History Matching Under
Training-Image-Based Geological
Model Constraints
Jef Caers, SPE, Stanford U.
Summary
History matching forms an integral part of the reservoir modeling
workflow process. Despite the existence of many history-matching
tools, the integration of production data with seismic and geologi-
cal continuity data remains a challenge. Geostatistical tools now
are routinely employed for integrating large-scale seismic and
fine-scale well/core data. A general framework for integrating pro-
duction data with diverse types of geological/structural data is
largely lacking. In this paper, we develop a new method for history
matching that can account for production data constraint by prior
geological data, such as the presence of channels, fractures, or
shale lenses. With multiple-point (MP) geostatistics, prior infor-
mation about geological patterns is carried by training images from
which geological structures are borrowed, then anchored to the
subsurface data. A simple Markov chain is proposed to iteratively
modify the MP geostatistical realizations until history match. The
method is simple and general in the sense that the procedure can be
applied to a wide variety of geological environments without re-
quiring a modification of the algorithm. The method does not make
assumptions on the flow model. Synthetic cases are used to assess
the flexibility of the proposed method.
Introduction
Production data bring an important, yet indirect, constraint to the
spatial distribution of reservoir variables. Pressure data provide
information on the average pore volume and permeability connec-
tivity near wells, while fractional flow data inform the extent of
permeability connectivity between wells. Production data rarely
suffice, however, to characterize heterogeneous reservoirs; a large
amount of uncertainty still remains after history matching of geo-
statistical models.1
History matching is an ill-posed inverse problem attempting to
invert reservoir properties/parameters from measured flow and
pressure data. Solutions to such inverse problems are rarely
unique. The question of nonuniqueness has to be addressed. Duck-
ing the problem often leads to history-matched reservoir models
that are too smooth and inconsistent with the existing permeability
heterogeneity. Often, other sources of data, such as seismic sur-
veys and geological interpretations, need to be used.
The nonuniqueness of the history-matching problem is well
known, and various techniques have been developed that allow
integrating production data with geological continuity information
in fine-scale geostatistical models.2–7 Most of these prior geologi-
cal models reproduce only the covariance as a measure of geo-
logical continuity.
Covariance models are rarely sufficient to depict patterns of
geological continuity consisting of strongly connected, curvilinear
geological objects such as channels or fractures (see, for example,
Caers and Journel8 and Strebelle9). Ideally, one would like to
possess a single history-matching algorithm that can handle di-
verse types of geological structures or scenarios.
We propose a pixel-based history-matching method that can
account for a wide variety of complex styles of geological conti-
Copyright © 2003 Society of Petroleum Engineers
Original SPE manuscript received for review 18 October 2001. Revised manuscript re-
ceived 21 March 2003. Paper SPE 74716 peer approved 14 April 2003.
218
nuity, not necessarily limited to the two-point statistics of a vari-
ogram model. Complex styles of geological heterogeneity are
characterized by MP patterns and corresponding statistics. In MP
geostatistics, such MP patterns are inferred from a training image.
A fast sequential simulation algorithm, termed snesim (single nor-
mal equation simulation), borrows patterns from the training image
and anchors them to local subsurface data. Various papers and case
studies on integrating well and seismic data with geological con-
ceptual information in MP geostatistics have been recently pub-
lished10–12; a short review is given in this paper.
We propose to extend the data integration framework of MP
geostatistics to include production data. We first review some
important concepts in MP geostatistics that allow definition of a
large variety of prior geological models, then develop the proposed
history-matching methodology.
MP Geostatistics
Borrowing Structures From Training Images. In geostatistics,
geological continuity is traditionally captured through a variogram.
A variogram measures the degree of correlation/connectivity or,
conversely, variability between any two locations in space. Be-
cause the variogram is only a two-point statistic, it cannot model
curvilinear structures such as channels, nor can it model strong
contiguous patterns of connectivities such as fractures. The repre-
sentation of such complex geological features requires MP statis-
tics, involving jointly more than two locations. The idea behind
MP geostatistics is to infer spatial patterns using many spatial
locations.8,9 The training image serves as a conceptual reservoir
analog depicting the desired geological heterogeneity and allows
the inference of such higher-order statistics. Training images are
merely conceptual and need not be constrained to any subsurface
data. In most applications of MP geostatistics thus far, such train-
ing images are generated using unconstrained Boolean techniques
(e.g., channels and elliptical bodies; see Fig. 1A).
The corresponding algorithm to generate geostatistical models
constrained to reservoir data, termed snesim, is proposed in Stre-
belle.9 It is essentially not different from existing, more traditional
conditional simulation techniques13,14 in that it sequentially gen-
erates the numerical model, one grid cell after another. The dif-
ference lies in the probability distributions from which these pixel
values are drawn; in snesim these probabilities are actual propor-
tions inferred from the training image and made conditional to an
MP data event. In traditional sequential simulation, these prob-
abilities are derived by kriging using a variogram model.
At each node of the simulation grid, denote by P(A|B) the
probability model from which the value at that grid cell is drawn,
where A could be the event “channel facies is present” at a given
grid cell location, and B⳱the set of sample data and previously
simulated grid cells used to constrain A. In the sequential Gaussian
simulation (sGs), P(A|B) is a Gaussian distribution with mean and
variance determined by a set of (variogram-based) kriging equa-
tions. The snesim algorithm follows the same principle of sequen-
tial simulation, but the probability model P(A|B) is read from the
training image rather than built by kriging from the variogram
model. The snesim algorithm then allows generating the patterns
found on the training image. Details on how P(A|B) is determined
from the training image are found in Strebelle.9 An example of the
snesim methodology, using the training image of Fig. 1A, is pre-
sented in Fig. 1B. Fig. 1B is generated constrained to the actual
facies observations at the well locations shown in Fig. 1C. Note
September 2003 SPE Journal
 wise, the values b and c state the uncertainty about the occurrence
of A, given information B and C, respectively. x⳱the uncertainty
when knowing both B and C. ␶⳱a parameter than can be freely
chosen; often one chooses ␶⳱1.
The combined probability P(A|B,C) is derived as follows in
case ␶⳱1:
1 a
P共A|B,C兲 = = . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4)
1 + x a + bc
Based on this expression, an algorithm termed cosnesim has been
developed,10,15 allowing the generation of geostatistical models
constrained to both the geological structure depicted by the train-
ing image (information B) and the secondary data C. For reservoir
applications, see Strebelle et al.12
In general, combing two data sources B (well data) and C
(seismic data) requires some hypothesis of independence because
it is usually too difficult to directly infer P(A|B,C). Eq. 1 is one
such hypothesis, and it can be related to the well known condi-
tional independence hypothesis in Bayesian updating16; in fact, as
shown in Journel,15 Bayesian updating with conditional indepen-
dence arises when ␶⳱1. The parameter ␶ in Eq. 1 is therefore a
way to reintroduce more dependence between information B and C.
History Matching
Methodology. We will consider for demonstration the case of a
binary spatial variable described by an indicator random func-
tion model

I共u兲 =
0再
1 if a certain facies occurs
else
where u⳱(x,y,z) ∈ Reservoir, is the spatial location of a grid cell.
In a reservoir context, i(u)⳱1 could mean that channel occurs at
location u, while i(u)⳱0 indicates nonchannel occurrence. In the
MP geostatistics context, we denote by A the event I(u)⳱1 (“the
event occurs”) and use D for the production data.
The proposed method for history matching relies on the fol-
lowing simple, but key, idea: In order to maintain a specific geo-
Fig. 1—(a) Training image of elliptical bodies (note that the logical continuity during history matching, we propose to perturb
training image is larger than the area being simulated, allowing an initial geostatistical realization i(o) (u) in a geologically consis-
better inference of statistics), (b) a single realization with tent fashion (i.e., consistent with the geology depicted in the train-
snesim, (c) conditioning data used in snesim. ing image). Instead of perturbing directly an initial realization, we
perturb the probability model P(A|B) that is used to generate that
that the training image model need not have the same size as the initial realization. Moreover, we make sure that after perturbing
actual zone being simulated. P(A|B), the geostatistical realization generated with the perturbed
P(A|B) is still consistent with the geological continuity of the
Constraining to Soft Data. The snesim algorithm allows for the training image.
integration of soft or secondary information, such as seismic.10–12 In order to perturb P(A|B) consistent with geology, we intro-
Using a notation similar to that above, we denote the probability duce another probability model P(A|D) that depends on the pro-
model calibrated from secondary data as P(A|C), where A⳱the duction data. We define P(A|D) as follows:
unknown property at each grid node and C⳱the secondary data
event observed in the neighborhood of that node. P共A|D兲 = 共1 − rD兲i共o兲共u兲 + rDP共A兲 ∈ 关0,1兴. . . . . . . . . . . . . . . . . (5)
In order to integrate that secondary information C into the
rD between [0,1] is a free parameter and will be determined from
snesim algorithm, we need to draw from the conditional distribu-
production data as shown later. The perturbation of P(A|B) by
tion P(A|B,C) instead of P(A|B) (i.e., each simulated value should
P(A|D) is achieved by combining both conditional probabilities
also depend on the secondary data C). To combine P(A|B) and
using Journel’s Eq. 1. The resulting P(A|B,D) is termed a pertur-
P(A|C) into P(A|B,C), we use the following expression based on an
bation of the probability P(A|B). To understand relation in Eq. 5,
improved form of conditional independence15:
and to illustrate what this perturbation achieves, one considers two
x
b
=
a 冉冊
c ␶
, . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1)
limit cases:
1. In case rD ⳱ 0, we find from Eq. 5 that P(A|D)⳱i(o) (u). If
we use Eq. 1 to combine P(A|B) and P(A|D)⳱i(o) (u) to form
where P(A|B,D) we find that P(A|B,D)⳱i(o) (u). Therefore, if P(A|B,D)
1 − P共A|B,C兲 were to be used in sequential simulation, one would retrieve the
x= . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2) original geostatistical realization i(o) (u). In other words, a value of
P共A|B,C兲
rD ⳱ 0 is equivalent to no perturbation at all.
and 2. In case rD ⳱1, we find that P(A|D)⳱P(A), and using Eq. 1
1 − P共A|B兲 1 − P共A|C兲 1 − P共A兲 we find for P(A|B,D) that P(A|B,D)⳱P(A|B). In other words, if
b= ,c= ,a= . . . . . . . . . . . . . (3) P(A|B,D) were to be used in sequential simulation, one would
P共A|B兲 P共A|C兲 P共A兲 generate another realization i(1) (u) independently of the initial
P(A)⳱the global proportion of A occurring, so therefore a can be realization i(o) (u). The parameter rD therefore defines a perturba-
interpreted as a prior distance to the event A occurring, prior to tion of an initial realization toward another independent realiza-
knowing the information carried by the event B or C. Indeed if tion. Each value of rD determines fully the probability P(A|D) at
P(A)⳱1, then the distance a⳱0 and A is certain to occur. Like- every gridblock. During sequential simulation, P(A|D) is com-

September 2003 SPE Journal 219

bined with P(A|B) to form P(A|B,D) (using Eq. 1), from which Algorithm Summary. The proposed algorithm to integrate pro-
simulated values are drawn. The resulting geostatistical realization duction data D and geological information B proceeds as follows
generated in this fashion is denoted as i(l)
rD(u). The magnitude of rD 1. Define a training image depicting the desired geological con-
defines the magnitude of the perturbation of the initial realization tinuity (data B).
i(o) (u). 2. Using the snesim algorithm, generate an initial model i(o) (u),
Fig. 2 shows an example of five models i(l) rD(u) generated with u ∈ Reservoir, ᐉ⳱0.
different values rD, starting from the initial model i(o) (u) shown in 3. Change random seed.
Fig. 2A. Note that the bottom right model i(l) rD⳱1(u) appears com- 4. a. Outer Iteration: ᐉ⳱1,. . ., Lmax, or until history match is
pletely independent of i(o)(u), while small values of rD result in achieved. For any given value rD define P(A|D):
realizations that are close to the initial guess. The resulting geo-
statistical realization denoted as i(l) P共A|D兲 = 共1 − rD兲i共ᐉ−1兲共u兲 + rDP共A兲. . . . . . . . . . . . . . . . . . . . . . . (7)
rD(u) depicts the geological struc-
ture of the training image, no matter the value of rD, as demon-
b. Inner Iteration: Perform a one-parameter optimization on
strated in Fig. 2. Flow simulation can be evaluated on i(l) rD(u) and rD that provides the best match to the data D:
a simple 1D optimization problem solved to find a value for rD
such that i(l)
rD(u) matches best the production data. In mathematical rDopt = min兵||DS关i共rᐉD兲共u兲兴 − D||其.
rD
terms, one finds
and
rDopt = min兵||DS关i共rᐉD兲共u兲兴 − D||其. . . . . . . . . . . . . . . . . . . . . . . . . . . . . (6)
rD 共ᐉ兲
i共ᐉ兲共u兲 ← iropt共u兲.
(l) D
D [i (u)]⳱the simulated production data depending on a geo-
S rD
Change the random seed.
rD(u), D⳱the observed data, and 㛳•㛳 some
statistical realization i(l)
measure of difference between the two. The Dekker-Brent17 Note that the algorithm consists of an outer iteration and an
method is used for this purpose. inner iteration. The inner iteration refers to the iterative 1D opti-
Once the best realization, i(l) mization problem used to find the best value of rD. Typically,
rD (u), is found, one reiterates by
opt

taking i(l)
opt (u), as the initial guess i
(o)
(u) for the next iteration six to seven flow simulations are required to solve this problem.
rD
(Iteration 2), and a new 1D optimization problem is solved. Itera- The outer iteration consists of updatingi(ᐉ-1)(u) in the calculation
tions are ended when production history is matched. A more theo- of P(A|D).
retical foundation of this method is presented in the Appendix. The “change random seed” step is required for each outer it-
eration step. In this way, the value of rD⳱1 will provide a real-
ization iᐉrD⳱1(u) independent of iᐉrD⳱0(u).

Comparison With Gradual Deformation. The proposed ap-

Fig. 2—(a) Initial realization, (b) perturbation of the initial real-
ization based on a value rD = 0.01, (c) rD = 0.1, (d) rD = 0.2,
(e) rD = 0.5, and (f) rD = 1.
proach evokes some resemblance with two different types of
gradual deformation methods proposed in Roggero and Hu3 and
Hu et al.17
Roggero and Hu3 propose to define perturbations of realiza-
tions generated using sequential Gaussian simulations by adding
two equiprobable realizations:
new realization共rD兲 = realization1 ⳯ sin共rD兲 + realization2 ⳯ cos共rD兲.
. . . . . . . . . . . . . . . . . . . . . . . . . . . (8)
This procedure preserves the variogram in the new realization. The
value of rD is found through a similar optimization process as
above. The main restriction in this method lies in the fact that it can
be used only in the case of Gaussian-type realization, using a
variogram model. The method proposed in this paper can be used
to history match under a much larger variety of geological conti-
nuity styles.
The gradual deformation of sequential simulations as proposed
in Hu et al.17 relies on a gradual modification of the random
numbers that are used to draw simulated values in the sequential
simulation algorithm. By gradually modifying random numbers,
the simulated values drawn from P(A|B) are gradually modified;
therefore, a gradual modification of a realization is obtained. Hu
et al.17 propose to parameterize the gradual deformation of random
numbers by a single parameter rD, which, as in the proposed ap-
proach, can be optimized. Their method can be applied to any
sequential simulation algorithm, including the above snesim
method (as demonstrated in Tureyen and Caers18). The proposed
approach relies on a modification of the probability, not on a
gradual deformation of random numbers. The major inefficiency in
perturbing the random numbers has been pointed out in Caers19: In
the gradual deformation of random numbers, the random path used to
generate the realization has to remain fixed. This narrows the search
space and potentially slows down the history-matching procedure.
The proposed method also works for variogram-based geo-
statistical methods, such as sequential indicator simulation or se-
quential Gaussian simulation. Indeed, the formalism presented in
Eq. 1 is general and allows the combining of any two probabilities,
not necessarily derived from a training image. However, because
the novelty of the proposed method partially lies in extending MP
geostatistics to integrate production data, the following de-

220 September 2003 SPE Journal

monstrative examples will show the approach in a wide variety of
geological structures.
Application Examples
Quarter 5-Spot. A set of application examples illustrates the pro-
posed approach. Consider the 2D horizontal reference model in
Fig. 3B, consisting of diagonal elliptical bodies of high perme-
ability (750 md) in a low-permeability matrix (150 md). We as-
sume that the values of 150/750 md are known, while the place-
ment of the high permeability bodies is not known. A training
image reflecting knowledge about the elliptical shapes is generated
using a Boolean program (see Fig. 3A).
The production data D is generated by placing an injector well
in the lower left corner and injecting water in an initially oil-
saturated reservoir and a producer located in the upper right corner.
We use a simple black-oil model, unbalanced production, with the
injector at constant rate of 700 STB/D. No flow boundary condi-
tions are assumed. Fluid properties and density are assumed in-
variant with pressure. Capillary effects are ignored. Connate water
saturation is 0.15. Typical relative permeability curves are used.
Fig. 3—Elliptical bodies: (a) training image; (b) reference model, P = producer, I = injector; (c) initial guess for the history match;
(d) geostatistical model after first outer iteration; (e) final matched model; and (f) initial, target, and matched flow data.
September 2003 SPE Journal
Initial reservoir pressure is set at 655 psi; grid cell size is 10 ft. A
finite difference simulator, “Eclipse,” is used. The target produc-
tion data D are the fractional flow of water observed in the pro-
ducing well as function of time. It appears that water breaks
through after about 15 timesteps, as shown in Fig. 3F. The task is
to generate solutions that honor the production data and the ellip-
tical structures depicted by the training image of Fig. 3A.
Fig. 4C shows the decrease in the objective function during the
outer iteration(ᐉ). Also shown in Fig. 4B is the optimal value
opt,(ᐉ)
rD for each iteration (ᐉ). The objective function measures the
squared difference of fractional flow data and the model and has
been standardized to unity in Fig. 4C for the initial model. After
nine iterations, a satisfactory match to the production data is found,
as shown in Fig. 3F. While the initial model (Fig. 3C) fails to
capture the connectivity of flow facies between injector and pro-
ducer well, the final history match (Fig. 3D) appears to have a
similar connectivity between injector and producer as the reference
model. Fig. 4A provides more insight into the optimization of the
rD parameter. Each outer iteration (ᐉ) consists of an inner iteration
to obtain the best rD. On average, six function evaluations (flow
221
Fig. 4—(a) Each box plots the objective function vs. the values of rD evaluated during the inner iteration (1D-optimization) for all
outer iterations 1 through 9; (b) optimal valued of rD; (c) decrease of the standardized objective function.
simulations) are required to perform such optimization. It appears
that several local minima may occur.
Different Geology, Same Algorithm. To investigate the flexibil-
ity of the approach in terms of variety of geological models that
can be handled, we apply the proposed approach to other types of
geological heterogeneities. First, consider the reference model in
Fig. 5B depicting a meandering channel. Production data D similar
to those obtained for the elliptical bodies case are generated by
forward simulation on the reference set, providing the fractional
flow of water and pressure data shown in Fig. 5F. Two production
wells are available as shown in Fig. 6A. Next to these two pro-
duction and single injection wells, two exploration wells are also
available. At the location of these wells, hard conditioning data are
made available.
Convergence to an acceptable history match is obtained after
only three outer iterations. The initial guess plus the first iterations
are shown in Figs. 5C and D, and the history match is shown in
Figs. 5E and F. The training image used to obtain these results is
shown in Fig. 5A and consists of shoestring-type channel meanders.
222
To investigate better the impact of production data on the
resulting reservoir model, 20 different history-matched realiza-
tions are generated, each one obtained by starting from 20 differ-
ent initial guesses. To visualize the combined results, the average
of the 20 history-matched realizations is depicted in Fig. 6B. On
average, the history-matched models detect well the presence of
the meandering channels running from the bottom left corner to
the top right corner. This result should be compared to the aver-
age of the 20 initial (not matched) realizations, shown in
Fig. 6C. Recall that these 20 initial realizations are constrained
only to the facies observations at the five wells in Fig. 6A. Com-
paring Fig. 6B to Fig. 6C, it is evident that the production data
have added more constraints to the system, but some degree of
uncertainty still remains. The proposed method allows quantifi-
cation of the remaining uncertainty for the given choice of geo-
logical model.
More Facies. The method can easily be extended to include more
than two facies. Instead of using the probability of Eq. 5, one uses
the probability
September 2003 SPE Journal
Fig. 5—Shoestring channels: (a) Training image; (b) reference model; (c) initial guess for the history match; (d) geostatistical model
after first outer iteration; (e) final matched model; and (f) initial, target, and matched flow and pressure data.
P共Ak|D兲 = 共1 − rD兲i共ᐉ−1兲共u,sk兲 + rDP共A兲, . . . . . . . . . . . . . . . . . . . (9)
where the indicator denotes that
I共u,sk兲 = 再1 if a certain facies sk occurs
0 else
Ak then denotes {I(u,sk)=1}.
A case with three facies and five wells is presented. Fig. 7A
shows a training image of shoestring-type channels with a third
crevasse facies attached. The channel permeability is 500 md, the
crevasse has permeability of 150 md, and mud has a low perme-
ability of 5 md. Fig. 7B shows the reference model and the posi-
tions of the wells. A five-spot pattern is used for this case. After
three outer iterations, starting from the initial guess of Fig. 7C, a
satisfactory match to flow and pressure data is achieved, shown in
Figs. 7D and E.
Sensitivity to a “Wrong” Training Image. The evident but im-
portant question comes to mind about what could happen when the
training image depicts a “wrong” geological concept (i.e., different
September 2003 SPE Journal
from the actual unknown reservoir geology). The proposed method
relies on the correct specification of that geological concept, and a
wrong concept might not lead to an unsuccessful history match.
Before an avenue for dealing with such a situation is outlined,
consider the example of Fig. 8. All four components of Fig. 8 are
the result of a history-matching procedure attempting to match the
same fractional flow, but with each case using a different training
image. The difference in the training images used lies in the di-
rection of anisotropy of the facies. The “true” anisotropy is 45°
(Fig. 4C), yet in all cases we find a very good match, even when
the assumed anisotropy is exactly the opposite (−45°). It appears
that even under a “wrong” geological model, one can still history
match in this particular case.
Future work will therefore focus on parameterizing some as-
pects of the training image, such as the directions and extent of
facies anisotropy. These parameters could then be history matched
jointly with the parameter rD, allowing for the production data to
search, for example, for a suitable channel direction in case no
prior information about that direction is available.
223

Fig. 6—(a) Location of wells used in the example of Fig. 5: P1/2
are producers, I = Injector, EW = exploration well where only
facies observations are available; (b) average of 20 history-
matched realizations constrained to the well data and pressure
and flow data; and (c) average of the 20 initial models con-
strained only to the well data.
Discussion and Conclusions
In this paper, we present a new geostatistical approach to history
matching. The purpose of using geostatistics is to integrate geo-
logical information jointly with production data. Production data
brings only a limited constraint to the reservoir permeability, par-
ticularly in strongly heterogeneous media; therefore, prior geologi-
cal information must be used to quantify the geological patterns
deemed relevant. If geology is ignored, the resulting history-
matched models are often too smooth and might have limited
prediction power.
MP geostatistics is used because it allows for a large variety of
geological models quantified in a training image. The presented
approach is generic on two fronts: one can use the same algorithm
(code) for different geological heterogeneities (cross-bedding,
channels, fractures) and for different flow processes (black oil,
compositional, streamlines). The essential inputs required are a
training image and a flow simulator. No tuning parameters are
needed. The code used to run all of the above examples was
kept unchanged.
Certain limitations exist in the current method and will be the
topic of upcoming papers:
1. The permeability for each facies is known and constant. One
could solve this problem through a hierarchical history-
matching process, where the iteration consists of two steps: In
224
the first step, one perturbs facies with constant permeability,
while in the second step one perturbs the permeability while the
facies remain frozen.
2. The method relies on the optimization of one single parameter
rD. The parameter rD defines a global perturbation (i.e., the
reservoir model is perturbed, in probability at least, in equal
amount everywhere). This might not be an efficient parameter-
ization of the perturbation in the case of large reservoirs with a
large amount of wells. In such a case, one needs to define local
perturbations (i.e., perturbations that are different from one area
of the reservoir to the next). The method can deal with such
situations by attaching a parameter rD to each zone and then
jointly optimizing all rD values. A similar procedure has been
proposed in Milliken,20 Hu et al.,21 and Caers.22
3. As pointed out in the examples above, some aspects of the
training image should be parameterized, such as facies anisot-
ropy direction or extent of the anisotropy. Perturbing these pa-
rameters jointly with rD would allow to change, for example,
channel directions during history matching.
Nomenclature
A ⳱ an event; for example, channel occurs at u
Ak ⳱ {I(u,sk)⳱1}, a certain facies occurs at location u
B ⳱ another event; for example, channel occurs at u1 and
shale occurs at u2
C ⳱ seismic data
D ⳱ production data
I(u) ⳱ indicator random variable
I(u,sk) ⳱ indicator RV of a certain facies category
P(A|B) ⳱ probability that event A occurs given that one knows
B occurs
rD ⳱ perturbation parameter
u ⳱(x,y,z)
(ᐉ) ⳱ iteration counter for outer loop
Acknowledgments
I would like to acknowledge the support of Sanjay Srinivasan in
creating the flow simulation models for Figs. 5 through 7 in
this paper.
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Appendix—A Markovian Interpretation
A more theoretical understanding of the method in terms of
Markov chains is presented in this Appendix. Consider the case of
history matching with two facies, modeled by the indicator random
226
variable I(u). One can define a nonstationary Markov chain on the
entire set of random variables I(u), ᭙(u), starting from an initial
model i(o) (u), generating iterations i(ᐉ) (u) until convergence. Con-
vergence is defined as matching the data D up to a given precision
␧. To define such a Markov chain, consider the single random
variable I(u) at a specific location u. Because I(u) is binary, one
defines the four transition probabilities of a 2×2 nonstationary
transition matrix, moving the chain from state (ᐉ) to state (ᐉ+1) at
location u. The chain is parameterized by a single parameter rD,
where rD ∈ [0,1] and depends on the data D as follows:
Pr兵I共ᐉ+1兲共u兲 = 1|D, i共ᐉ兲共u兲 = 0其 = rDPr兵I共u兲 = 1其 . . . . . . . . . . . (A-1)
Pr兵I共ᐉ+1兲共u兲 = 0|D, i共ᐉ兲共u兲 = 1其 = rDPr兵I共u兲 = 0其 . . . . . . . . . . . (A-2)
Pr兵I共ᐉ+1兲共u兲 = 1|D, i共ᐉ兲共u兲 = 1其 = 1 − rDPr兵I共u兲 = 0其 . . . . . . . (A-3)
and for closure
Pr兵I共ᐉ+1兲共u兲 = 0|D, i共ᐉ兲共u兲 = 0其 = 1 − rDPr兵I共u兲 = 1其. . . . . . . . (A-4)
The first two transition probabilities (A-1 and A-2) are the prob-
abilities of changing states (facies) from step ᐉ to step (ᐉ + 1);
rD⳱the relative probability of such change of state, relative to the
prior P(A). rD is taken as a function of the conditioning data D. The
degree of freedom rD allows moving the model to matching closer
the data D. As shown in the main text, at each iteration, a 1D
opt
optimization is carried out to find the value rD that matches best
the data D. For any given rD∈ [0,1] at any given current iteration
(ᐉ) and for all grid cells u, the conditional probability P(A|D) is
obtained using the above transition matrix as
P共A|D兲 = rDP共A兲 if i共ᐉ兲共u兲 = 0 . . . . . . . . . . . . . . . . . . . . . . . . . (A-5)
1 − P共A|D兲 = rD关1 − P共A兲兴 if i共ᐉ兲共u兲 = 1 . . . . . . . . . . . . . . . . (A-6)
rD is the same for all grid cells u. The resulting probability P(A|D)
is then combined with the training image-derived probability
P(A|B) using Eq. 1, in which P(A|C) is replaced by P(A|D). This
Markov chain is termed “nonstationary” because rD changes at
each iteration (ᐉ).
Two limit cases exist for rD:
• rD⳱0: then the probability for a change is, according to Eq. 1,
P兵I共ᐉ+1兲共u兲 = 1 − i|D,i共ᐉ兲 共u兲 = i = 0,᭙i = 0,1,
that is, I(ᐉ+1_) (u)⳱I(ᐉ) (u). Iteration (ᐉ+1) does not provide a
better match to the data D; therefore, one can either stop the
iteration or change the random seed s. The latter amounts to start-
ing the chain/iteration over with i(ᐉ) (u) as the initial guess.
• rD⳱1: then
P兵I共ᐉ+1兲共u兲 = 1|D, i共ᐉ兲共u兲 = 0其 = P共A兲 = P兵I共ᐉ兲共u兲 = 1其
P兵I共ᐉ+1兲共u兲 = 0|D, i共ᐉ兲共u兲 = 1其 = 1 − P共A兲 = P兵I共ᐉ+1兲共u兲 = 0其;
therefore, the state is changed according to the prior probability of
the new state. The combined probability then becomes P(A| B,D)
⳱ P(A|B)
Consequently, the snesim algorithm will generate a new real-
ization i(ᐉ+1(u), drawn independently of i(ᐉ)(u).
Jef Caers is an assistant professor of petroleum engineering
and Director of the Stanford Center for Reservoir Forecasting
(SCRF), Stanford U. e-mail: jef@pangea.stanford.edu. His main
research interests are in the theory and application of geo-
statistical methods for reservoir modeling. Caers holds an MSc
degree in geophysics and a PhD degree in mining engineer-
ing, both from the Katolieke U., Leuven, Belgium.
September 2003 SPE Journal