Print Email Facebook Twitter A stochastic simplex approximate gradient (StoSAG) for optimization under uncertainty Title A stochastic simplex approximate gradient (StoSAG) for optimization under uncertainty Author Fonseca, R.M. (TU Delft Reservoir Engineering) Chen, B (University of Tulsa) Jansen, J.D. (TU Delft Civil Engineering & Geosciences; TU Delft Geoscience and Engineering) Reynolds, Albert C. (University of Tulsa) Faculty Civil Engineering & Geosciences Department Geoscience and Engineering Date 2016 Abstract We consider a technique to estimate an approximate gradient using an ensemble of randomly chosen control vectors, known as Ensemble Optimization (EnOpt) in the oil and gas reservoir simulation community. In particular, we address how to obtain accurate approximate gradients when the underlying numerical mod- els contain uncertain parameters because of geological uncertainties. In that case, ‘robust optimization’ is performed by optimizing the expected value of the objective function over an ensemble of geological mod- els. In earlier publications, based on the pioneering work of Chen et al. (2009), it has been suggested that a straightforward one-to-one combination of random control vectors and random geological models is capa- ble of generating sufficiently accurate approximate gradients. However, this form of EnOpt does not always yield satisfactory results. In a recent article, Fonseca et al. (2015) formulate a modified EnOpt algorithm, referred to here as a Stochastic Simplex Approximate Gradient (StoSAG; in earlier publications referred to as ‘modified robust EnOpt’) and show, via computational experiments, that StoSAG generally yields significantly better gradient approximations than the standard EnOpt algorithm. Here, we provide theoreti- cal arguments to show why StoSAG is superior to EnOpt Subject Approximate gradientStochastic gradientEnsemble optimizationRobust optimizationStoSAG To reference this document use: http://resolver.tudelft.nl/uuid:a446a27d-f51f-4b66-9014-2d2d8039b0d5 DOI https://doi.org/10.1002/nme.5342 ISSN 0029-5981 Source International Journal for Numerical Methods in Engineering, 109 (13), 1756-1776 Part of collection Institutional Repository Document type journal article Rights © 2016 R.M. Fonseca, B Chen, J.D. Jansen, Albert C. Reynolds Files PDF Fonseca_et_al_2016_Intern ... eering.pdf 1.47 MB Close viewer /islandora/object/uuid:a446a27d-f51f-4b66-9014-2d2d8039b0d5/datastream/OBJ/view