Profit and Risk Measures in Oil Production Optimization

Andrea Capolei; Bjarne Foss; John Bagterp Jørgensen

doi:10.1016/j.ifacol.2015.08.034

Profit and Risk Measures in Oil Production Optimization

Andrea Capolei, Bjarne Foss, John Bagterp Jørgensen

Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research › peer-review

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Abstract

In oil production optimization, we usually aim to maximize a deterministic scalar performance index such as the profit over the expected reservoir lifespan. However, when uncertainty in the parameters is considered, the profit results in a random variable that can assume a range of values depending on the value of the uncertain parameters. In this case, a problem reformulation is needed to properly define the optimization problem. In this paper we describe the concept of risk and we explore how to handle the risk by using appropriate risk measures. We provide a review on various risk measures reporting pro and cons for each of them. Finally, among the presented risk measures, we identify two of them as appropriate risk measures when minimizing the risk.

Original language	English
Title of host publication	Proceedings of the 2nd IFAC Workshop on Automatic Control in Offshore Oil and Gas Production OOGP 2015
Volume	48
Publication date	2015
Pages	214-220
DOIs	https://doi.org/10.1016/j.ifacol.2015.08.034
Publication status	Published - 2015
Event	2nd IFAC Workshop on Automatic Control in Offshore Oil and Gas Production - Florianópolis, Brazil Duration: 27 May 2015 → 29 May 2015

Conference

Conference	2nd IFAC Workshop on Automatic Control in Offshore Oil and Gas Production
Country	Brazil
City	Florianópolis
Period	27/05/2015 → 29/05/2015

Series	I F A C Workshop Series
ISSN	1474-6670

Keywords

Production optimization
Oil production
Risk measures
Stochastic problems

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Cite this

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title = "Profit and Risk Measures in Oil Production Optimization",

abstract = "In oil production optimization, we usually aim to maximize a deterministic scalar performance index such as the profit over the expected reservoir lifespan. However, when uncertainty in the parameters is considered, the profit results in a random variable that can assume a range of values depending on the value of the uncertain parameters. In this case, a problem reformulation is needed to properly define the optimization problem. In this paper we describe the concept of risk and we explore how to handle the risk by using appropriate risk measures. We provide a review on various risk measures reporting pro and cons for each of them. Finally, among the presented risk measures, we identify two of them as appropriate risk measures when minimizing the risk.",

keywords = "Production optimization, Oil production, Risk measures, Stochastic problems",

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volume = "48",

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publisher = "Elsevier",

pages = "214--220",

booktitle = "Proceedings of the 2nd IFAC Workshop on Automatic Control in Offshore Oil and Gas Production OOGP 2015",

note = "2nd IFAC Workshop on Automatic Control in Offshore Oil and Gas Production ; Conference date: 27-05-2015 Through 29-05-2015",

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Capolei, A, Foss, B & Jørgensen, JB 2015, Profit and Risk Measures in Oil Production Optimization. in Proceedings of the 2nd IFAC Workshop on Automatic Control in Offshore Oil and Gas Production OOGP 2015 . vol. 48, I F A C Workshop Series, pp. 214-220, 2nd IFAC Workshop on Automatic Control in Offshore Oil and Gas Production, Florianópolis, Brazil, 27/05/2015. https://doi.org/10.1016/j.ifacol.2015.08.034

Profit and Risk Measures in Oil Production Optimization. / Capolei, Andrea; Foss, Bjarne; Jørgensen, John Bagterp.

Proceedings of the 2nd IFAC Workshop on Automatic Control in Offshore Oil and Gas Production OOGP 2015 . Vol. 48 2015. p. 214-220 (I F A C Workshop Series).

Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research › peer-review

TY - GEN

T1 - Profit and Risk Measures in Oil Production Optimization

AU - Capolei, Andrea

AU - Foss, Bjarne

AU - Jørgensen, John Bagterp

PY - 2015

Y1 - 2015

N2 - In oil production optimization, we usually aim to maximize a deterministic scalar performance index such as the profit over the expected reservoir lifespan. However, when uncertainty in the parameters is considered, the profit results in a random variable that can assume a range of values depending on the value of the uncertain parameters. In this case, a problem reformulation is needed to properly define the optimization problem. In this paper we describe the concept of risk and we explore how to handle the risk by using appropriate risk measures. We provide a review on various risk measures reporting pro and cons for each of them. Finally, among the presented risk measures, we identify two of them as appropriate risk measures when minimizing the risk.

AB - In oil production optimization, we usually aim to maximize a deterministic scalar performance index such as the profit over the expected reservoir lifespan. However, when uncertainty in the parameters is considered, the profit results in a random variable that can assume a range of values depending on the value of the uncertain parameters. In this case, a problem reformulation is needed to properly define the optimization problem. In this paper we describe the concept of risk and we explore how to handle the risk by using appropriate risk measures. We provide a review on various risk measures reporting pro and cons for each of them. Finally, among the presented risk measures, we identify two of them as appropriate risk measures when minimizing the risk.

KW - Production optimization

KW - Oil production

KW - Risk measures

KW - Stochastic problems

U2 - 10.1016/j.ifacol.2015.08.034

DO - 10.1016/j.ifacol.2015.08.034

M3 - Article in proceedings

VL - 48

T3 - I F A C Workshop Series

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BT - Proceedings of the 2nd IFAC Workshop on Automatic Control in Offshore Oil and Gas Production OOGP 2015

T2 - 2nd IFAC Workshop on Automatic Control in Offshore Oil and Gas Production

Y2 - 27 May 2015 through 29 May 2015

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