CONSISTENT PARAMETER CHANGES IN GLOBAL OPTIMISATION TECHNIQUES APPLIED TO HISTORY MATCHING

R. Schulze-Riegert, O. Haase, A. Nekrassov (Scandpower GmbH), B.E. Ludvigsen (Scandpower A/S)

1.

Introduction

Evolutionary Algorithms are applied to the problem of history matching in reservoir engineering. Model parameters describing the geology of a reservoir are often not independent. Consequently, individual changes of parameter values generally violate the prior information on parameter distributions. Parameter modifications should therefore be combined with a procedure to keep the model consistent. In this paper different optimisation methods and techniques of statistical analyses are applied to a complex real three phase reservoir. In addition, a concept for a consistent update of model parameters embedded in an optimisation procedure is applied1-4. Global optimisation methods and a Bayesian approach to identify best results are combined to improve the convergence behaviour. Result data generated in the course of an optimisation cycle are used for analysing sensitivities, correlations and trends of model parameters in a global search space. In this work we concentrate on Evolution Strategies5,6 which are generally robust and less sensitive to non-linearities and discontinuities of the solution space. This method is used as part of a Multipurpose Environment for Parallel Optimisation (MEPO). This optimisation environment has previously been applied to various scientific and industrial engineering problems7-9 The main purpose of this paper is to discuss the introduction of a prior objective term10,11 and its effect on stochastic optimisation methods. The methodology used in this work is described in the next chapter. Principals of an Evolution Strategy are covered. A Bayesian optimisation approach is introduced as a mean to improve the convergence behavior and to investigate the solution space. Methods are applied and discussed on the basis of a real three phase reservoir test cases. Finally, conclusions are made. 2. Methodology

The choice of numerical methods supporting the process of history matching in reservoir engineering much depends on the formulation of the problem. The setup of an initial model requires different strategies and information compared to the fine tuning process once an acceptable history match is obtained. There is no tool which covers the whole range of tasks in history matching today. During the initial phase of setting up a reservoir model to be used for reservoir prediction, various combinations of model parameters have to be tested. At this stage several initial configurations are usable. The location of model parameters in a search space of possible realisations which are near optima is not known. Any numerical method which searches for local optima is therefore not appropriate to be used at this stage.

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Once a location of acceptable parameters in the search space is found, local methods can be used to fine tune the model, i.e. to find the nearest optimum near any point in the search space which produces results close to an acceptable solution. Evolutionary Algorithms Evolutionary Algorithms belong to the class of direct search methods. They use only the objective function value to determine new search steps and do not require any gradient information from the optimisation problem. Therefore they can be used in cases for which gradient information are not available and where traditional algorithms fail because of significant non-linearities or discontinuities in the search space. Evolutionary Algorithms have proven to be robust and easy to adopt to different engineering problems. The nature of Evolutionary Algorithms is to use parallel structures in generating parent-to-child sequences. This principal feature can be easily transferred to parallel structures of an optimisation program allowing parallel computing to be used. The scalability of this methodology will have an important effect on the applicability of numerical optimisations in case of very time consuming simulations. Evolution Strategy applied to History Matching Evolution Strategies use continuous and discrete parameters. In this work continuous parameters are generally rock properties, e.g. permeabilities, porosities etc. Discrete parameters can describe for instance the position of a fault or a non-neighbouring connection. Each individual of a population is qualified by an objective function value. A transition function describes a process of transforming a population into a subsequent one by applying mutation operators and selection criteria. This is described in detail in Ref. 7. Objective Formulation The difference between the observed values yobs and calculated values y calc defines the quality of the history match and is described by the objective function Q. In addition, prior information might be available from logs, cores, seismic or geological interpretations. These information are included in the prior objective function which is independent from the observed and calculated measurement values. There are different functional dependencies used in the literature1,10. Most often a quadratic definition of the objective function is used11 defined by
Q= 1 i i y calc y obs C y 2 i, j

)[ ] (y
1 ij

j calc

j y obs +

1 x n x n C xprior 2 n,m

)[

] (x
1 nm

x m ................(1)

i calc

(x) are the calculated values and depend on the model parameters x n .

i Observed values yobs are taken from the production history. The summation indexes i,j refer in general to all wells, measurement values and time steps. The prior objective function includes additional information on the expected average value x n and the correlation matrix C xprior . Both types of information are derived from geostatistics. The summation indexes n,m include all varied model parameters. Assuming that the measurement errors of production data are uncorrelated and that 2 they can be estimated by variances y , the objective function reduces to

Q =
i

i i ( y calc y obs ) 2

[ ]
i y

+ (1 ) ( x n x n ) C xprior
n,m

1 nm

( x m x m ) ...................................(2)

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 y 2 defines the variance of the observed values. In order to simplify the nomenclature, additional weighting and normalisation factors are included in y . defines the relative importance between the likelihood term and the prior term. The
discussion on the relation between the likelihood term and the prior term is a major issue in this paper. 3. Bayesian Optimisation Approach

The following section introduces a statistical approach. It is assumed that all results generated in the course of an optimisation cycle can be used for further analysis to identify best results. Thereby the distribution function is continuously extended by new information. In this context we use the formalism to estimate the maximum likelihood. The likelihood function of an arbitrary parameter vector x is given by

L( x) = L1 exp( Q( x) ) ........................................................................................(3) 0
N

with Q being the objective function of Eq.[1] and L0 being the normalisation factor. For N events, i.e. simulation runs, the factor L0 is calculated by

L0 = exp( Q ( xi ) ) ...........................................................................................(4)
i =1

with N being the number of events or simulation runs within an optimisation cycle. i defines an index for each set of parameters related to a particular simulation run. The maximum likelihood of a given parameter value xn corresponds to the expectation value and is defined by

x n = xin L(xi ) . ..............................................................................................(5)

i =1

In order to obtain a more detailed relation between the maximum likelihood and each partial objective function, the expectation value can also be calculated with respect to each partial objective function, i.e.

n k

= xin Lk ( xi ) ..........................................................................................(6)
i =1

with k being a reference to each partial objective function, e.g. each well or phase etc. x is calculated considering all observed data included in the objective function. In contrast, x n
k

puts a focus on selected observed data only.

xn
k

In this work we calculate

for each partial objective function. The maximum

likelihood value is then calculated from a weighted average. Weights are derived by considering the inverse standard deviation, with the variance given by

[ ] = (x
n 2 k N i =1

n i

n k

) L (x ) .............................................................................(7)
2 k i

The index n describes the kind of parameter and k references each partial objective function. The variance measures the sensitivity of a particular parameter with respect to the predefined objective function. In order to prioritise contributions of the objective

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function which are sensitive to the parameter changes the maximum likelihood is finally calculated by

= x
k =1

n k

n k

k =1

1
n k

..................................................................................(8)

with k indexing all partial objective contributions to the overall objective function. Since each model parameter has an effect only on particular parts of the objective function, e.g. on rates of a few wells, we prefer this representation which prioritises contributions with a small variance. 4. Application

The simulation model is representing a real North Sea Reservoir simulated as a black oil model with three phases: free gas, oil with dissolved gas, and water. It is a complex 3D geological model representing the Middle Jurassic Brent group with several faults and sealed horizontal layers. The reservoir oil is under saturated and the recovery drive mechanism is solution drive and pressure support from gas and water injection. The history matching procedure was applied only to a sector of the full field model in order to reduce simulation time. The sector model has 43.000 active grid blocks. Production data are available for five producers. Three wells in one part of the reservoir mainly inject water and partially water alternating gas. Two wells in the opposite part of the reservoir inject gas and partially water. RFT pressure data are available for six vertical wells and for two horizontal wells. Optimisation I Porosity and Permeability data of the simulation model have been analysed with respect to mean values, variances and correlation. In order to define the parameter search space, multiplier regions are derived from analysing sensitivities and perforated well paths. Regions are horizontally extending over the entire reservoir. Vertically the regions are distinguishing major Brent sequences. Model parameters are chosen to be a realisation of some normal and lognormal distributions, i.e. for porosity and permeability, respectively. Parameter modifiers and prior data derived from the geostatistics are summarised in the table below.
Permeability modifier, 10x Expected Variance Mean 0 0,23 0 0,30 0 0,30 0 0,23 Porosity Multiplier Expected Variance Mean 1 0,25 1 0,17 1 0,17 1 0,25

Region 1 2 3 4

Correlation 0,64 0,60 0,64 0,52

Table 1: Model parameters All prior information captured in table 1 are included into the Prior Objective function of equation (2). Any deviation of model parameters from the prior values will generated a penalty contribution to the overall objective function. The likelihood term of the objective function is defined as a squared sum of differences between measured and calculated values. Pressure data, i.e. repeated formation test data and bottom hole pressure data as well as production gas and water rates are included.

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Scope of the initial optimisation procedure was to improve the pressure match. Therefore pressure data has initially been prioritised in the objective function by adding larger weights compared to production rates. Accordingly, production rate data in the objective function are mainly used for monitoring effects on the production rate data. The driving mechanism for the optimisation was given by the pressure match. The following plot shows the progress of the objective values as a function of iterations.
41 40 39 38 37 36 35 34 1 51 101 151 201 251 301 351 401 451 501 551 601 9

Likelihood Prior

8 7 6 5 4 3 2 1 0

Figure 1: Contributions to the Objective Function The likelihood term (left scale) exceeds the prior term (right scale). As expected, the prior contribution to the objective function starts with low values since the initial starting point is chosen to be in accordance with the prior model.
2 1,5 1 0,5 0 1 -0,5 -1 1,6 1,5 1,4 1,3 1,2 1,1 1 0,9 0,8 1 101 201 301 401 501 601 PORO[1] PORO[2] PORO[3] PORO[4] 101 201 301 401 501 601 PERM[1] PERM[2] PERM[3] PERM[4]

The development of permeability and porosity values are shown in the following plot as a function of iterations. Permeability multipliers start at 0 and are taken as exponentials of the basis 10. Porosity multiplier values start at 1. Either starting point represents the initial model. Variations of model parameters away from the prior model reflect the increase of contributions of the prior objective function as seen in Figure 2.

Figure 2: Model Parameter Variations

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The definition of the objective function leaves some freedom to prioritise either the likelihood term or the prior term. Only a rigorous derivation of the objective function based on Gaussian distribution of parameter values uniquely fixes the factor between the likelihood term and the prior term1. From the practical point of view the question on fixing the coupling factor is not solved10. The progress of the optimisation cycle is driven by the objective function. In case the prior term is emphasized it is unlikely to move away from the initial starting point since all model parameters far away from the prior model are strongly penalized. For stochastic optimisation methods the evolution of the optimisation is guided by changes in objective values of different simulation runs belonging to consecutive generations. In order to describe the effect of changing model parameters we therefore look at relative differences between contributions to the likelihood term compared to the prior term. Differences are calculated for a particular simulation run with respect to the best result of the previous generation. This is shown in the plot below.
100

10

1 1 51 101 151 201 251 301 351 401 451 501 551 601

0,1

Figure 3: Fraction of Differences of Prior over Likelihood contributions A value smaller than one in Fig. 4 indicates that the change of the likelihood term is larger than the corresponding change of contributions coming from the prior term. In that case the progress of the optimisation is guided by the likelihood term. Oppositely, a ratio larger than one indicates that the progress of the prior term primarily influences the optimisation. This can be seen in Fig. 2 compared to Fig. 4, i.e. major changes of the likelihood term are occurring for iterations for which the ratio of changes according to Fig. 4 are smaller than 1. These findings allow to derive a guidance to estimate the weight of the prior function in relation to the likelihood term. Other investigations, cf. Ref. 10, estimate the weight by comparing the success of optimisation runs for different prior weights. However, this procedure can be time consuming. The above findings suggest to analyse expected changes of the prior objective function and relate them to the likelihood term either by general considerations or by running a few test cases. In conclusion this will allows to derive a weight for the prior term. The likelihood contribution to the objective function undergoes major changes as shown in Fig. 2. The complete optimisation cycle is divided into three sections which reflect the three different plateaus. In order to investigate the progress of the

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optimisation, the preferred solutions in each region are estimated by calculating the maximum likelihood according to Eq. 5. Results are summarised in the table below.
PERM1 0,00 -0,06 -0,22 -0,48 PERM2 0,00 0,78 0,91 0,99 PERM3 0,00 -0,06 -0,20 -0,45 PERM4 0,00 0,08 0,14 -0,01 PORO1 1,00 1,00 1,01 1,05 PORO2 1,00 1,01 1,11 1,11 PORO3 1,00 1,01 1,18 1,38 PORO3 1,00 1,02 1,15 1,22

Start Values A: 1-110 B: 111-442 C: 443-620

Table 2: Maximum Likelihood Values for Parameter Multipliers The trend for most parameters moves away from the prior values as the optimisation proceeds. That means, the penalty contribution from the prior term increases and is compensated by an improving likelihood term. In conclusion, the prior term in the formulation of the optimisation problem is important to exclude solutions violating prior information. However, real improvements of the history match are only achieved by moving away from prior average values. This compromise must be met in defining the overall objective function. Optimisation II The first optimisation cycle intended to investigate effects arising from the prior term. In another optimisation cycle a more detailed description of individual layers was introduced. Altogether 12 permeability and 12 porosity multipliers were introduced. Well connection factors are changed simultaneously with permeability values to ensure the consistency of the model. An initial test optimisation was prepared to investigate sensitivities and correlations between partial objective contributions. The following graph shows the distribution of partial objective values from a water production rate of well A and pressure data from well B. The data sets are anti-correlated, i.e. parameter changes as done in the course of the optimisation have opposite effects. In order to minimise opposite trends, a low priority was imposed on either one contribution.
5,5

WPR_WellB

4,5

3,5 3,6 3,7 3,8 3,9 BHP_WellA 4 4,1 4,2

Figure 4: Anti-Correlation between two partial objective contributions In order to reduce the search space, few parameter multipliers with low effects on wells under investigation have been set inactive for the optimisation cycle, i.e. the step size is initially set to be zero. The following plot shows common trends among all partial objective contributions.

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6,5

5,5

BHP_WEST RFT_EAST RFT_NORTH RFT_SOUTH

4,5

3,5

2,5

1,5 1 11 21 31 41 51 61 71 81 91 101 111 121 131 141

Figure 5: Partial Objective Contributions for BHP and RFT Data The overall objective function is reduced by approximately 20%. Individual contributions as shown in Fig.5 are reduced by 15% to 35% with respect to the initial base case result. The parameter space covered in the course of the optimisation is shown in the next plot. Upper and lower curve indicate minimum and maximum values for each parameter. Permeability multipliers are given as exponentials to the basis of 10. Large variations were allowed for one permeability multiplier (Perm[6]), since an pre-analysis of the model has shown, that water break through can be achieved by introducing large permeability gradients between some layers. However, the optimisation has shown that this assumption is not compatible with pressure data, i.e. the initially large multipliers are continuously reduced in the course of the optimisation cycle.
2,5 2,0 1,5 1,0 0,5 0,0 Maximum Minimum

PORO[2]

PORO[3]

PORO[4]

PORO[5]

PORO[6]

PORO[7]

PORO[8]

-0,5 -1,0 -1,5

Figure 6: Minimum and Maximum Values for each Multiplier. Maximum Likelihood Values are shown in dots for each Model Parameter. A maximum likelihood analysis according to Equation (8) has been performed to identify best results. Corresponding values for each model parameter are plotted in Figure 7 (cf. dotted line).

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PORO[9]

PERM[2]

PERM[3]

PERM[4]

PERM[5]

PERM[6]

PERM[7]

PERM[8]

PERM[9]

MEASURED RFT BASECASE HISTORY MATCHING

Figure 7: Match for RFT Values. Selected results are shown in Fig. 7 and 8. The overall result as measured by the objective function has been improved. However, RFT data in Figure 7 also show that certain sections of the pressure data become worse. Reasons for this behaviour are manifold. Each measure data point has the same weight in the objective formulation. Therefore, sections with more measured data points such as in the upper lower part are priorities. This could be compensated by including additional weights. In addition, multipliers for all parameter values are altered irrespectively of changes in neighbouring regions. This might not be a sufficient description. The following plot shows the improvement of the bottom hole pressure for a limited time period which was considered during the optimisation.

Figure 8: Match for Bottom Hole Pressure

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5.

Conclusion

In this work we applied global optimisation techniques to the problem of history matching under the objective of consistent parameter changes. Throughout this work we focus on stochastic optimisation methods such as an Evolution Strategy. The implementation of this methods allows the extensions of the search space with respect to any model parameters. Furthermore, the coupling of parameter changes can be simply implemented, e.g. consistent parameter changes of permeability values and connection factors. Constraints on parameter changes have been enforced by the introduction of a prior function which comprises the static information on model parameters. Effects on the optimisation process are discussed. Results suggest, that the prior function effectively indicates any deviation of the parameter values, e.g. from expected mean values. This information can be either used for monitoring purposes or as a driving term to the optimisation process. In addition, a Bayesian optimisation approach is introduced as an extension to a global search method. It is used for continuous monitoring of results and to identify best sets of model parameters. This method represents an efficient procedure to improve convergence behaviour of global optimisation methods like the Evolution Strategy used in this work. A rather complicated three phase reservoir model has been used as a test case. The potential as well as limits of the application of optimisation techniques are shown, e.g. a detailed analysis of measurement data and a sound understanding of the underlying reservoir model is essential for defining the objective function which effectively drives the optimisation process. The application of optimisation techniques as presented here are used to investigate the parameter space. Limits and deficiencies of the underlying reservoir model with respect to the optimisation potential can be shown by investigating the progress of objective function values. In that context, the Multipurpose Environment for Parallel Optimisation (MEPO) with a flexible link to an industry black oil reservoir simulator has proven to be an efficient tool to support the history matching process 6. Acknowledgements

The authors would like to thank ENI-AGIP, Norsk Hydro, Statoil and TotalFinaElf for supporting this research and development project. The authors also like to thank GeoQuest for the delivery of a simulator test license used in this work. The Multipurpose Environment for Parallel Optimisation (MEPO) is further developed in collaboration with the Institute of Scientific Computing at the Technical University of Braunschweig, Germany. This cooperation is partly financed by the Arbeitsgemeinschaft Industrieller Forschungsvereinigungen. Conclusions and opinions stated in this paper are those of the authors and do not necessarily represent those of the partner companies. 7. References

1. Tarantola, A.: Inverse Problem Theory Methods for Data Fitting and Model Parameter Estimation, Elsevier, Amsterdam (1987)

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2. Christie, M., Subbey, S., Sambridge, M.: Prediction under Uncertainty in Reservoir Modeling, 8th European Conference on the Mathematics of Oil Recovery, Freiberg, Germany, September 3-6, 2002 3. Christie, M., Subbey, S., Sambridge, M.: A Strategy for Rapid Quantification of Uncertainty in Reservoir Performance Prediction, paper SPE 79678 prepared for presentation at the SPE Reservoir Simulation Symposium held in Houston, Texas, U.S.A., 35 February 2003 4. Schulze-Riegert, R., Haase, A. Nekrassov.: Combined Global and Local Optimization Techniques Applied to History Matching, paper SPE 79668 prepared for presentation at the SPE Reservoir Simulation Symposium held in Houston, Texas, U.S.A., 35 February 2003 5. Bck, T.: Evolutionary Algorithms in Theory and Practice, Oxford University Press, Oxford (1996) 6. Goldberg, D.E.: Genetic Algorithms in Search, Optimization and Machine Learning, AddisionWesley, Reading (1989) 7. R.W. Schulze-Riegert, J.K. Axmann, O. Haase, D.T. Rian, Y.-L. You.: Evolutionary Algorithms Applied to History Matching of Complex Reservoirs, SPE Reservoir Evaluation & Engineering (Apr. 2002) 5 (2) 8. Schulze-Riegert, R., Haase, O., Alkan, H., Pusch, G,:Evolution Strategies and Gradient Methods applied to History Matching, Uncertainty Analyses and Production Forecasts, DGMK Spring Conference, Celle, Germany, May 25-26, 2002 (text in German) 9. Axmann, J.K, Parallel Optimization of Technical Systems - Adaptive Evolutionary Algorithms Workstation Clusters and Multi-Processor Systems, Shaker, Aachen (1999) (in German) 10. P.H. Yang, A.T. Watson: A Bayesian Methodology for Estimating Relative Permeability Curves, SPE Reservoir Engineering (May 1991) 11. Brun B., Gosselin O., Barker J.W.: Use of Prior Information in Gradient-Based History Matching,, paper SPE66353 prepared for the SPE Reservoir Simulation Symposium, Houston, February 11-14, 2001 12. J. W. Barker, M. Cuypers, L. Holden: Quantifying Uncertainty in Production Forecasts: Another Look at the PUNQ-S3 Problem, SPE Journal (Dec. 2001)

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