Quantification of the impact of ensemble size on the quality of an ensemble gradient using principles of hypothesis testing

Abstract

With an increase in the number of applications of ensemble optimization (EnOpt) for production optimization, the theoretical understanding of the gradient quality has received little attention. An important factor that influences the quality of the gradient estimate is the number of samples. In this study we use principles from statistical hypothesis testing to quantify the number of samples needed to estimate an ensemble gradient that is comparable in quality to an accurate adjoint gradient. We develop a methodology to estimate the necessary ensemble size to obtain an approximate gradient that is within a predefined angle compared to the adjoint gradient, with a predefined statistical confidence. The method is first applied to the Rosenbrock function (a standard optimization test problem), for a single realization, and subsequently for a case with uncertainty, represented by multiple realizations (robust optimization). The maximum allowed error applied in both experiments is a 10° angle between the directions of the EnOpt gradient and the exact gradient. For the single-realization case we need, depending on the perturbation size, 900, 5 and 3 samples to estimate a "good" gradient with 95% confidence at 50 points in the optimization space for 50 different random sequences. For the robust case, the conventional EnOpt approach is to couple one model realization with one control sample, which leads to a computationally efficient technique to estimate a mean gradient. However, our results show that in order to be 95% confident the original one-to-one model realization to control sample ratio formulation is not sufficient. To achieve the required confidence requires a ratio of 1:1100, i.e. each model realization is paired with 1100 control samples using the original formulation. However, using a modified formulation we need a ratio of 1:10 to stay within the maximum allowed error for 95% of the points in space, though a 1:1 ratio is sufficient for 85% of the points. We also tested our methodology on a reservoir case for deterministic and robust cases, where we observe similar trends in the results. Our results provide insight into the necessary number of samples required for EnOpt, in particular for robust optimization, to achieve a gradient comparable to an adjoint gradient.