Hierarchical Acceleration of Multilevel Monte Carlo Methods for Computationally Expensive Simulations in Reservoir Modeling

Thursday, 18 December 2014: 4:30 PM
Guannan Zhang1, Dan Lu2 and Clayton Webster2, (1)Oak Ridge National Lab, Oak Ridge, TN, United States, (2)Oak Ridge National Laboratory, Oak Ridge, TN, United States
The rational management of oil and gas reservoir requires an understanding of its response to existing and planned schemes of exploitation and operation. Such understanding requires analyzing and quantifying the influence of the subsurface uncertainties on predictions of oil and gas production. As the subsurface properties are typically heterogeneous causing a large number of model parameters, the dimension independent Monte Carlo (MC) method is usually used for uncertainty quantification (UQ). Recently, multilevel Monte Carlo (MLMC) methods were proposed, as a variance reduction technique, in order to improve computational efficiency of MC methods in UQ. In this effort, we propose a new acceleration approach for MLMC method to further reduce the total computational cost by exploiting model hierarchies. Specifically, for each model simulation on a new added level of MLMC, we take advantage of the approximation of the model outputs constructed based on simulations on previous levels to provide better initial states of new simulations, which will help improve efficiency by, e.g. reducing the number of iterations in linear system solving or the number of needed time-steps. This is achieved by using mesh-free interpolation methods, such as Shepard interpolation and radial basis approximation. Our approach is applied to a highly heterogeneous reservoir model from the tenth SPE project. The results indicate that the accelerated MLMC can achieve the same accuracy as standard MLMC with a significantly reduced cost.