Automatic History Matching in a Bayesian
Framework, Example Applications
Fengjun Zhang, SPE, ChevronTexaco Energy Technology Co.; Jan Arild Skjervheim, U. of Bergen;
A.C. Reynolds, SPE, U. of Tulsa; and D.S. Oliver, SPE, U. of Oklahoma
Summary
The Bayesian framework allows one to integrate production and
static data into an a posteriori probability density function (pdf)
for reservoir variables (model parameters). The problem of gen-
erating realizations of the reservoir variables for the assessment of
uncertainty in reservoir description or predicted reservoir perfor-
mance then becomes a problem of sampling this a posteriori pdf to
obtain a suite of realizations. Generation of a realization by the
randomized-maximum-likelihood method requires the minimiza-
tion of an objective function that includes production-data misfit
terms and a model misfit term that arises from a prior model
constructed from static data. Minimization of this objective func-
tion with an optimization algorithm is equivalent to the automatic
history matching of production data, with a prior model con-
structed from static data providing regularization. Because of the
computational cost of computing sensitivity coefficients and the
need to solve matrix problems involving the covariance matrix for
the prior model, this approach has not been applied to problems in
which the number of data and the number of reservoir-model pa-
rameters are both large and the forward problem is solved by a
conventional finite-difference simulator.
In this work, we illustrate that computational efficiency prob-
lems can be overcome by using a scaled limited-memory Broyden-
Fletcher-Goldfarb-Shanno (LBFGS) algorithm to minimize the ob-
jective function and by using approximate computational stencils
to approximate the multiplication of a vector by the prior covari-
ance matrix or its inverse. Implementation of the LBFGS method
requires only the gradient of the objective function, which can be
obtained from a single solution of the adjoint problem; individual
sensitivity coefficients are not needed. We apply the overall pro-
cess to two examples. The first is a true field example in which a
realization of log permeabilities at 26,019 gridblocks is generated
by the automatic history matching of pressure data, and the second
is a pseudofield example that provides a very rough approximation
to a North Sea reservoir in which a realization of log permeabilities
at 9,750 gridblocks is computed by the automatic history matching
of gas/oil ratio (GOR) and pressure data.
Introduction
The Bayes theorem provides a general framework for updating a
pdf as new data or information on the model becomes available.
The Bayesian setting offers a distinct advantage. If one can gen-
erate a suite of realizations that represent a correct sampling of the
a posteriori pdf, then the suite of samples provides an assessment
of the uncertainty in reservoir variables. Moreover, by predicting
future reservoir performance under proposed operating conditions
for each realization, one can characterize the uncertainty in future
performance predictions by constructing statistics for the set of
outcomes.1,2 Liu and Oliver3 have recently presented a comparison
of methods for sampling the a posteriori pdf. Their results indicate
that the randomized-maximum-likelihood method is adequate for
evaluating uncertainty with a relatively limited number of samples.
In this work, we consider the case in which a prior geostatistical
Copyright © 2005 Society of Petroleum Engineers
This paper (SPE 84461) was first presented at the 2003 SPE Annual Technical Conference
and Exhibition, Denver, 5–8 October, and revised for publication. Original manuscript re-
ceived for review 31 March 2004. Revised manuscript received 18 January 2005. Paper
peer approved 27 January 2005.
214
model constructed from static data is available and is represented
by a multivariate Gaussian pdf. Then, the a posteriori pdf condi-
tional to production data is such that calculation of the maximum
a posteriori estimate or generation of a realization by the random-
ized-maximum-likelihood method is equivalent to the minimiza-
tion of an appropriate objective function.2,4–6
History-matching problems of interest to us involve a few thou-
sand to tens of thousands of reservoir variables and a few hundred
to a few thousand production data. Thus, an optimization algo-
rithm suitable for large-scale problems is needed. Our belief is that
nongradient-based algorithms such as simulated annealing and the
genetic algorithm are not competitive with gradient-based algo-
rithms in terms of computational efficiency. Classical gradient-
based algorithms such as the Gauss-Newton and Levenberg-
Marquardt typically converge fairly quickly and have been applied
successfully to automatic history matching for both single-phase-
and multiphase-flow problems.7–10 No multiphase-flow example
considered in these papers involved more than 1,500 reservoir
variables. For single-phase-flow problems, He et al.8 and Reynolds
et al.2 have generated realizations of models involving up to
12,500 reservoir variables by automatic history matching of pres-
sure data. However, they used a procedure based on their gener-
alization of the method of Carter et al.11 to calculate sensitivity
coefficients; this method assumes that the partial-differential equa-
tion solved by reservoir simulation is linear and does not apply for
multiphase-flow problems.
For multiphase-flow problems, the Gauss-Newton method is
not efficient in its classical form because it requires the generation
of sensitivity coefficients. Wu et al.9 and Li et al.10 used the
adjoint method12,13 to calculate sensitivity coefficients. However,
if the number of production data to be history matched exceeds
100, calculation of all sensitivity coefficients by the adjoint
method is not computationally feasible. On the other hand, the
gradient-simulator method introduced into the petroleum engineer-
ing literature by Anterion et al.14 is not computationally feasible if
the number of reservoir variables to be estimated or simulated is
greater than 100. Although reparameterization methods such as
zonation,15,16 grad zones,17,18 pilot points,19,20 spectral decompo-
sition, and subspace methods21–24 are sometimes used to reduce
the number of sensitivities calculated and the number of variables
estimated directly, no model reparameterization is applied for the
problems considered in this work.
For large-scale history-matching problems in which Nd (the
number of production data to be history matched) and Nm (the
number of reservoir variables to be simulated or estimated) are
both large, the only viable gradient-based optimization algorithms
are those that do not require the direct calculation of all sensitivity
coefficients. Three algorithms that have this characteristic are well
known: truncated Newton, variable-metric or quasi-Newton, and
nonlinear conjugate gradient (CG).
In the truncated Newton method, the explicit computation of
the Nd × Nm sensitivity-coefficient matrix, G, is not required. At
each iteration of the method, a matrix problem is solved by the CG
method. This solution requires only the product of G times a vector
and the product of the transpose of G times a vector; the entries of
G itself are never computed. A procedure for computing these
matrix vector products without first computing G was introduced
into the petroleum engineering literature by Chu et al.,25 although
the basic idea appeared much earlier in the geophysics literature by
Mackie and Madden.26 Although computation of the matrix prod-
June 2005 SPE Reservoir Evaluation & Engineering
ucts can be made relatively efficient using a gradient simulator run
to calculate G times a vector and a single adjoint solution to
calculate GT times a vector, the CG method may require up to Nd
iterations to obtain convergence if the matrix is poorly conditioned
and no good preconditioning matrix is available.27 Because it
seems unlikely to us that a good preconditioning matrix can be
constructed without direct knowledge of G, we have not applied
this algorithm.
The CG and quasi-Newton methods are attractive optimization
algorithms for large-scale history-matching problems in that they
do not require the calculation of the sensitivity of each production
datum to the reservoir variable; instead, they require only the
gradient of the objective function at each iteration. The gradient
of the objective function can be calculated by solving a single
adjoint problem.
Makhlouf et al.28 applied the CG method to estimate 450 grid-
block permeabilities by history matching production data obtained
under multiphase-flow conditions. In one example, 110 iterations
were required to obtain convergence. In the second example con-
sidered, 222 iterations were required to obtain convergence. It
appears that the authors did not use preconditioning. If a suitable
preconditioning algorithm could be found, it is likely that the
convergence rate could be accelerated. As discussed in Zhang and
Reynolds,29 we have not found a preconditioning matrix or a se-
quence of preconditioning matrices that yield a CG optimization
algorithm that is as robust and computationally efficient as the
quasi-Newton method implemented by Zhang and Reynolds29 and
used for the history-matching examples presented later in this paper.
Quasi-Newton methods have been used previously in automatic
history-matching problems by Yang and Watson,30 Masumoto,31
and Savioli et al.32 While these studies generally found that a
self-scaling variable-metric method is more robust and computa-
tionally efficient than the CG, steepest-descent, and standard un-
scaled BFGS algorithms, the number of reservoir variables esti-
mated was less than 25 in all examples considered.
The more recent computational experiments of Deschamps
et al.33 suggest that the most-efficient optimization method will be
a hybrid scheme, and they specifically advocate schemes that com-
bine a Gauss-Newton method with another procedure. They reject
the Levenberg-Marquardt scheme as relying too heavily on the
steepest-descent method and do not present any comparisons based
on this method. On the other hand, some results (see, for example,
Li et al.10) indicate that a modified Levenberg-Marquardt algo-
rithm can be superior to the Gauss-Newton method when initial
data mismatches are very large; if changes in the model are not
damped at early iterations of the Gauss-Newton method, Li et al.
found that excessive roughness may be introduced into the esti-
mated (or simulated) rock-property fields.
For the two history-matching examples they considered, Des-
champs et al.33 stated that a pure quasi-Newton method was not
competitive with the hybrid schemes they advocated. However, it
is not clear which quasi-Newton method they used, how they
initialized the inverse Hessian approximation, or whether they
used scaling. Moreover, a hybrid method that uses a classical
Gauss-Newton method at some point in the optimization algorithm
would not be computationally efficient for large-scale history-
matching problems because it would require the calculation of too
many sensitivity coefficients.
In the examples presented here, we use the scaled LBFGS
algorithm to perform automatic history matching. As shown by
Zhang and Reynolds,29 LBFGS appears to be a promising algo-
rithm for large-scale history-matching problems.
Automatic History Matching With the LBFGS
Optimization Algorithm
The typical objective function minimized in the history-matching
process includes a production misfit term and a model misfit term
that provides regulation. With the randomized-maximum-
likelihood method,6,34 a realization of the model conditional to
observed production data, dobs, is generated by minimizing the
following objective function:
June 2005 SPE Reservoir Evaluation & Engineering
1
O共m兲 = 共m − muc兲T CM−1共m − muc兲
2
1
+ 共d − duc兲T CD−1共d − duc兲, . . . . . . . . . . . . . . . . . . . . . . . (1)
2
where m denotes an Nm-dimensional column vector of reservoir
variables (in our examples, entries of m represent gridblock values
of log permeabilities), muc represents an unconditional realization
generated from the prior model, and duc is obtained by adding
noise based on production-data-measurement errors to the ob-
served historical production data, dobs. CM denotes the Nm×Nm
prior covariance matrix, and CD denotes the Nd×Nd covariance
matrix for production-data-measurement errors. The N d -
dimensional column vector dobs contains as entries all production
data to be history matched. Minimization of Eq. 1 gives a single
history-matched reservoir model. To generate multiple plausible
reservoir models for the purpose of evaluating uncertainty, one
generates a sequence of (muc, duc) and, for each pair, minimizes the
objective function of Eq. 1. In each example considered here, only
one history-matched model is generated.
Zhang and Reynolds29 have shown that the LBFGS algorithm
is an appropriate optimization algorithm for large-scale history-
matching problems. With the algorithm, the search direction is
given by
pk+1 = −H̃k−1gk, . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2)
where H̃k−1 is the approximation to the inverse of the Hessian
matrix and gk is the gradient of the objective function O(m). Here,
k is the iteration index. The approximation to the inverse of the
Hessian is updated from iteration to iteration using information on
changes in the gradient and the model from previous iterations.
Computer memory can be saved by using information from only
some of the preceding iterations to update the approximate inverse
Hessian, which leads to the term “limited memory.” The main
advantage of this method as developed by Nocedal35 is that we
need to explicitly compute and store only the initial approximation
H̃0−1. At subsequent iterations, H̃k−1 is never explicitly computed
or stored; instead, the search direction is computed directly. More-
over, aside from the multiplication of the initial gradient by H̃0−1,
no matrix multiplications are required to update the approximation
to the inverse Hessian; only vector inner products are needed in the
computations. It is well known36 that scaling can improve the
convergence rate of quasi-Newton methods. In our examples, we
use scaling at all iterations on the basis of the scaling factors
recommended in Zhang and Reynolds.29
In our application, the initial Hessian inverse approxi mation
H̃0−1 is chosen as the prior Nm×Nm covariance CM. Each iteration
of the LBFGS algorithm requires multiplication by CM. Each it-
eration also requires evaluation of the objective function to check
for convergence. To evaluate the objective function of Eq. 1 re-
quires calculation of
x = CM−1共m − muc兲. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3)
For problems in which the number of nonzero entries of CM is not
too large, the vector x is computed by solving
CMx = 共m − muc兲 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4)
by a preconditioned CG method with the level-zero incomplete
LLT decomposition of CM used as a preconditioner.37 However, for
many problems of interest to us, the number of nonzero elements
of CM are so large that the storage of all nonzero entries of CM
and/or the solution of Eq. 4 is not feasible. In such cases, we
approximate the multiplication by CM and CM−1 by using compu-
tational stencils.38–40 In this approach, the equation CMCM−1 ⳱ I
is approximated by the discrete convolution of two stencils; that is,
兺 *兺 sten sten
−1
= I1, . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (5)
where I1 is a stencil with unity at its center point and other entries
equal to zero. The elements of ∑sten are generated by the under-
lying covariance function from which CM is generated. The size of
the stencils is kept small by assuming that the stencils are station-
215
ary in an infinite domain and, thus, ignoring the effect of reservoir
boundaries. Moreover, the approach assumes uniform grids. Even
with these assumptions, it appears that the method is efficient and
robust only for exponential covariance functions. For the expo-
nential case, very small computational stencils are required. For
the Oseberg pseudofield example considered in this work, a 7×7×5
inverse stencil was used.
Tengiz Field Example
We consider history-matching buildup data from the Tengiz res-
ervoir, a carbonate reservoir located in the Pri-Caspian basin. As
shown in Fig. 1, the central portion is relatively flat, with localized
structural highs on the southern and eastern edges; see Chambers
et al.41 and He and Chambers42 for additional details on the geology.
Tengiz is an undersaturated-oil reservoir produced by 44 wells
with initial pressure equal to 11,950 psi at a datum depth of 14,765
ft subsea. With very rare exceptions, all flowing bottomhole pres-
sures have been maintained above bubblepoint pressure, which is
equal to 3,586 psi. Our history match of static-pressure data from
pressure-buildup surveys is based on an upscaled reservoir model
of Tengiz. The upscaled reservoir model of Tengiz was created by
removing most of the sloping flanks near the outer edges of the
reservoir and upscaling the remainder of the reservoir to a
59×49×9 grid. In the upscaled model, the gridblock sizes in the x
and y directions are almost uniform, with values between 815 and
825 ft. Gridblock sizes in the z direction are nonuniform, with
values varying between 15 and 150 ft. The initial permeability and
porosity fields are from a geostatistical model.
History Matching. He and Chambers42 have previously history
matched pressure data from the Tengiz reservoir. Their history-
matching procedure, however, is quite different from the one used
in this work. In their results, they conditioned the permeability
field in the neighborhood of a well to well-test-pressure data by
estimating a single permeability multiplier. The multipliers for
each well were then interpolated to the whole field. The final
model was obtained by applying the multiplier field to the initial
permeability field generated from the geostatistical model. In our
work, we match all measured pressure data simultaneously and
adjust log permeability in each grid cell individually during the
history-matching process without using permeability multipliers.
In the history-matching problem, we used the scaled LBFGS
algorithm as implemented by Zhang and Reynolds29 to modify the
horizontal log-permeability field. Porosity values were held fixed
on the basis of the initial geological model in the history-matching
process. Vertical permeability was not estimated directly but was
required to be equal to 10% of horizontal permeability at each
gridblock. Thus, adjustments to horizontal permeability made to
match pressure data resulted in adjustments to vertical permeabil-
ity. Well skin factors were fixed at each well on the basis of the
Fig. 1—Structural map of the Tengiz field.
216
values obtained from well tests. A total of 104 buildup pressures
from 40 wells were used in the history-matching procedure;
buildup pressures used to condition the prior geostatistical model
were obtained at different times during the period from April 1991
to January 1998. In the history-matching procedure, we specified
the monthly oil rate for each well on the basis of historical data.
The covariance matrix for the prior model for horizontal log per-
meability was generated from a spherical variogram with ranges in
the x, y, and z directions, respectively, equal to 6,560, 4,920, and
165 ft. The variance of horizontal log permeability was equal to
0.225. After doing a history match based on this geostatistical
model, we tried a second history match based on the use of a
modified geostatistical model in which we increased the correla-
tion length (variogram range) to 730 ft in the z direction. With the
original variogram model, the vertical dimension of some simula-
tion gridblocks is almost as large as the vertical range of 165 ft. In
this situation, we expect that the horizontal log-permeability model
will exhibit little correlation in the z direction. Because no indi-
cation of the accuracy of the pressure data was provided, we used
the observed pressure data to define duc in Eq. 1. To define CD,
pressure-measurement errors were modeled as independent, iden-
tically distributed normal random variables with zero mean and
variance equal to 1 psi2.
Figs. 2 and 3 show the field oil rate (dot-dashed curve) at the
bottom of each figure, the observed buildup pressures (stars), the
bottomhole pressures predicted from the initial reservoir model
(solid curve), the bottomhole pressure predicted from the condi-
tional realization obtained from history matching with short cor-
relation length in the z direction (dashed curve), and the bottom-
hole pressure predicted from the conditional realization with long
correlation length in the z direction (dotted curve) for wells T-15
and T-102, respectively. Note that the conditional realizations ob-
tained by history matching predict pressures in much closer agree-
ment with the observed pressures than with those pressures pre-
dicted with the initial model. Fifteen iterations of the LBFGS
algorithm were required to obtain convergence.
In most cases, the initial model of Tengiz results in predicted
wellbore pressures much lower than the measured-pressure data,
and in several instances, these predicted pressures are several hun-
dreds of psi below the corresponding measured-pressure data. In
such situations, we expect that permeability will need to be in-
creased significantly in the neighborhood of a well to obtain a
history match. In rare cases, the forward run of the initial model
predicts wellbore pressures above the observed bottomhole pres-
sures; see, for example, Fig. 2. In these cases, one expects that one
will need to decrease permeability near the well to obtain a history
match of pressure data.
Both of the reservoir models obtained from the conditional
realizations with short and long correlation length in the z direction
predict pressures (dashed and dotted curves, respectively, in Figs.
2 and 3) that are in reasonable agreement with the measured
Fig. 2—Bottomhole pressure and oil rate of Well T-15, located in
gridblock (43,27).
June 2005 SPE Reservoir Evaluation & Engineering
Fig. 3—Bottomhole pressure and oil rate of Well T-102, located
in gridblock (39,7).
buildup pressures, although in a few cases, pressure mismatches
remain above 300 psi. However, many of these predicted pressures
are much higher than those predicted with the initial rock-property
field; for some wells, the history-matched model predicts a rela-
tively small pressure drop throughout the producing history (see
Fig. 3). This indicates that the history-matching process has re-
sulted in significantly higher permeabilities in regions around
these wells. On the other hand, Fig. 2 illustrates that at a few wells,
the history-matched model predicts pressures that are lower than
those predicted from the initial reservoir model, which indicates
that the history-matching process has decreased the permeability in
some regions.
Figs. 4 and 5 show the horizontal log permeability from the
initial model (left plot in each figure) and the conditional realiza-
tion of horizontal log permeability based on a short correlation
length in the z direction (right plot in each figure) for Layer 1 and
Layer 3, respectively. The platform part of Tengiz has a higher
horizontal log permeability than the flanks, especially in the top
layers. Note that in much of the reservoir, the history-matching
process has resulted in a large increase in horizontal log perme-
ability; although it may be difficult to tell from the figures, the
largest changes are in gridblocks close to the well locations. For
example, Well T-102 is located in an areal gridblock (39, 7) and
completed in model layers 1, 2, and 3. From the results of Fig. 3,
we see that the history-matched model predicts higher wellbore
pressures than the initial model, which suggests that permeabilities
in gridblocks penetrated by the well have been increased by history
matching. A careful examination of the results indicates that the
permeability has actually been decreased slightly in the Layer 1
(Fig. 4) and Layer 2 gridblocks penetrated by Well T-102, but it
Fig. 5—The initial-guess (left) conditional realization (right) of
horizontal log permeability conditioned to pwf, based on a short
correlation length in the z direction, Layer 3.
June 2005 SPE Reservoir Evaluation & Engineering
Fig. 4—The initial-guess (left) conditional realization (right) of
horizontal log permeability conditioned to pwf, based on a short
correlation length in the z direction, Layer 1.
has been increased significantly in and near the Layer 3 gridblock
that is penetrated by well T-102 (Fig. 5). Moreover, as expected,
the thickness-averaged horizontal permeability for Layers 1
through 3 at the areal location of Well T-102 has been increased
significantly. This increase is consistent with the increased pres-
sure predicted by the history-matched model (Fig. 3).
Comments. Although we greatly improved the pressure match by
history matching, we obtained a far-from-perfect match, and to
obtain the match, we made extremely large changes to the log-
permeability field during the history-matching process. The maxi-
mum gridblock permeability was approximately 10 md in the ini-
tial model, but after history matching using the geostatistical
model with a short correlation length in the vertical direction, we
obtained some gridblock permeabilities on the order of 1,000 md.
The long correlation length was introduced as an experiment to see
if it would result in significant damping of the changes in the
horizontal log-permeability field. As expected, the long and short
correlation-length cases resulted in very different conditional re-
alizations of the log-permeability field, even though pressure
matches of similar quality were obtained. However, even in the
long vertical correlation-length case, we obtained some gridblock-
permeability values on the order of 100 md, which is inconsistent
with the prior geostatistical model. Moreover, there is no basis for
increasing the correlation length in the vertical direction.
It appears that the unreasonably large changes in the log-
permeability field occur because of inconsistencies between the
pressure and rate data at the wells. Rate data are based on a
monthly average. In many cases, the “measured” buildup pressures
correspond to periods when the well is still flowing according to
the input monthly rate data, so our automatic history-matching
procedure treats them as true flowing wellbore pressures. Because
the well is flowing at times corresponding to these measured shut-
in pressures, the optimization algorithm makes large increases in
permeability in an attempt to enable the well to flow with little or
no pressure drop. Despite these difficulties, the LBFGS algorithm
was able to generate a reasonable history match.
Oseberg Example
The second history-matching example considered is a very rough
approximation to the Oseberg reservoir, which is located in the
Norwegian sector of the North Sea. The reservoir consists of three
distinct geological zones. Etive is the top zone, and Oseberg is the
bottom zone; these two zones are separated by Rannoch, which is
a relatively low-permeability layer. There is vertical communica-
tion between the three zones. In our simulation study, we simu-
lated only one half of the reservoir using a 39×25×10 grid. In the
simulation model, Layer 1 corresponds to Etive, Layer 2 corre-
sponds to Rannoch, and model layers 3 through 10 are used to
model the Oseberg zone. Initial reservoir pressure is 4,071 psi at
217
the depth of 8,192 ft subsea, and the initial bubblepoint pressure is
3,771 psi at this same datum. The reservoir has a gas cap at the top
and an aquifer at the bottom. The initial gas/oil contact is at 8,192
ft subsea, and the water/oil contact is at 8,918 ft subsea. The oil
column is separated from the aquifer by a tar mat that prevents
water coning. Fig. 6a shows the surface plot of the reservoir top,
and Fig. 6b shows the overview of the reservoir top, with well
locations indicated by white squares for producers and black
squares for gas-injection wells. Note that the reservoir has a sig-
nificant dip. Wells are fully penetrating. In the oil column, initial
oil saturation is 0.885, and the initial water saturation is equal to
the irreducible water saturation, 0.115. In the gas cap, the initial
gas saturation is 0.885, and water saturation is equal to 0.115. The
true synthetic model for the rock-property fields was generated
with a sequential Gaussian cosimulation algorithm. The means and
variances for the horizontal log permeability [ln(k)] and the verti-
cal log permeability [ln(kz)] used to generate the truth case are
summarized in Table 1. The means decrease linearly with depth in
Oseberg, so we have simply recorded the means and variances for
the top and bottom Oseberg model layers. Means for the interme-
diate model layers are obtained by linear interpolation. An aniso-
tropic exponential covariance function was used for each of the
log-permeability fields with ranges in the x, y, and z directions,
respectively, equal to 1,968 ft, 6,555 ft, and 20 ft. In the simulation
model, we used a uniform grid (656 ft in width) in the y direction.
In the z direction, the eight model layers located in the Oseberg
zone have uniform height; ⌬z ⳱ 11.5 ft, whereas ⌬z ⳱ 23.0 ft for
the Etive layer and ⌬z ⳱ 16.5 ft for the Rannoch layer. In the x
direction, the grid is uniform near the central part of the reservoir,
with ⌬x ⳱ 328 ft, but as we approach the boundaries in the x
direction, ⌬x gradually increases to approximately 2,000 ft for a
gridblock near the boundaries. The variable gridblocks pose a
problem when using stencils to approximate the action of multi-
plication by CM and CM–1 because the procedure for generating a
stencil assumes that the grid is uniform in each direction. In this
application, the stencils were based on ⌬x ⳱ 328 ft, ⌬y ⳱ 656 ft,
and ⌬z ⳱ 11.5 ft. This approximation is expected to introduce too
strong a correlation between permeabilities in gridblocks which
have larger dimensions, but at this point in time, no alternative
procedure is available.
In the history-matching procedure, we used different means
than were used in the true model when generating the uncondi-
tional realization, muc, of ln(k) and ln(kz); muc was used as the
initial guess when minimizing the objective function of Eq. 1. The
Fig. 6—Top depth of the reservoir and the well locations.
218
correct covariances were used. As shown in Table 1, mean values
of 7.48 for ln(k) and 6.47 for ln(kz) were used to generate the
unconditional realization of all Oseberg layers. Therefore, the un-
conditional realization for ln(k) and ln(kz) does not have any trend
vertically in Oseberg. The means used for generating the uncon-
ditional realization for ln(k) and ln(kz) for the Etive layer are 6.02
and 4.61, respectively. Thus, we expect that horizontal mean per-
meability will be decreased near the bottom of the reservoir and
increased near the top of the reservoir when history matching
synthetic production data generated from the true model. In the
history-matching process, the porosity field was fixed with the
mean porosity in Etive, Rannoch, and Oseberg, respectively, given
by 0.14, 0.1, and 0.22. For the example problem, all wells are
completely penetrating vertical wells, and production data are es-
sentially insensitive to vertical permeability. Thus, vertical perme-
ability is essentially unchanged by history matching production data.
The tar zone is located in gridblocks centered at (xi, yj, zk), i ⳱
33, 34, 1 ⱕ j ⱕ 25, and 1 ⱕ k ⱕ 10. In the tar zone, we set the
horizontal and vertical permeability equal to 1 md in the true case.
When history matching to generate a realization by the random-
ized-maximum-likelihood method, we first generate an uncondi-
tional realization muc from the prior model and then modify muc by
setting the entries corresponding to ln(k) and ln(kz) for the tar zone
to zero.
The observed data used for history matching are constructed by
running the simulator with the true model for a total time of 2,400
days. The oil-rate history for each of the five producers is shown
in Figs. 7a through 7e. The corresponding gas-injection-rate his-
tory for the two gas-injection wells is shown in Fig. 8. The syn-
thetic production data were generated on the basis of the rates
shown in Figs. 7 and 8.
In our first history-matching experiment, we history matched
wellbore pressure from the producers and injectors and GOR data
from the producers. There were 71 measurements for each type of
data at each well, so the total number of data history matched was
852. Recall that the model parameters are the horizontal log per-
meability ln(k) and vertical log permeability ln(kz) in each indi-
vidual gridblock; therefore, the total number of model parameters
simulated is 19,500. The scaled LBFGS method was applied to
minimize the objective function of Eq. 1, except that no noise was
added to the synthetic production data. In this example, informa-
tion from the previous 30 iterations was used to construct the
approximation to the inverse of the Hessian matrix at each itera-
tion,29 and scaling was applied at each iteration.
June 2005 SPE Reservoir Evaluation & Engineering
 For the case in which we history match both pressure and
producing GOR data, the behavior of the objective function is
shown by the triangular data points in Fig. 9. Note that 46 itera-
tions were required to achieve “convergence,” and the objective
function was reduced by a factor of approximately 500, from
1.4×107 to 3.2×104. The time required to generate the history
match is roughly equivalent to 100 reservoir-simulation runs. Figs.
10 and 11, respectively, show the history match of wellbore pres-
sure and GOR obtained at the first producing well. The top curve
in Fig. 10 represents the wellbore pressure predicted by reservoir
simulation on the basis of the initial unconditional realization of
the log-permeability fields; the bottom curve in Fig. 11 represents
the GOR predicted by reservoir simulation on the basis of an initial
model. Note that data predicted from the history-matched model
(data points indicated with a plus) are in close agreement with
observed data (circular data points) but are very different from data
predicted with the initial reservoir model. Similar results were
obtained at the other producing wells.
Fig. 12 shows three cross-sectional plots of the change in hori-
zontal log permeability. The results show that, as expected from
Table 1, the largest increases (positive values) in permeability
occurred near the top part of the Oseberg zone and in Etive, and the
largest decreases (negative values) occurred in the bottom layers of
Oseberg, with the largest changes occurring in regions fairly near
the line of producing wells. Fig. 13 shows the gas-saturation pro-
files for two cross sections at 2,400 days generated with the true
model, the initial model, and the permeability fields generated by
history matching pressure and GOR data. Note that the gas ad-
vances much more slowly near the bottom of the reservoir for the
true and history-matched models than for the initial model. Near
the top of the reservoir, gas advances more rapidly in the true and
history-matched model than in the initial model. This is consistent
with the results of Fig. 12, as well as the fact that earlier gas
Fig. 7—Production-rate history of the five producing wells.
June 2005 SPE Reservoir Evaluation & Engineering
breakthrough and higher GORs are obtained in the history-
matched and true models than in the initial model (Fig. 11).
We also tried matching only pressure data and only GOR data.
When only pressure data were matched, the optimization algorithm
converged to a local minimum, with many pressure mismatches on
the order of 50 psi; the behavior of the optimization algorithm
when history matching only pressure data is shown by the square
data points in Fig. 9. When only GOR data were matched, the
objective function converged more rapidly, but the same quality of
the GOR match was almost indistinguishable from the results of
Fig. 11 obtained by matching both pressure and GOR data sets.
Interestingly, when we matched only GOR data, the model ob-
tained by history matching gave predicted wellbore pressures in
reasonable agreement with wellbore pressure data; this fact is il-
lustrated by the results of Fig. 14. In this figure, plus data points
represent pressure predicted from conditional realization of the
log-permeability fields obtained by matching only GOR data, and
circular data points correspond to observed pressure data.
As an experiment, we ran the reservoir simulator based on the
true reservoir model, the initial reservoir model, and the models
obtained by history matching three different data sets (pressure and
GOR, pressure only, and GOR only) to predict future performance.
In making a future performance prediction, all well rates were
specified from 2,400 to 2,800 days, but after that time, each of the
five producing wells was produced at a fixed constant bottomhole
pressure equal to 2,000 psi. The total cumulative oil production
obtained for each of the five models from 2,400 days onward is
shown in Fig. 15. In this figure, the solid line, dashed line, short
dashed line, dot-dashed line, and dotted line, respectively, repre-
sent the field cumulative oil production from the true model, the
model obtained by history matching both pressure and GOR data,
the model obtained by history matching only GOR data, the model
obtained by history matching only pressure, and the initial model.
219
 Fig. 9—Behavior of the objective function.
Fig. 8—Injection rate for the gas-injection wells.
gk ⳱ gradient of the objective function O(m)
The model obtained by history matching only GOR data and the G ⳱ sensitivity-coefficient matrix
model obtained by history matching both pressure and GOR data H ⳱ Hessian matrix
resulted in almost identical predictions. Note that at 3,900 days, the H̃ ⳱ approximation to the Hessian matrix
cumulative oil production obtained for the initial model overpre- I ⳱ identity matrix
dicts the cumulative production predicted from the true model by k ⳱ horizontal permeability
approximately 14 million STB, whereas the overprediction for kz ⳱ vertical permeability
each of the three history-matched models is approximately 6 mil- m ⳱ vector of model parameters
lion STB. N ⳱ dimension of vectors
O(m) ⳱ objective function
Conclusions p ⳱ search direction
The scaled LBFGS optimization algorithm was applied to perform x,y,z ⳱ coordinate directions
automatic history matching for two realistic problems in a Bayes-
ian framework. For large-scale optimization problems, the basic Subscripts
advantage of the algorithm is that individual sensitivity coeffi-
cients are not needed; each iteration of the algorithm requires only d ⳱ data (for vectors)
the gradient of the objective function, and this gradient can be D ⳱ data (for matrices)
computed from one adjoint solution. The memory and computa- k ⳱ iteration index
tional effort required is reduced further by an implementation that, m ⳱ model (for vectors)
at each iteration, uses only a limited amount of information from M ⳱ model (for matrices)
previous iterations and avoids explicit computation and storage of obs ⳱observed
the approximation to the inverse Hessian. By using discrete sten- uc ⳱ unconditional
cils to approximate the multiplication of a vector by the prior
covariance matrix and its inverse, memory requirements are re-
Superscripts
duced significantly. With the implementation of LBFGS method
used here,29 automatic history matching within a Bayesian frame- T ⳱ transpose
work is feasible for field problems. –1 ⳱ inverse

Nomenclature Acknowledgments
C ⳱ covariance matrix This work was supported by the member companies of the U. of
d ⳱ vector of data (units depend on data type) Tulsa Petroleum Reservoir Exploitation Projects (TUPREP) and

Fig. 10—Wellbore-pressure match at producing well 1. Fig. 11—GOR match at producing well 1.

220 June 2005 SPE Reservoir Evaluation & Engineering

 Fig. 12—Change in log permeability in three cross sections.

the U.S. Dept. of Energy (DOE) under Award No. DE-FC26-
00BC15309. However, any opinions, findings, conclusions, or rec-
ommendations herein are those of the authors and do not neces-
sarily reflect the views of the DOE. We thank ChevronTexaco,
ExxonMobil, Lukarco, and the Republic of Kazakhstan for allow-
ing us to use the Tengiz data.
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June 2005 SPE Reservoir Evaluation & Engineering
 try. He holds a Master of Engineering degree in industrial math-
SI Metric Conversion Factors ematics from the Norwegian U. of Science and Technology in
bbl × 1.589 873 E – 01 ⳱ m3 Trondheim. Albert C. Reynolds holds the positions of McMan
Professor of Petroleum Engineering, Professor of Mathematics,
ft × 3.048* E – 01 ⳱ m and Director of TUPREP at the U. of Tulsa, where he has been a
ft3 × 2.831 685 E – 02 ⳱ m3 faculty member since 1970. He holds a BA degree from the U.
psi × 6.894 757 E + 00 ⳱ kPa of New Hampshire, an MS degree from Case Inst. of Technol-
ogy, and a PhD degree from Case Western Reserve U., all in
*Conversion factor is exact. mathematics. He has served SPE as a Technical Editor and as
a member of the Pressure Transient Testing Committee, the
Formation Evaluation Award Committee, and the Reservoir
Monitoring Committee. Reynolds received the SPE Distin-
Fengjun Zhang is a petroleum engineer at ChevronTexaco En- guished Achievement Award for Petroleum Engineering Fac-
ergy Technology Co. e-mail: feng@chevrontexaco.com. He ulty in 1983. He became a Distinguished Member of SPE in 1999
has worked in the areas of formation evaluation, seismic data and received the 2003 SPE Reservoir Description and Dynamics
inversion, reservoir engineering, and production optimization. Award. Dean S. Oliver is the Eberly Family Chair Professor and
His interests include reservoir characterization, history match- Director of the Mewbourne School of Petroleum and Geologi-
ing, dynamic and static data integration, optimization, and cal Engineering at the U. of Oklahoma. e-mail: dsoliver@ou.
artificial intelligence. Zhang holds a BS degree in well logging edu. Previously, he was a professor in the Dept. of Petroleum
and an MS degree in applied geophysics, both from the U. of Engineering at the U. of Tulsa, as well as a research geophysi-
Petroleum China, and a PhD degree from the U. of Tulsa. Jan cist for Chevron, a staff reservoir engineer for Chevron USA and
Arild Skjervheim is currently a PhD student at the U. of Bergen’s for Saudi Aramco, and a research scientist in reservoir charac-
Centre for Integrated Petroleum Research (CIPR). He has 2 terization and optimization. Oliver holds a BS degree in physics
years of consulting experience with Scandpower Risk Manage- from the Harvey Mudd College and a PhD degree in geophys-
ment, where he performed risk analysis in the petroleum indus- ics from the U. of Washington.

June 2005 SPE Reservoir Evaluation & Engineering 223