Robust Multiobjective Nonlinear Constrained Optimization with Ensemble Stochastic Gradient Sequential Quadratic Programming-Filter Algorithm

Abstract

Summary As the crucial step in closed-loop reservoir management, robust life-cycle production optimization is defined as maximizing/minimizing the expected value of a predefined objective (cost) function over geological uncertainties (i.e., uncertainties in the reservoir permeability, porosity, endpoint relative permeability, etc.). However, with robust optimization, there is no control over downside risk defined as the minimum net present value (NPV) among the individual NPVs of the different reservoir models. Yet, field operators generally wish to keep this minimum NPV reasonably large to try to ensure that the reservoir is commercially viable. In addition, the field operator may desire to maximize the NPV of production over a much shorter time period than the life of the reservoir under the limitation of surface facilities (e.g., field liquid and water production rates). Thus, it is important to consider multiobjective robust production optimization with nonlinear constraints and when geological uncertainties are incorporated. The three objectives considered in this paper are; to maximize the average life-cycle NPV, to maximize the average short-term NPV, and to maximize the minimum NPV of the set of realizations. Generally, these objectives are in conflict; for example, the well controls that give a global maximum for robust life-cycle production optimization do not usually correspond to the controls that maximize the short-term average NPV of production. Moreover, handling the nonlinear state constraints (e.g., field liquid production rates and field water production rates for the bottom-hole pressure controlled producers in the robust production optimization) is also a challenge because those nonlinear constraints should be satisfied at each control steps for each geological realization. To provide potential solutions to the multiobjective robust optimization problem with state constraints, we developed a modified lexicographic method with a minimizing-maximum scheme to attempt to obtain a set of Pareto optimal solutions and to satisfy all nonlinear constraints. We apply the sequential quadratic programming filter with modified stochastic gradients to solve a sequence of optimization problems, where each solution is designed to generate a single point on the Pareto front. In the modified lexicographic method, the objective is always considered to be the primary objective, and the other objectives are considered by specifying bounds on them to convert them to state constraints. The temporal damping and truncation schemes are applied to improve the quality of the stochastic gradient on nonlinear constraints, and the minimizing–maximum procedure is applied to enforce constraints on the normal state constraints. The main advantage that the modified lexicographic method has over the standard lexicographic method is that it allows for the generation of potential Pareto optimal points, which are uniformly spaced in the values of the second and/or third objective that one wishes to improve by multiobjective optimization.