Quantifying Monte Carlo Uncertainty in the Ensemble Kalman Filter

The ensemble Kalman filter (EnKF) is currently considered one of the most promising methods for conditioning reservoir-simulation models to production data. The EnKF is a sequential Monte Carlo method based on a low-rank approximation of the system covariance matrix. The posterior probability distribution of model variables may be estimated from the updated ensemble, but, because of the low-rank covariance approximation, the updated ensemble members become correlated samples from the posterior distribution. We suggest using multiple EnKF runs, each with a smaller ensemble size, to obtain truly independent samples from the posterior distribution. This allows a pointwise confidence interval to be constructed for the posterior cumulative distribution function (CDF). We investigate the methodology for finding an optimal combination of ensemble batch size n and number of EnKF runs m while keeping the total number of ensemble members nxm constant. The optimal combination of n and in is found through minimizing the integrated mean-square error (MSE) for the CDFs. We illustrate the approach on two models, first a small linear model and then a synthetic 2D model inspired by petroleum applications. In the latter case, we choose to define an EnKF run with 10,000 ensemble members as having zero Monte Carlo error. The proposed methodology should be applicable also to larger, more-realistic models.