Improved initial ensemble generation coupled with ensemble square root filters and inflation to estimate uncertainty
The performance of the Ensemble Kalman Filter method (EnKF) depends on the sample size compared to the dimension of the parameters space. In real applications insufficient sampling may result in spurious correlations which reduce the accuracy of the filter with a strong underestimation of the uncertainty. Covariance localization and inflation are common solutions to these problems. The Ensemble Square Root Filters (ESRF) is also better to estimate uncertainty with respect to the EnKF. In this work we propose a method that limits the consequences of sampling errors by means of a convenient generation of the initial ensemble. This regeneration is based on a Stationary Orthogonal-Base Representation (SOBR) obtained via a singular value decomposition of a stationary covariance matrix estimated from the ensemble. The technique is tested on a 2D single phase reservoir and compared with the other common techniques. The evaluation is based on a reference solution obtained with a very large ensemble (one million members) which remove the spurious correlations. The example gives evidence that the SOBR technique is a valid alternative to reduce the effect of sampling error. In addition, when the SOBR method is applied in combination with the ESRF and inflation, it gives the best performance in terms of uncertainty estimation and oil production forecast.
KeywordsData assimilation Ensemble Kalman filter Ensemble square root filters History matching
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