Sequential Approach to Covariance Correction for P-Field Simulation

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1 Sequetal Approach to Covarace Correcto for P-Feld Smulato Chad Neufeld ad Clayto V. Deutsch Oe well kow artfact of the probablty feld (p-feld smulato algorthm s a too large covarace ear codtog data. Prevously, we derved a theoretcal correcto to the covarace bas. The correcto was mplemeted va a LU-based smulato ad was lmted to small grds. A mxture model local correcto for the p-feld covarace bas s proposed here. The mxture model correcto ca be used o ay szed grd. Itroducto Probablty feld (p-feld smulato was proposed by Srvastava [5] 99 ad Frodevaux [] 993. P-feld smulato s performed steps: ( the local dstrbutos of ucertaty (codtoal cumulatve dstrbuto fuctos or ccdfs are establshed at each locato, ad ( smulated values are draw from the ccdfs wth correlated uform radom umbers. The radom umbers must be correlated, or the smulated values wll be too radom. A appealg aspect of p-feld smulato s that the ccdfs ca be based o a varety of data sources cludg soft data ad expert udgmet. Probablty feld smulato s attractve because t dssocates the costructo of the ccdfs ad the Mote Carlo samplg from them; however, there are two well kow artfacts of probablty feld (p-feld smulato (Pyrcz ad Deutsch, 000 [4]: ( the local codtog data data almost always appear as local mma ad maxma ad ( the covarace s ot reproduced the presece of codtog data. The frst artfact wll ot be covered ths paper. Jourel proved that p-feld smulato correctly reproduces the put varogram the ucodtoal case [3]. Ths s ot very practcal whe attemptg to geerate codtoal smulatos. I the presece of codtog data, the covarace feld becomes o-statoary. The covarace values close to codtog data are qute dfferet compared to far away from codtog data. The o-statoary covarace depeds o the data cofgurato ad the varogram used for the smulato. The o-statoary covarace feld s correctly reproduced sequetal Gaussa smulato because prevously smulated odes are used the estmato of other odes. Usually, the correlated feld of radom umbers used p-feld smulato s geerated usg a statoary covarace matrx. Ths gves codtoal p-feld smulated values the correct covarace. I a prevous paper [5] we derved a correcto for the p-feld covarace bas problem. The correcto was calculated as a fucto of the codtog data uder a multvarate Gaussa framework. The correcto algorthm was appled a LU-based smulato program ad allowed small felds to be smulated ucodtoally accoutg for the codtog data. By usg ths corrected ucodtoal smulato, the output codtoal p-feld smulato had the correct covarace. However, the LU-based approach lmted the sze of the feld that could be cosdered. I ths paper we wll preset a approxmate local correcto for p-feld. Although t s ot as theoretcally vald compared to the prevous correcto, t allows larger felds to be smulated. Covarace betwee Smulated Values a Multvarate Gaussa Settg Cosder smulatg N locatos wth codtog data. The covarace matrx betwee the data s defed usg the modeled covarace fucto. The x covarace matrx betwee the data s: C ( ( C u u C u u = C( u u C( u u (

2 where C(u u s the covarace fucto for the dstace betwee data locatos ad. Cosder the covarace matrx betwee the data ad the N locatos beg smulated: ( ( N C( u u C( u u C = ( ( N C u u C u u ( ( ( where C(u u ( s the covarace fucto for the dstace betwee the data locato ad the locato beg smulated. Cosder the covarace matrx betwee the N locatos beg smulated: ( ( ( ( N C( u u C( u u C = (3 ( N ( N N ( ( ( ( C u u C u u where C(u ( u ( s the covarace fucto betwee the locatos beg estmated. By combg Equatos (, (, ad (3 we ca obta a expresso for the codtoal covarace matrx of the N pots beg smulated gve the data: C = C C C C ( ( N ( u,, u u,, u T It s terestg to ote that the term C C s the soluto the of the N smple krgg systems: Substtute Equato (5 to Equato (4: C = C C ( ( N ( u,, u u,, u T [ λ] C C [ λ] (4 = (5 ( ( ( ( ( ( N λα C uα u λα C uα u α= α= = C ( ( ( ( λ C( u u N N C( u u N α α λα α α= α= Next, substtute the krgg equatos to Equato (6. Recall the smple krgg system of equatos: λβcαβ = Cα0 α =,, (7 β = After the substtuto, the smplfed expresso for the codtoal covarace betwee locatos ad s: (6 C ( ( N ( u,, u u,, u α= β= α= β= = C ( ( ( N ( λα λβ C( uα uβ λα λβ C( uα uβ ( ( N ( N ( N λα λβ C( uα uβ λα λβ C( uα uβ α= β= α= β= The codtoal covarace betwee two smulated odes smplfes as: (8

3 ( ( (, u u u,, u ( ( = λα λβ αβ α= β= C C C (9 Ths meas that the codtoal covarace betwee pots beg smulated the presece of codtog data s exactly kow. It s a fucto of the covarace betwee the data values ad of the covarace betwee the data ad locatos beg estmated. Note that whe there are o codtog data for the locatos ad, the correct covarace s the put covarace. Covarace betwee Smulated Values usg P-Feld Now that we have a expresso for the codtoal covarace betwee locatos a multvarate Gaussa settg, we eed to determe the covarace betwee smulated locatos p-feld. For the p-feld proof we wll oly cosder two locatos, ad, wth a multvarate Gaussa settg. Estmatg the local ccdfs s the frst step for p-feld smulato. Smple krgg ca be used to estmate the mea ad varace at each locato gve the codtog data. The mea ad varace completely defe the ccdf a multvarate Gaussa settg. The ccdfs at the locatos are: * σ = ( λα α α = Y = m = Y ( λα α = C α ( * σ = ( λα α α = Y = m = Y ( λα α = Usg the ccdfs from Equato (0, the p-feld smulated values at each locato are: Y = m + σ Y cs( s( Y = m + σ Y cs( s( C α ( (0 ( where Y s( ad Y s( are ucodtoally smulated values at locatos ad respectvely. The ucodtoally smulated values have a specfc correlato structure ad are ormally dstrbuted wth a mea of 0 ad a varace of. The covarace betwee Y cs( ad Y cs( s: { (, ( } = { ( cs cs cs cs( } cs( cs { } { ( } {( σ ( ( σ ( } { σ (} { σ s s s s( } { σ ( σ ( σσ s s s( s( } { } { } { σσ s ( s( } { } { } { } Cov{ Ys ( Ys( } Cov Y Y E Y Y E Y E Y = E m + Y m + Y E m + Y E m + Y = E mm + m Y + m Y + Y Y E m E m = E Y Y + E mm E m E m = σσ { } = σσ Cov h The expected values step 4 of Equato ( cacel out because m ad m are costats. The covarace betwee locatos p-feld smulato s a fucto of the stadard devato at each locato ad the covarace of the radom feld betwee the locatos. We eed to correct the covarace of the radom feld so that the output covarace from p-feld s correct. No-Statoary Covarace Correcto We ow kow the covarace betwee locatos ad from p-feld, Equato (, ad the correct covarace betwee the locatos, Equato (9. Recall: Covpfeld { Y (, Y ( } = σσ Cov{ Y (, Y cs cs s s( } ( 3

4 ( ( correct ( (, ( = cs cs λα λβ αβ α= β= Cov Y Y C C We ca defe a corrected covarace for the ucodtoal smulato that wll provde the correct covarace the output p-feld smulato. Set the p-feld corrected covarace to the codtoal covarace from Equato (9: (, = pfeld corrected cs cs rearrage ad substtute the p-feld covarace: ( ( λα λβ αβ α= β= Cov Y Y C C { } ( ( λα λβ αβ = σσ (, s s( α= β= C C Cov Y Y rearrage to get a corrected covarace for the ucodtoal smulato that wll gve p-feld smulato the correct o-statoary covarace feld: Cov Y { (, Y s s( } C = ( ( λα λβ Cαβ α= β= σσ (3 The corrected covarace for the ucodtoal smulato wll gve the p-feld codtoal smulatos the correct spatal structure. Next, we preset method to geerate a ucodtoal smulato wth a ostatoary covarace matrx. Mxture Model Correcto The large feld covarace correcto s based o a mxture model. The mxture model ams to approxmate the locato correcto from Equato (3. Oe compoet of the mxture s a stadard ucodtoal smulato ad the secod compoet s a radom feld. By combg these two compoets, we ca approxmate the theoretcal local p-feld covarace correcto. Let Y be a Gaussa ucodtoal smulato wth a covarace fucto C ( h = γ ( h. The let Y be a radom Gaussa feld that s N (0, ad has a covarace fucto C ( h = 0 h > 0. The combato of the Y ad Y wll be the corrected ucodtoal smulato for use wth p-feld. The combato of the Y ad Y s doe wth Equato (4: ( = ( ( + ( ( Y u Y u f u Y u f u (4 3 Where f(u s a weght appled to the radom feld ad -f(u s the weght appled to the correlated ucodtoal smulato. We kow from the theoretcal correcto that areas wth lttle to o codtog data, o correcto s eeded. I areas wth dese codtog data a large covarace correcto s requred. For ths reaso, f(u s calculated as a fucto of the krgg varace calculated from the codtog data. Let f(u take the followg form (Equato (5: f ( ( = σ ( u ω u a (5 Y 0 Where ω ad a 0 are calbrato parameters to cotrol the correcto. There s o method to drectly calculate ether ω or a 0. Several calbrato rus wll be requred to get correct values for ω or a 0 that result the correct spatal structure the resultg codtoed model. 4

5 Large Scale Ucodtoal Smulato The p-feld smulato program (pfsm from GSLIB was modfed to perform the mxture model correcto. The modfed program s called pfsm_cc.for (pfsm ucodtoal corrected covarace. The parameters for the program are: Le START OF PARAMETERS: -=cotuous(cdf, 0=categorcal(pdf -=dcator ccdfs, 0=Gaussa (mea,var umber thresholds/categores thresholds / categores 5 cluster.dat -Wth-class detals: fle wth global dst vr, wt mmum ad maxmum Z value lower tal: opto, parameter mddle : opto, parameter upper tal: opto, parameter kt3d.out -fle wth put codtoal dstrbutos - colums for mea, var, or ccdf values 3 -.0e.0e - trmmg lmts 4 sgsm.out -fle wth put p-feld realzatos 5 - colum umber p-feld fle 6 0-0=Gaussa, =uform [0,] 7 pfsm.out -fle for output realzatos 8 -umber of realzatos x, y, z omega ad alpha The parameters o Les -9 are the same parameters as the pfsm program; refer to [] for detals. The calbrato parameters are specfed o Le 0. Curretly, the program oly allows for Gaussa codtoal dstrbutos. The varace compoet of the dstrbuto s used for the local correcto. Example The example shows that the covarace artfact from p-feld ca be corrected wth the mxture model approach. The effects that the calbrato parameters have o the resultg spatal structure are show ad the results from the tradtoal p-feld approach are compared to the results from the calbrated mxture model Ths example uses the cluster.dat data fle from the GSLIB book []. We check the varogram reproducto for sequetal Gaussa smulato, p-feld smulato wth the statoary covarace, ad p-feld wth the mxture model correcto. I addto, we eed to ru a pre-processg step to get values for ω ad a 0 that gve good varogram reproducto. Fgure shows the ormal score data from cluster.dat. Fgure shows the sotropc varogram: ( h = + sph ( h γ a= 0 Fgure 3 ad Fgure 4 show the ccdf s for p-feld. The ccdfs are calculated from smple krgg of the ormal scores. Several calbrato rus had to be made to get values for ω ad a0. The calbratos rus were for a large rage of ω ad a0 values. ω raged from 0.0 up to 0 ad a0 raged from 0.0 to.8. Fgure 5 to Fgure 8 show 4 dfferet cases from the calbrato. The calbrato parameters have a large mpact o the varogram of the codtoed smulato. The combato of ω=4 ad a0=.8 was chose from the results of the calbrato rus. The sequetal Gaussa smulato results are show Fgure 9 ad Fgure 0. The varogram reproducto s acceptable wth ormal fluctuatos. Fgure ad Fgure show the p-feld smulato results usg a ucorrected ucodtoal covarace feld. The varograms from the smulato are too cotuos. I other words the codtoal smulato s too smooth. The mxture model corrected p-feld results show a marked mprovemet for varogram reproducto; Fgure 3 ad Fgure 4. The shape of the varogram s ot perfect, but t s closer to the put model tha the tradtoal p-feld smulato. The corrected varogram has a Gaussa-lke shape ear a lag dstace of zero. 5

6 Coclusos Lke all geostatstcal methods, p-feld algorthms have ther place. There are artfacts that practtoers must be aware of whe usg p-feld: ( data appear as local mma ad maxma, ad ( the covarace s too smooth the presece of codtog data. Prevously, a theoretcal o-statoary covarace correcto was derved for p-feld smulato. Ths correcto worked very well but was lmted due to the LU mplemetato. Large grds (more tha 0,000 cells could ot be smulated. The mxture model approach preseted here allows a o-statoary correcto to be appled to large smulato models. Ths allows for p-feld models to be costructed wthout the kow covarace bas. Although ths correcto s ot exact, t should produce better results tha tradtoal p-feld wth ts covarace bas. Refereces [] C. V. Deutsch ad A. G. Jourel. GSLIB: Geostatstcal Software Lbrary ad User s Gude. Oxford Uversty Press, New York, d edto, 998. [] R. Frodevaux. Probablty feld smulato. I A. Soares, edtor, Geostatstcs Troa 99, volume, pages Kluwer, 993. [3] A G. Jourel. Probablty felds: Aother look ad a proof. I Report 8, Staford Ceter for Reservor Forecastg, Staford, CA, May 995. [4] M. P. Pyrcz ad C. V. Deutsch. Two artfacts of probablty feld smulato. Math Geology, 33(7: , 00. [5] C. Neufeld, J. M. Ortz ad C. V. Deutsch. A No-Statoary Correcto of the Probablty Feld Covarace Bas. I Aual Report 7, Cetre for Computatoal Geostatstcs, Edmoto, AB, 005. [6] R. M. Srvastava. Reservor characterzato wth probablty feld smulato. I SPE Aual Coferece ad Exhbto, pages , Washgto, DC, October 99. Fgure : Data from cluster.dat. Fgure : Isotropc varogram. 6

7 Fgure 3: Smple krgg estmate. Fgure 4: Smple krgg estmato varace. Fgure 5: Varogram reproducto wth ω=.0 ad a0=0.4. Fgure 6: Varogram reproducto wth ω=.0 ad a0=.6. Fgure 7: Varogram reproducto wth ω=6.0 ad a0=0.4. Fgure 8: Varogram reproducto wth ω=6.0 ad a0=.6. 7

8 Fgure 9: SGSIM Realzato. Fgure 0: SGSIM varogram reproducto. Fgure : Ucorrected PFSIM realzato. Fgure : Ucorrected PFSIM varogram reproducto. Fgure 3: Corrected PFSIM realzato. Fgure 4: Mxture model corrected PFSIM varogram reproducto 8

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