deck. Oil rate is set for producers (ORAT) and water rate for
the injectors (RATE)
is evaluated fully. To overcome this limitation, a quadrature
sampling method is suggested in which sample properties
of the black-box model response can be constructed with
an increasing number of realizations. The sampling will
halt when a reasonable estimate is obtained [27, 28]. This
procedure could be used whenever a full model evaluation
is required and N is large.
Comput Geosci (2020) 24:2043–2057
Fig. 14 Example layer slices of
permeability are shown for four
(from 50) realizations
In AROM, the set of samples are used to optimally
pick the subset of realizations for the desired objective of
interest (e.g., NPV), while in RO, the realizations are picked
randomly or on the basis of static (or dynamic) property
clustering. For dynamic properties, each realization must be
evaluated at cost prior to clustering and the result may be
limited as clustering is performed only once per iteration at
a given setting X.
Although any solver can be used, AROM employs an
adaptive proxy optimization scheme to solve each ROM
problem [5]. Here, n + 1 samples are generated, where
n is the number of control variables. This initial data is
used to construct an RBF proxy of the objective surface
M(X) given by the ROM. The proxy training is fast as
only one linear inversion is required for any choice of the
basis spread parameter [5]. In addition, the proxy model can
Fig. 15 Field oil production total (FOPT) with time for all 50 realizations (at the base configuration)
2051
be optimized with minimal cost as the evaluation cost is
cheap. The solution is validated by the ROM M(X) and the
proxy representation is updated with the new sample. The
procedure repeats until convergence to an optimal solution.
The adaptive proxy scheme is by far the most effective
way to treat expensive simulation-based problems, often
requiring only a handful of evaluations in comparison with
the direct application of alternative solvers (e.g., downhill
simplex, GA, ES, and PSO [5]).
4.4 Simulation model
The test problem concerns an open-literature model deve-
loped by TNO/Delft as part of an industry/academia chal-
lenge exercise [25, 26]. Uncertainty is presented in the form
of 50 geologically plausible and equiprobable realizations.
2052 Comput Geosci (2020) 24:2043–2057

Fig. 16 Field water production total (FWPT) with time for all 50 realizations (at the base configuration)

The challenge comprises four levels of study to partitions nv is set as 5 giving a problem dimensionality
demonstrate manual design, optimization by well control, n = 90, and the initial number of samples is set as 12.
field development planning, and lastly, joint field design The first row of the table shows the result for the first
with optimal well control. This work is concerned with the iteration of the procedure. Four realizations are established
well control problem only, where the 11 producers (np ) from the subproblem and the resulting reduced-order model
and 7 injectors (nq ) are at fixed positions with a given drill is optimized using an adaptive radial basis function (RBF)
queue schedule (see Fig. 12). The objective is to maximize proxy method [2, 5]. Here, an initial set of n + 1 samples
the mean net present value (NPV) of the asset over a are used to construct the proxy model of the objective
simulation period of 20 years (details can be found in the obtained from the ROM. The proxy model is optimized
Appendix). The control variables concern the oil rate in each and the solution is validated on the actual problem. The
producer and the water rate in each injector, respectively, proxy model is updated and procedure will repeat until
that can be varied at most once per quarter (see Fig. 13). convergence.
As this granularity results in 1440 variables over a 20- Profiles for the first (and other iterations) are shown
year period, the number of time partitions (nv ) is set to 5 in Fig. 17. The reduced-order model (with 4 realizations)
for computational ease, giving 90 control variables: n =
nv (np + nq ). A single simulation evaluation takes 7 mins Table 3 Model parameters
and hence, a single objective (evaluated sequentially) takes
350 min in this study.4 Four realizations of the model are Label Unit Value
shown in Fig. 14. The variation in the field oil production
Well oil rate sm3/d [10.0 90.0]
total (FOPT) and the field water production total (FWPT)
Injector water rate sm3/d [10.0 1600.0]
over the ensemble of realizations at the base configuration
Max platform rate sm3/d 14000.0
are shown in Figs. 15 and 16, respectively. The model
Produced oil value USD/bbl 45.0
parameters are listed in Table 3 for reference.
Produced water cost USD/bbl 6.0
Injected water cost USD/bbl 2.0
4.5 Simulation results
Discount rate % 8.0
Time period (years) T 20
The AROM procedure described above is applied to the
benchmark test case with 50 underlying realizations [25, No. of producers np 11
26]. The results are presented in Table 4. First, the time No. of injectors nq 7
No. of temporal partitions nv 5
No. of realizations m 50
4 Using an Intel Xeon E5-2667, 2.9GHz, 32GB desktop.
Comput Geosci (2020) 24:2043–2057 2053

Table 4 Iterative reduced-order model method Table 5 Evaluation cost

Itn Samp Realizations Model Actual Err Itn Reals Obj Evals Re-used Net
S ρ̄ M(X|ρ̄) F (X|ρ) m
0 50 12 600 600
M$ M$ %
1 4 254 1016 0 1016
1 12 11 12 40 47 1511.83 1479.67 2.17 50 1 50 0 50
2 13 14 32 42 50 1530.35 1518.07 0.81 2 4 296 1184 364 820
3 14 14 28 32 38 42 1498.36 1488.81 0.64 50 1 50 0 50
4 15 6 16 36 39 47 49 1511.57 1495.78 1.06 3 5 338 1690 364 1326
5 16 31 37 41 42 49 50 1488.21 1488.00 0.01 50 1 50 0 50
4 6 366 2196 364 1832
50 1 50 0 50
returns a value of 1511.83M$, while the actual model (with 5 6 306 1836 364 1472
all 50 realizations) returns a value of 1479.67M$. The 50 1 50 0 50
model error (m ) of 2.17% is shown in the last column. 7316
The procedure is repeated in iteration 2 commencing with Full model 50 150 7500 7500
13 samples (see row 2). Four different realizations are
selected and the model is optimized giving a value of The full model was limited to 150 iterations due to computational cost,
1530.35M$. The actual model returns 1518.07M$ with a and would otherwise have taken much longer for convergence
model error of 0.81%. As this is below the 1% threshold
T ), the number of desired realizations (m̄) is increased in
(m
the third iteration. The procedure repeats, as shown in the evaluations). The reduced-order model of 4 realizations in
table, and is eventually halted as the best known solution the first iteration requires 254 objective calls (1016 sim-
(1518.07M$ established in iteration 2) does not improve ulation evaluations). In the following iteration, the initial
with continued computational effort. Clearly, this stopping data set of 4(N + 1) = 364 evaluations from the first
condition is a trade-off between the expected improvement iteration is re-used to warm-start the proxy model. Thus,
in the result and the computational effort required to the 296 objective calls only require 820 new evaluations.
achieve it. The process repeats in this manner for the other iterations
The number of simulation evaluations per iteration are and the total number of simulation evaluations required
shown in Table 5. Initially, 12 evaluations of the full is 7316. This can be contrasted to the full optimization
model are made to sample the system (600 simulation case using the same adaptive RBF proxy method that ran

Fig. 17 Proxy optimization

profiles are shown for each of
the five iterations performed (as
shown in Table 4). An efficient
adaptive RBF proxy
optimization scheme is used to
solve each subproblem in which
one new sample is added per
iteration. Each case has 90
control variables and uses a
different number of active
realizations. The bold lines
indicate the progress of the best
known solution, while the other
lines show the search
progression
2054
Table 6 Result summary
Case Notes Solution
M$
Single evaluation
Base ORAT=50, RATE=805 1365.43
Reactive ORAT=90, RATE=1600, WECON=0.88 1456.15
Optimization
Proposed start=Base, 7316 evals (best ∼2500) 1518.07
Full start=Base, 7500 evals (best ∼6000) 1508.74
for 150 iterations (each with 50 realizations) requiring
7500 evaluations. Note that this procedure was halted prior
to convergence due to the stipulated maximum number
of iterations and would have required many more objec-
tive calls to reach full convergence. Nonetheless, it shows
that a conventional full optimization approach (using the
same adaptive proxy optimization method) is computa-
tionally expensive when many geological realizations are
involved.
The summary results in Table 6 show that the iterative
procedure obtains a solution comparable with that obtained
by optimizing the full model directly. Moreover, it is able
to find a good solution in ∼ 2500 evaluations after two
iterations (from 7316) compared with full optimization that
finds the best solution after ∼ 6000 evaluations (from
7500). Note also that the full model necessitates 4550 (91 ×
50) evaluations just to kick-start the procedure. Thus, the
iterative procedure has the benefit of potentially yielding
a good solution far more readily and efficiently. This is
especially true if the number of realizations in consideration
is large.
For reference purposes, two single evaluation cases are
also shown in Table 6. The base case is the default starting
case during optimization in which the control variables take
the mid-value of their respective ranges (see Table 3). This
yields a solution of 1365.43M$. In the reactive case, the
oil and water rates are 900 and 1600 sm3 d, respectively.
Here, a default control strategy based on well economic
limits (wecon) is imposed. If the water content of any
well exceeds the 88% limit, the well is automatically shut
down. This simple scheme yields a solution of 1456.15M$.
As expected, the optimized solutions beat the simple
reactive case. Note that while all tests were performed
on a desktop,5 high performance computing (multi-cores,
cloud computing, etc.) can be used to improve the time
cost involved to reach a solution. That is, the sequential
realization evaluation step can be completed in one period
with a parallel capability.
5 Study performed on an Intel Xeon E5-2667, 2.9GHz, 32GB desktop.
Comput Geosci (2020) 24:2043–2057
5 Discussion
The motivation and justification of the proposed scheme
is presented in this section. Geoscientists can generate
many geological realizations of the reservoir in order to
describe and understand the uncertainty in the subsurface
structure (e.g., layering, faults, oil or water saturation,
and other petrophysical properties). However, this leads
to a significant computational cost when a single forward
model is to be evaluated comprising simulation evaluations
for each of the underlying realizations. Moreover, a
great number of forward evaluations are required when
optimizing over uncertainty, where the objective value
is defined by a utility-based measure that accounts for
the degree of certainty in the result [4, 5]. Hence, it
is plausible to seek some subset of the realizations that
embody the statistical properties associated with the desired
outcomes (the NPV objective) while reducing the expected
computational cost.
First, we need a collection of data that represents the
full system. In particular, one must provide a measure
of the distribution of the objective outcomes at various
samples in the search space, since a single sample is patently
insufficient for realization selection. An error measure of
the mismatch in statistical properties is used for selection
purposes. In the limit, we may use all the realizations or
only a single realization. However, as the former is often
impractical and the latter likely to be a very poor estimator,
we instead seek some other small number that can represent
the ensemble of all realizations.
Generally, for m realizations, there are 2m possible selec-
tions (in the definitive binary system) ranging from picking
zero to the entire set. As the number of combinations for
selecting k items from m, given by:
m!
C(m, k) = (22)
k!(m − k)!
can become quite considerable for large m and some given
k, it can quickly become impractical even to undertake an
exhaustive search starting from small values of k. However,
this selection can be made in a more effective manner using
a binary optimization scheme that remains viable for m
of moderate size.6 Thus, a binary nonlinear optimization
problem can be solved to select some k realizations to
minimize the error measure accounting for the resulting
mismatch in the statistical properties compared with the full
ensemble. The solution to this subproblem effectively yields
a reduced-order model that can be optimized in turn as a
proxy to the full model. A new data sample is gathered
6 Advanced binary nonlinear solvers are apt at handling hundreds of
binary variables in reasonable time, e.g. Tabu Search, OptQuest and
LocalSolver.
Comput Geosci (2020) 24:2043–2057
when the solution is validated against the full model, and
the realization selection subproblem can be repeated with
the new data.
Evidently, the best result for k selections will be obtained
after many such iterations, and no further improvement will
be forthcoming unless k is increased. Clearly, in the limit
when k = m, the original problem will appear. However,
the assertion of the proposed scheme is that a good solution
can be obtained with k  m and at a significantly lower
computational cost. For example, if m comprises many
duplicate realizations, including those yielding very similar
results for the stated objective measure, the value of k
required will indeed be much lower. Thus, the proposed
method automatically filters less desirable realizations as
the procedure commences from a low value of k and will
halt when the marginal gain in the best known objective
value no longer warrants further computational effort.
Note that the realization selection subproblem depends
on the number and location of samples. At the outset, the
sample set will be small and randomly generated, but will
improve with respect to the intended objective as more
samples are added by iteration. However, a different set of
initial samples is likely to return a slightly different result.
This observation is true also for full model optimization.
Another point to note is that the starting value and range
for the subset size (k) will dictate the computational cost
required to reach a good solution. Too small a value implies
many iterations, whereas too large a value means greater
evaluation cost. These elements must be considered by the
user as parameters of the method (20).
The prospect of dealing with problems with large m
raises two issues. The first concerns the computational cost
anticipated for each objective evaluation, while the second
concerns the efficacy of solving the large-scale binary
optimization subproblem at each iteration. To alleviate the
cost of the former, a quadrature estimation procedure can be
used to evaluate the model sequentially, in batches of one
or more randomly selected realizations, in order to estimate
the statistical properties at the given configuration [27, 28],
e.g., from a practical perspective, it is sufficient to establish
a good estimate of the distribution of the intended objective.
For the second issue, continuous improvement in solver
capability has allowed consideration of several hundred
realizations and future improvements may well reach a
magnitude higher [29].
Lastly, if the size of m is considered prohibitive, the
procedure could be applied with zero samples and the use of
randomly selected realizations. In particular, the validation
step would be circumvented in favor of selecting a greater
number of realizations per iteration, ultimately, giving rise
to the actual problem. This description is indeed that of the
RO scheme discussed earlier, and in that regard, AROM can
be considered a more general framework.
2055
6 Conclusion
An iterative procedure to manage geological uncertainty
in reservoir simulation was presented in this paper. A
realization selection subproblem is solved at each iteration
using a collection of representative model data. The subset
of realizations selected defines a reduced-order model that
is optimized and compared to the full system. The additional
sample generated during validation is added to the known
data and the process repeats, first, with convergence on
the stipulated subset size, and subsequently, with continued
increments in desired subset size, to a convergent solution.
The procedure stops when the expected marginal gain in
the solution becomes too minimal. Test results on an open-
literature reservoir simulation-optimization model with 50
realizations showed that the iterative method can find a
good solution in a computationally efficient manner as
compared with full optimization. The method should be
used in conjunction with a high-performance computing to
reduce the overall run-time.
Finally, further work is necessary to test the proposed
method on cases with a greater number of realizations and
to qualify the performance in comparison to alternative
schemes.
Acknowledgment Many thanks to William Bailey (Principal Scientist,
Schlumberger-Doll Research) for his insights about the Olympus
Challenge problem. I am also grateful to the anonymous reviewers for
their suggestions on this manuscript.
Appendix
The continuous time net present value (NPV) objective
function used in this study is stated below for completeness:
 t
F (X) = e−rt [ Ω(X, t) − Φ(X, T ) ]dt (23)
0
where Ω(X, t) and Φ(X, t) represent the revenue and cost
streams as a function of time t respectively, given as:
Ω(X, t) = Po Qo (X, t) + Pg Qg (X, t)
Φ(X, t) = Co Qo (X, t) + Cg Qg (X, t) + Cw Qw (X, t) . . .
+Bg Kg (X, t) + Bw Kw (X, t) + Dt
where X is the set of control variables ∈ Rn , T is the
simulation time period, and r is the discount rate. The oil,
gas, and water rates are given by Qo , Qg , and Qw . The
unit market price for oil and gas is denoted Po and Pg ,
respectively, while the costs associated with unit production
of oil, gas and water are given by Co , Cg , and Cw . Kg and
Kw indicate the gas and water injection rates, with unit costs
Bg and Bw , respectively. Lastly, a fixed cost per time-step
is given by Dt . Note that only those items pertinent to the
2056
model are used, as listed in Table 3 and that discrete-time
NPV is anticipated in the Olympus Challenge.
Thus, following the protocols of the well control
problem stipulated by TNO (all wells come on stream
at t = 0), the optimized solution (Table 6) equiva-
lent E(NPV) = $587,875,800 with optimal rig location
[524,134.8 618,0130.9] and drilling cost of $464,101,461.
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Acronyms
AROM - adaptive reduced-order modeling
CDF - cumulative distribution function
ES - evolutionary strategy
FOPT - field oil production total
FWPT - field water production total
GA - genetic algorithm
MAE - maximum absolute error
MSE - mean squared error
NPV - net present value
PSO - particle swarm optimization
RO - retrospective optimization
RBF - radial-basis function
RMSE - root mean squared error
SSE - sum of squared error
SM3D - standard meter cubed per day unit
TS - tabu search
Symbols
Bg - gas injection cost by unit
Bw - water injection cost by unit
Cg - gas production cost by unit
Co - oil production cost by unit
Cw - water production cost by unit
D - set of samples with metric values R[S×(n+m)]
m - model mismatch error measure
mT - model mismatch error measure threshold
s - best known solution error measure
sT - best known solution error measure threshold
μ - error measure of the first moment (mean)
σ - error measure of the second moment (std-dev)
E - function of error measures
fk - utility-based objective function
fM - reduced-model objective value
Comput Geosci (2020) 24:2043–2057
fS - full-model objective value
F - simulation-based NPV function
Fbest - best known solution objective value
i - variable count
j - realization count
k - sample count
Kg - gas injection quantity
Kw - water injection quantity
λ - confidence factor, ∈ [0 1]
m - number of realizations
m̄ - number of selected realizations
m̄L
i - lower bound on the number of selected realizations
m̄U
i - upper bound on the number of selected realizations
M - reduced-order simulation-based NPV function
μk - k-th sample mean
μ̄k - k-th sample mean estimate
n - number of control variables
np - number of producer wells
nq - number of injector wells
nv - number of partitions
N - set of all realizations by index
Ω - profit component of NPV function
Ψ - cost component of NPV function
Po - oil production value by unit
2057
Pg - gas production value by unit
Qo - oil quantity
Qg - gas quantity
Qw - water quantity
ρj - j th realization
ρ - set of discrete uncertainties (realizations)
ρ̄ - compact set selected of realizations
r - discount rate
Rbest - best known solution realization values, Rm
R - set of sample metric values, R[S×m]
σk - kth sample standard deviation
σ̄k - kth sample standard deviation estimate
S - number of samples
t - incremental simulation time period
T - time horizon (years)
U - array of selected realizations, Bm
Û - solution array of selected realizations, Bm
xi - ith variable
xiL - ith variable lower bound
xiU - ith variable upper bound
X - set of control variables, Rn
Xbest - best known solution, Rn
X - set of samples, R[S×n]
wk - kth sample weight, ∈ [0 1]