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MIN E 612: GEOSTATISTICAL METHODS

Lecture 16:

Sequential Gaussian Simulation

Estimation versus Simulation


Smoothing of Kriging
Covariance between Kriged Estimates
Monte Carlo Simulation
Sequential Gaussian Simulation

Estimation versus Simulation

Petrophysical Property Modelling


Estimation:
honors local data (with discontinuity)
locally accurate
smooth appropriate for visualizing trends
inappropriate for flow simulation
no assessment of global uncertainty
Simulation:
honors local data
reproduces histogram
honors spatial variability appropriate for flow simulation
alternative realizations possible change random number seed
assessment of global uncertainty is possible

Smoothing Effect of Kriging

Kriging is locally accurate and smooth, appropriate for visualizing trends,


inappropriate for process evaluation where extreme values are important

The variance of the kriged estimates is too small:


2
Var{Y (u)} SK
(u )

2 is complete variance
2
SK
(u) is zero at the data locations no smoothing

2
SK
(u) is variance 2 far away from data locations complete
smoothing

spatial variations of SK (u) depend on the variogram and data spacing


2

Smoothing Effect of Kriging

2
Missing variance is the kriging variance SK
(u)

The idea of simulation is to correct the variance and get the right
variogram

Ys (u ) Y (u ) R (u )
where R(u) corrects for the missing variance
variance.

Simulation reproduces histogram, honors spatial variability (variogram)


appropriate for process evaluation

Allows an assessment of uncertainty with alternative realizations

We will see simulation later - recognize that the smoothing effect of


kriging can be quantified

Covariance Reproduction and


Kriging

Y (u) Y (u )

Recall the simple kriging estimator:

and the corresponding simple kriging system: C (u u ) C (u u ) u


1

Lets calculate the covariance between the kriged estimate and one of
the data values:

Cov Y * (u ), Y (u ) E Y * (u ), Y (u )

n
E 1 Y (u ) Y (u )

1 E Y (u ) Y (u )
n

1 C (u , u )
n

C (u , u )

Covariance Reproduction and


Kriging

The covariance is correct! Note that the last substitution comes from
the kriging equations shown at the top of the page.

The kriging equations forces the covariance between the data values
and the kriging estimate to be correct

Three parts of covariance in kriged models:


between data values correct
between data values and predicted values correct
between predicted values incorrect

Note also that variance of kriged estimates is too small

Addition of Missing Variance

The variance of our random function: 2 C (0)

Stationary variance should be constant everywhere:

2 (u) 2 u A

Although the covariance between the kriged estimates and the data is
correct, the variance is too small:
2
Var{Y (u)} C (0) SK
(u )
2
the missing variance is the kriging variance SK
(u) !!

We need to add back in the missing variance without changing the


covariance reproduction

Addition of Missing Variance

Add an independent component with zero mean and the correct


variance:

Ys (u ) Y (u ) R (u )

Covariance is unchanged:

Cov Ys (u ), Y (u ) E Ys (u ), Y (u )

n
E 1 Y (u ) R(u ) Y (u )

1 E Y (u ) Y (u ) E R(u ) Y (u )
n

note that E{R(u) Y (u )} E{R(u)} E{Y (u )}, since R(u) is random

E{R(u)} 00 E{R(u) Y (u )} E{R(u)} E{Y (u )} 0

Therefore

Cov{Ys (u) Y (u )} Cov{Y (u) Y (u )} C (u) Y (u )}

Sequential Simulation

Transform data to standard normal distribution (all work will be done in


normal space)

Go to a location and perform kriging to get mean and corresponding kriging


n
variance:
Y (u) Y (u )
1

2
SK
(u) C (0) C (u u )

Draw a random residual R(u) that follows a normal distribution with mean of
2
0.0 and variance of SK
(u)

Add the kriged estimate and residual to get simulated value:

Ys (u ) Y (u) R (u)

Note that Ys(u) could be equivalently obtained by drawing from a normal


2
distribution with mean Y*(u) and variance SK
(u)

Sequential Simulation

Add Ys(u) to the set of data to ensure that the covariance with this
value and all future predictions is correct

A key idea of sequential simulation is to use previously


kriged/simulated values as data so that we reproduce the covariance
between all of the simulated values!

Visit all locations in random order (to avoid artifacts of limited search)

Back-transform all data values and simulated values when model is


populated

Create another equiprobable realization by repeating with different


random number seed

Why Gaussian Simulation?

Local estimate is given by kriging

Mean of residual is zero and variance is given by kriging; however,


what shape of distribution should we consider?

Advantage of normal / Gaussian distribution is that the global N(0,1)


distribution will be preserved if we always use Gaussian distributions

Could derive theory in terms of the multivariate Gaussian distribution


(see early lectures)

Transform data to normal scores in the beginning (before variography)

Simulate 3-D realization in normal space

Why Gaussian Simulation?

Back-transform all of the values when finished

Price of mathematical simplicity is the characteristic of maximum spatial


entropy, i.e., low and high values are disconnected. Not appropriate for
permeability.

Of all unbounded distributions of finite variance, the Gaussian distribution


maximizes
i i
entropy:
t

lnf ( z ) f ( z )dz

Consequences:
- maximum spatial disorder beyond the variogram
- maximum disconnectedness of extreme values
- median values have greatest connectedness
- symmetric disconnectedness of extreme low / high values

Steps in Sequential Gaussian


Simulation
1.
2.
3.
4.

5.

6.

Transform data to normal space


Establish grid network and coordinate system (-space)
Assign data to the nearest grid node (take the closest of multiple data
assigned to the same node)
Determine a random path through all of the grid nodes
construct the conditional distribution by kriging
p
y simulated g
grid nodes
find nearbyy data and previously
draw simulated value from conditional distribution
Check results
honor data?
honor histogram: N(0,1) standard normal with a mean of zero and
a variance of one?
honor variogram?
honor concept of geology?
Back transform

Some SGSIM Realizations

Variogram is very important


Assumes that the property is
stationary

Ergodic Fluctuations

Expect some statistical fluctuation in the input statistics

Review of Main Points

Kriged estimates are too smooth and inappropriate for most engineering
applications
Simulation corrects for this smoothness and ensures that the variogram /
covariance is honored
There are many different simulation algorithms sequential Gaussian is
simple and most widely used
Kriging forces the covariance between the data values and kriged estimates
to be correct
Total variance at each location should be stationary variance
Sequential simulation:
Add random component to kriged estimates without changing covariance
Simulated values are kriged estimates plus random component (that corrects for
smoothing / missing variance)
Add simulated data values to data so that covariance between the simulated
values is correct, that is, proceed sequentially
Use Gaussian / normal distribution for residuals so that final histogram is correct
Consequence of Gaussian distribution is maximum entropy / disorder beyond
variogram

Centre for Computational Geostatistics (CCG)

Fundamentals of Geostatistics
Sequential Gaussian Simulation

Principle of Simulation
Prerequisites
MCS from High Dimension Distributions
Sequential Gaussian Simulation
Some Implementation Details
1

Estimation is locally
accurate and smooth,
appropriate for visualizing
trends, inappropriate for
engineering calculations
where extreme values are
important, and does not
assess global uncertainty
Simulation reproduces
histogram, honors spatial
variability (variogram),
appropriate for flow
simulation, allows an
assessment of uncertainty
with alternative realizations
possible
2

Preliminary Remarks
Kriging is smooth but is entirely based on the data
Kriging does not reproduce the histogram and variogram
Simulation is designed to draw realizations that reproduce the data,
histogram and variogram
The average of multiple simulated realizations is very close to kriging
Although multiple simulated realizations average to kriging, the
average behavior of multiple realizations may be very different
from that of the kriged model
The advantages of simulation are:
Heterogeneity
Uncertainty

The price is non-uniqueness


3

Prerequisites
Work within homogeneous lithofacies/rock-type classification
Model lithofacies first
Sequence stratigraphic framework: Zrel vertical coordinate space

Clean data: positioned correctly, manageable outliers,


Need to understand special data:
trends
production data
seismic data

Considerations for areal grid size:


practical limit to the number of cells
need to have sufficient resolution so that the upscaling is meaningful
this resolution is required even when the wells are widely spaced
(simulation algorithms fill in the heterogeneity)

Work with grid nodes and not grid blocks:


assign a property for the entire cell knowing that there are sub-cell
features
4

Central Idea
MCS or simulation from a univariate distribution is easy

MCS from a very high dimensional distribution is more complex


Must ensure the relationship between all values
Require a multivariate distribution model to sample from

Adopt the Gaussian model because it is the only practical one


Work within facies
Normal score transform all variables

Sequential simulation can be thought of as a recursive decomposition


of a multivariate Gaussian distribution by Bayes Law
5

Bayes Law
The arithmetic of
probability:

P( A | B)

P( A and B)
P( B)

P( B | A)

P( A | B)

P( B | A) P ( A)
P( B)

P( A and B)
P( A)

Must restandardize multivariate probabilities once we know something


has occurred
Using definition of conditional probability:

P( A , B) P( B | A) P( A)
P( A , B, C ) P(C | A, B) P( B | A) P( A)
Apply Bayes Law recursively

Sequential Conditional Simulation

Consider N dependent events Ai, i=1,,N that we want to simulate


From recursive application of Bayes law:
P( A1 ,..., AN )

P ( AN | A1 ,..., AN 1 ) P( A1 ,..., AN 1 )
P ( AN | A1 ,..., AN 1 ) P( AN 1 | A1 ,..., AN 2 ) P( A1 ,..., AN 2 )

P ( AN | A1 ,..., AN 1 ) P( AN 1 | A1 ,..., AN 2 ) P( A2 | A1 ) P( A1 )

Proceed sequentially to jointly simulate the N events Aj:


Draw A1 from the marginal P(A1)
Draw A2 from the conditional P(A2 |A1=a1)
Draw A3 from the conditional P(A3 | A1=a1 ,A2=a2)

Draw AN from the conditional P(AN | A1=a1 ,A2=a2 ,,AN-1=aN-1)

This is theoretically valid with no approximations/assumptions


7

More Sequential Simulation

Sequential approach requires:


Knowledge of the (N-1) conditional distributions
N simulations with increasing conditioning (larger and larger systems)
Solution to size problem is to retain only the nearest conditioning values
Condition to prior data:
Partition N into n prior and N-n events to be simulated
Start at n+1 and require N-n conditional probabilities
Sequential indicator simulation for categorical variables is common
Sequential Gaussian simulation is widely used:
Determine each conditional distribution by multivariate Gaussian model
Virtually all continuous variable simulation is Gaussian based
ANSI standard algorithm
Equivalent to turning bands, matrix methods, moving average
methods,

Multivariate Gaussian Distribution

Where:
d is the dimensionality of vector x
is a (d x 1) vector of mean values,
is a (d x d) matrix of covariance values, and
|| is the determinant of .

f ( x)

1 [ x2 / 2]
e
2

The diagonal elements of are the variances of the corresponding


component of x.

The basic approach (whether stated clearly or not):

Transform variables one-at-a-time to a Gaussian distribution (see next)


Establish mean and variance values (0 and 1 for standard Gaussian)
Establish the covariances between the variables
Perform mathematical calculations to infer at unsampled locations, simulate,
Back transform to original units

Sequential Simulation
Transform data to standard normal distribution (declustering/debiasing
must be used to get a representative distribution)
1.
2.
3.
4.

Go to a location u and perform kriging to get mean and corresponding


kriging variance (require a representative local mean and variogram)
Draw a random residual R(u) that follows a normal distribution with mean of
0.0 and variance of 2SK(u)
Add the simulated value to the set of data
Loop over all locations

Back transform results when finished

10

Some Implementation Details


The sequence of grid nodes to populate:
Random to avoid potential for artifacts
Multiple grid to constrain large scale structure

Assign data to grid nodes for speed


Keep data at their original locations if working with a small area
Search to variogram range and keep closest 20-40 data to calculate
local mean and variance
Could make the mean locally varying

11

Check Results

Check in normal units and in original units


Reproduce data at their locations?
Reproduce histogram, N(0,1), over many realizations?
Reproduce variogram?
Average of many realizations equal to the kriged value?

Expect statistical fluctuations in the output statistics particularly


when the domain size is small relative to the variogram

12

Different Simulation Algorithms


There are alternative Gaussian simulation techniques:

Matrix Approach LU Decomposition of an N x N matrix


Turning Bands simulate the variable on 1-D lines and combine in 3-D
Spectral and other Fourier techniques
Fractal techniques
Moving Average techniques

All Gaussian techniques are fundamentally the same since they


assume the multivariate distribution is Gaussian
Sequential Gaussian Simulation widely used and recommended
because it is theoretically sound and flexible in its implementation

13

Review of Main Points


Continuous variable modeling:
Work within homogeneous stationary subsets
Grid system that facilitates data integration

Estimation is not appropriate for most engineering applications


Simulation is useful for quantifying uncertainty on a response
variable (reproduce spatial variability)
Sequential simulation decomposes the multivariate distribution
into a sequence of univariate conditional distributions
Gaussian simulation is used because of its nice properties
All conditional distributions are Gaussian in shape
Conditional mean and variance are given by normal equations
(called simple kriging in geostatistics)

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