SPE Journal
Volume 15, Number 2, June 2010, pp. 569-580

SPE-125851-PA

Hierarchical Ensemble Kalman Filter

  • Inge Myrseth, Norwegian University of Science and Technology
  • Henning Omre, Norwegian University of Science and Technology

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DOI  More information 10.2118/125851-PA http://dx.doi.org/10.2118/125851-PA

Citation

  • Myrseth, I. and Omore, H. 2010. Hierarchical Ensemble Kalman Filter. SPE J.  15 (2): 569-580. SPE-125851-PA. doi: 10.2118/125851-PA.

Discipline Categories

  • 6.8 Fundamental Research in Reservoir Description and Dynamics
  • 6.6 Reservoir Monitoring/Formation Evaluation
  • 6.6.6 Seismic (Four Dimensional) Monitoring

Keywords

  • Reservoir Description and Dynamics

Summary

This paper presents the hierarchical ensemble Kalman filter (HEnKF) as a robust extension of the ensemble Kalman filter (EnKF). The HEnKF is developed to be robust against features like estimation uncertainty and rank deficiency related to covariance estimation in EnKF. The HEnKF imposes a hierarchical model on the state variables and uses prior distributions from the Gauss conjugate family of distributions to obtain more-robust estimates. An empirical study demonstrates that the HEnKF provides more-reliable results than the traditional EnKF approach. Better predictions and more-realistic prediction intervals are provided. The latter is caused by model-parameter uncertainty being an integral part of the HEnKF approach, while this effect is ignored in traditional EnKF. The two versions of the ensemble Kalman filter are also compared on a synthetic-reservoir study. The HEnKF appears as significantly better.

© 2010. Society of Petroleum Engineers

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History

  • Original manuscript received: 31 March 2009
  • Revised manuscript received: 18 September 2009
  • Manuscript approved: 28 September 2009
  • Published online: 11 March 2010
  • Version of record: 17 June 2010