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Lecture 16:
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
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.
Y (u) Y (u )
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 )
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
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) !!
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
Therefore
Sequential Simulation
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)
Ys (u ) Y (u) R (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
Visit all locations in random order (to avoid artifacts of limited search)
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
5.
6.
Ergodic Fluctuations
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
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
Prerequisites
Work within homogeneous lithofacies/rock-type classification
Model lithofacies first
Sequence stratigraphic framework: Zrel vertical coordinate space
Central Idea
MCS or simulation from a univariate distribution is easy
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)
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
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 )
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
Sequential Simulation
Transform data to standard normal distribution (declustering/debiasing
must be used to get a representative distribution)
1.
2.
3.
4.
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11
Check Results
12
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14