Applying kriging proxies for Markov chain Monte Carlo in reservoir simulation

Ilya Fursov*, Mike Christie, Gabriel Lord

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

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One way to quantify the uncertainty in Bayesian inverse problems arising in the engineering domain is to generate samples from the posterior distribution using Markov chain Monte Carlo (MCMC) algorithms. The basic MCMC methods tend to explore the parameter space slowly, which makes them inefficient for practical problems. On the other hand, enhanced MCMC approaches, like Hamiltonian Monte Carlo (HMC), require the gradients from the physical problem simulator, which are often not available. In this case, a feasible option is to use the gradient approximations provided by the surrogate (proxy) models built on the simulator output. In this paper, we consider proxy-aided HMC employing the Gaussian process (kriging) emulator. We overview in detail the different aspects of kriging proxies, the underlying principles of the HMC sampler and its interaction with the proxy model. The proxy-aided HMC algorithm is thoroughly tested in different settings, and applied to three case studies—one toy problem, and two synthetic reservoir simulation models. We address the question of how the sampler performance is affected by the increase of the problem dimension, the use of the gradients in proxy training, the use of proxy-for-the-data and the different approaches to the design points selection. It turns out that applying the proxy model with HMC sampler may be beneficial for relatively small physical models, with around 20 unknown parameters. Such a sampler is shown to outperform both the basic Random Walk Metropolis algorithm, and the HMC algorithm fed by the exact simulator gradients.

Original languageEnglish
Pages (from-to)1725-1746
Number of pages22
JournalComputational Geosciences
Issue number4
Early online date13 Jun 2020
Publication statusPublished - Aug 2020


  • Gaussian process
  • Markov chain Monte Carlo
  • Proxy model
  • Reservoir simulation
  • Uncertainty quantification

ASJC Scopus subject areas

  • Computer Science Applications
  • Computers in Earth Sciences
  • Computational Theory and Mathematics
  • Computational Mathematics


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