Textbook 301 Valko

PETE 301 PETROLEUM ENGINEERING NUMERICAL
METHODS LECTURE NOTES AND

STUDY GUIDE
Peter P. Valko
August 18, 2004

1 Course Objectives 5
Roots of equations and extrema of functions 29
Contents
I Introduction
4.1.1 Bisection .........................................................................................................
0. 2 Resources 4
29
6
4.1.2 False position ..................................................................................................
0. 3 Course structure 29
7
II Tools 8
1 Introduction to Excel and VBA 9
1.1 Starting Excel, saving a file ......................................................................................... 9
1.2 Workbook, worksheet, views, printing ........................................................................ 9
1.2.1 Review ............................................................................................................ 9
1.3 Spreadsheet basics ....................................................................................................... 9
1.4 Graphing with Excel .................................................................................................... 10
1.5 Numerical methods inside Excel .................................................................................. 10
1.6 Database Management with Excel .............................................................................. 11
1.7 Excel and the WWW .................................................................................................... 11
1.8 Keyboard macros and what they cant do ..................................................................... 11
1.9 VBA, variable, sub, function, module ........................................................................... 11
1.10 Structured Programming: Subs, Decisions and Loops ................................................. 17
2 Mathematica 21
III Engineering models and numerical methods 23
3 Mathematical Modeling and Engineering Problem Solving 24

3.1 Conservation Laws and Engineering ........................................................................... 24
3.2 Accuracy and Precision, Approximations and Round-Off Errors .................................. 24
3.3 Error propagation ........................................................................................................ 25
3.4 Existence and uniqueness, Convergence criterion ....................................................... 26
3.5 Order of the method, rate of convergence, stability, sensitivity .................................... 27
3.6 Classification of problems and methods ........................................................................ 27
4 Methods related to single variable problems 29
1
Appendix 64
7 Study4.1.3
guide Newtons method ............................................................................................ 65 30
7.1 Be able to ..................................................................................................................... 65
4.1.4 Optimization: Golden ratio search for a mnimum ........................................ 32
8 Assignments, testiteration
4.2 Fixed-point problems as a general framework for iterative processes . . . . 68 32
4.3 Representing, manipulating
8.1 Error propagation: borehole volume functions .........................................................................
............................................................................ 33
68
4.3.1 propagation:
8.2 Error Numerical one-gallon
Differentiation cube of functions that can be evaluated everywhere ..
............................................................................. 33
68
4.3.2 Numerical Integration ....................................................................................
8.3 Error propagation: barrel ............................................................................................ 34
68
4.3.3 propagation:
8.4 Error Simpsons 1/3 rule ...........................................................................................
hydrocarbon volume ..................................................................... 35
68
4.4
8.5 Interpolation, Smoothing,
Root finding; Newton Curvez fit,
iteration: Least
factor squares ....................................................
....................................................................... 36
69
8.6 4.4.1 Leastsolution
Root finding: Squaresofand theitsPRNumerical
equation of Aspects ......................................................
state ....................................................... 37
69
4.5 Root
8.7 Numerical solution
finding: of ordinary
heat balance differential equations ................................................
........................................................................................... 39
70
8.8 4.5.1 Basicfriction
Root finding: methods for solving
factor ODE .......................................................................
......................................................................................... 39
70
8.9 Root finding: Well deliverability ................................................................................. 71
5 Methods related to multi-variable problems 41
8.10 Root finding: isoterm flash .......................................................................................... 71
5.1 Matrices, vectors .......................................................................................................... 41
8.11 Optimization: Maximizing Net Present Value ............................................................. 72
5.2 System of linear equations .......................................................................................... 43
8.12 Integration of a function: PV ........................................................................................ 73
5.3 LU Decomposition and Backsubstitution ..................................................................... 46
8.13 Numerical integration of discrete data: pore volume .................................................. 73
5.4 System of nonlinear equations, Newton-Raphson method .......................................... 50
5.5 Multivariable extrema ................................................................................................ 53
5.6 Solution of system of ordinary differential equations: RK4 ......................................... 54
5.7 Partial differential equations and reservoir simulation ............................................... 55
5.7.1 Reservoir Simulation ..................................................................................... 59
6 Integral Transforms, Spectral methods, inversion of the Laplace transform 61

6.1 Transformations ........................................................................................................... 61
6.2 Laplace transform ....................................................................................................... 61
6.2.1 Numerical inversion of the Laplace transform ............................................... 61
2
Tables 81
8.14 Straight-line: formation volume factor model 1 ........................................................... 74

8.15 Straight-line: formation volume factor model 2 ............................................................ 74
8.16 Straight-line: gas in place ............................................................................................. 75
8.17 Straight-line: Flow-After-Flow Test (IPR) .................................................................... 75
8.18 Nonlinear least squares: oil viscosity as a function of pressure and temperature .....76
8.19 ODE: Production rate decline from a differential equation .......................................... 76
8.20 ODE: pressure versus depth in a shut-in well ............................................................. 77
8.21 Meaning of matrices and vectors: chemical component balance ................................... 77
8.22 System of linear equations: mixing ............................................................................... 77
8.23 System of linear equations with many right-hand-sides: log interpretation 78
8.24 Nonlinear System of Equations: Chemical Equilibrium of Methan Combus-
tion .............................................................................................................................. 79
8.25 Units: Darcys law ......................................................................................................... 80
3
Part I
Introduction
4
0.1 Course Objectives
Learn the underlying principles behind some commonly used numerical methods.
Understand the route from arithmetic and calculus to numerical methods.

Understand the basic concepts including uniqueness, approximation, error, con-
vergence, and stability.
Learn how to program a numerical method using modern programming concepts
Problem solving steps

Structured programming
Use of subroutines, modules
Learn how to make use of Visual Basic for Applications.
Learn how to use an integrated program development system providing debugging
facilities.
Recognize the main features of a mathematical problem arising in a technical con- text.
Single- or multi-variable
Linear or non-linear
Involves algebraic, differential or integral equations
Direct or iterative technique should be applied
Explicit or implicit scheme is appropriate
Develop skills to formulate a problem starting from physical principles.
Start with conservation principles

Include material properties
Add problem specific conditions
Learn how to use various resources in solving a complex problem
Use of software systems; Subroutine libraries, modules
Internet resources
Improve ability to critically analyze numerical results
Improve documentation skills
5
0.2 Resources
The concepts and methods of technical computing are summarized in the excellent book of Chapra
and Canale: Numerical Methods for Engineers (CC). In order to make efficient use of our time, we
request you to read the material before the lecture. Any similar book can be used, however.
The Visual Basic for Applications (Excel) program development environment will be available in
the lab. Whenever you are asked to solve a problem by computer, we request an Excel Workbook with
Visual Basic source code and results. Excel and VBA for Excel has a vast literature.
We will give you the opportunity to experiment with many of the numerical methods using a
Living Textbook, developed particularly for this course. To make full use of the Living Textbook you
will need a software system called Mathematica. This course, however, does not require you to learn
how to program in Mathematica. In fact, to run any portion of the Living Textbook you will need
minimum knowledge which can be acquired in 5 minutes.
Many of the specific petroleum engineering problems also will be provided in the form of Living
Textbook. You may experiment with them and may use the results for checking your Visual Basic for
Applications (VBA) program results.
Basic References
1) S.C. Chapra and R. P. Canale : Numerical Methods for Engineers, McGraw Hill, any edition,
any year (or any similar title)
2) Either of the following (or any similar title)

a) Larsen: Engineering with Excel, Prentice Hall, 2002
b) Liengme: A guide to Microsoft Excel 2002 for scientists and engineers, Butterworth
Heinemann, 2002
c) Bloch : Excel for Engineers and Scientists, 2002
3) All of your Petroleum Engineering Books
Special thanks go to L. Piper, B. Maggard, R. Archer, R. Wattenbarger .
6
0.3 Course structure
1. Engineering problem solving tools and programming
(a) Engineering problem solving approaches, software tools
(b) Excel
(c) VBA
(d) Structured and Modular Programming
2. Basics of numerical methods
(a) Taylor polynomial, Numerical errors, Error propagation
(b) Iteration, Convergence, Order, Stability, Sensitivity
(c) Classification of problems and methods
3. Methods related to single variable problems
(a) Roots of equations and extrema of functions Bisection; False position; Newton; golden
ratio search
(b) Numerical differentiation and integration Finite difference; Trapezoid rule; Simpsons
rule
(c) Interpolation, Smoothing, Curve fit, Least squares
(d) Numerical solution of ordinary differential equations
4. Methods related to multi-variable problems
(a) Matrices, vectors
(b) System of linear equations

(c) Gauss, Gauss-Jordan, LU decomposition Special cases, Iterative methods
(d) Multivariable nonlinear equations: Newton-Raphson
(e) Multivariable extrema: Nelder-Mead simplex, Fully nonlinear least squares
5. Partial differential equations and reservoir simulation
(a) Classification and Numerical Solution of PDEs
(b) Transient solution of the diffusivity equation
(c) Reservoir simulation
6. Transformation methods
(a) Spectral methods
(b) Laplace transform inversion
7
Part II
Tools
8
Chapter 1
Introduction to Excel and VBA
1.1 Starting Excel, saving a file

To create a new workbook: On the File menu, click New, and then click Blank Workbook on the New
Workbook task pane.
To save a workbook:
On the File menu, click Save As.
In the File name box, type a new name for the workbook.
In the Save as type list, click a file format (if you want other than .xls)
(In general, it is useful to click the right mouse button. Most of the time it will offer a menu item you
really want.)
1.2 Workbook, worksheet, views, printing

1.2.1 Review
A Microsoft Excel workbook is a file that contains one or more worksheets, which you can use to
organize various kinds of related information. You can enter and edit data on several worksheets
simultaneously and perform calculations based on data from more than one worksheet. When you
create a chart, you can place the chart on the same worksheet as its related data or on a separate
chart sheet.
To view and scroll independently in different parts of a worksheet, you can split a worksheet
horizontally and vertically into separate panes. Splitting a worksheet into panes allows you to view
different parts of the same worksheet side by side and is useful, for example, when you want to
paste data between different areas of a large worksheet. To see how it will look like in print: On the
View menu, click Page Break Preview. Before you do any work, make sure that you macros are
allowed (security level is low) and you can save an excel spreadsheet to your own disk.
1.3 Spreadsheet basics

The difference between relative and absolute references is the key concept to understand:
9
Relative references A relative cell reference in a formula, such as A1, is based on the relative
position of the cell that contains the formula and the cell the reference refers to. If the position of the
cell that contains the formula changes, the reference is changed. If you copy the formula across rows
or down columns, the reference automatically adjusts. By default, new formulas use relative
references. For example, if you copy a relative reference in cell B2 to cell B3, it automa tically adjusts
from =A1 to =A2.
Absolute references An absolute cell reference in a formula, such as $A$1, always refer to a cell in
a specific location. If the position of the cell that contains the formula changes, the absolute reference
remains the same. If you copy the formula across rows or down columns, the absolute reference does
not adjust. By default, new formulas use relative references, and you need to switch them to absolute
references. For example, if you copy a absolute reference in cell B2 to cell B3, it stays the same in
both cells $A$1.
1.4 Graphing with Excel
Import a text file Click the cell where you want to put the data from the text file. To ensure that
the external data does not replace existing data, make sure that the worksheet has no data below or
to the right of the cell you click. On the Data menu, point to Import External Data, and then click
Import Data. In the Files of type box, click Text Files. Check out also: On the Data menu: Text to
Columns.
Creating an XY (Scatter) Plot You can create a chart on its own sheet or as an embedded object on
a worksheet. You can also publish a chart on a Web page. To create a chart, you must first enter the
data for the chart on the worksheet.
Arrange your data in columns, with x values in the first column and corresponding y values
and/or bubble size values in adjacent columns.
Then select that data and use the Chart Wizard to step through the process of choosing the chart
type XY and the various chart options, or use the Chart toolbar to create a basic chart that you can
format later.
Best-fit equations may be calculated for chart data via the Add Trendline dialog. Trendline
equations are displayed by checking the correct box under the Options tab Errors bars can be added
to a chart by left clicking on a data series, and accessing the Format Data Series dialog box
Editing an Existing Graph Check out. Creating Graphs
with Multiple Curves Check out.
More graphs types Check out.
1.5 Numerical methods inside Excel
Goal Seek The Goal Seek dialog box can be used to solve for roots of a single equation. An initial
guess is needed. Goal Seek performs calculations which improve the solution accuracy.
10
Solver The Solver can be used to solve both linear and nonlinear optimization problems,
i. e. maximize or minimize an objective function subject to known constraints.
The Solver Parameters dialog box refers to the following: Cell for the objective function value
(which is to be maximized or minimized) Cells for the the values of the independent (decision)
variables If the values of the independent variables are subject to the constraints, then cells
constrained.
1.6 Database Management with Excel

Check out Search, Filter and Sort in the Data menu.
1.7 Excel and the WWW

Excel files may be converted to HTML (web) documents. The HTML Wizard guides you through the
process.
1.8 Keyboard macros and what they cant do

If you perform a task repeatedly in Microsoft Excel, you can automate the task with a macro. A
macro is a series of commands and functions that are stored in a Microsoft Visual Basic module and
can be run whenever you need to perform the task.
For example, if you often enter long text strings in cells, you can create a macro to format those
cells so that the text wraps.
Recording keyboard macros: When you record a macro, Excel stores information about each step
you take as you perform a series of commands. You then run the macro to repeat, or play back, the
commands. If you make a mistake when you record the macro, corrections you make are also
recorded. Visual Basic stores each macro in a new module attached to a workbook.
Making a macro easy to run: You can run a macro by choosing it from a list in the Macro dialog
box. To make a macro run whenever you click a particular button or press a particular key
combination, you can assign the macro to a toolbar button, a keyboard shortcut, or a graphic object on
a worksheet.
Keyboard macros are to replay your keystrokes. If you want to program your own algorithms, you
need VBA programming.
1.9 VBA, variable, sub, function, module

Visual Basic for Applications The programming language of this course is Visual Basic for
Applications (VBA), which is included with the Excel spreadsheet application. This combination of
programming language and spreadsheet has many powerful features, which make it an excellent tool
for problem solving.
1. A modern, structured programming language, with many intrinsic procedures
(a) Mathematics
(b) Data type conversion
11
(c) String manipulation
(d) File system
2. Ability to control all of Excels features through the Microsoft Excel Objects, including
(a) Data management

(b) Graphics
(c) Solver (for optimization and root finding)
3. Ability to add custom functions which can be used like built-in Excel functions
4. Capabilities allowing the development of event driven, user friendly programs through a
variety of interface tools
(a) Dialog and input boxes

(b) Custom user forms with spinners,checkboxes, etc.
(c) Custom menus and toolbars
5. The ability to extend the language through object oriented programming with the use of Class
Modules
Example: VBA011 program (After Hahn): If a stone is thrown vertically upward with an initial
speed u, its vertical displacement s after a time t has elapsed is given by a simple formula. In this
formula, g is the acceleration due to gravity. Air resistance has been ignored. We would like to
compute the value of s, given u and t. Note that we are not concerned here with how to derive the
formula, rather we want to compute its value. The logical preparation of this program is as follows:
0. Place the values of g, u and t into variables which can be used for calculations
1. Compute the value of s according to the formula.
2. Output the value of s which is the result
3. Stop
This plan may seem trivial to you, and a waste of time writing down. Yet you would be surprised
how many beginners, preferring to rush straight to the computer, try to program step 2 before step
1.
It is well worth developing the mental discipline of planning your program first-if pen and paper
turns you off why not use your word processor? You could even enter the plan as comment lines in
the program.
Option Explicit
Const g As Double = 9.81 gravitational acceleration, m/s~2
Sub VBA011() vertical motion under gravity Dim s As Double
vertical displacement, m Dim t As Double time, s Dim u
As Double initial velocity, m/s
12
u = 30
t=6
s=u * t - ( g / 2 ) * t ~ 2
MsgBox "s = " & CStr(s) &" meters." s is converted to a string End Sub
To make this program run do the following:
1. From a new Excel workbook, use the Tools, Macros, Visual Basic Editor menu choice to start
the VBA integrated development environment (includes editor, compiler, help and debugger).
2. In Project window of VBA, right click on your new Excel workbook (usually VBAProject
(Book1)) and insert a new module.
3. Cut and paste the text of VBA011, shown in the above text box into the newly created module.
Note that the Option Explicit is not part of the program, but is a module option. Note the
colors of comments (green), language elements (blue), and names (black).
4. Left click to place the cursor anywhere inside the subroutine, and use the menu to choose Run,
Run Sub/User Form.
5. If you have questions on the language elements, shown in blue, place the cursor on the word
and hit the F1 key.
Some remarks:
1. VBA performs automatic syntax checking and formatting of code.
2. The single quote character () denotes the beginning of a comment.

3. In PETE 301 every module should require explicit variable typing by using Option Explicit
module option.
4. The strange way of declaring g makes it a named constant, (its value cannot be changed). The
fact that it is placed outside the subroutine makes it valid in the whole module (scope:
module).
5. There is no input. All needed data are hard wired into this simple subroutine. (Later we will
learn how to read from the worksheets.)
6. Output is done using a message box. Later we learn how to put results into the worksheets.
7. This module contains only one subroutine (macro). In fact many of them can be placed into one
module.
Built-in (or intrinsic) functions

Visual Basic has many built-in functions. You will often need the math functions: Abs, Atn, Cos,
Exp, Fix, Int, Rnd, Sgn, Sin, Sqr, Tan.
Log is natural-log. If you wish ten-based logarithm, use Log(x)/Log(10).
13
Example: Sin function
Returns a Double specifying the sine of an angle. Syntax: Sin(number)
The required number argument is a Double or any valid numeric expression that expresses an angle
in radians.
Remarks: The Sin function takes an angle and returns the ratio of two sides of a right triangle. The
ratio is the length of the side opposite the angle divided by the length of the hypotenuse. The result
lies in the range -1 to 1. To convert degrees to radians, multiply degrees by pi/180. To convert
radians to degrees, multiply radians by 180/pi.
Those functions are useful, but they are not customizable. Even if you find a Visual Basic function
that is this close to what you need, you cant worm your way into the innards of Visual Basic to
change the way it works. You can, however, create a function of your own.
A great number of other functions are also available. For instance, both Excel and Visual Basic have
functions that return a random number between 0 and 1. The Excel function is named Rand(), and
the Visual Basic function is named Rnd(). You can use the Excel function in a worksheet cell and
(with some tricks) also in your VBA macro, but you can use the Visual Basic function only in a
macro.
Data Types The following table shows the supported data types
Byte 1 byte 0 to 255

Boolean 2 bytes True or False
Integer 2 bytes -32,768 to 32,767
Long(long integer) 4 bytes -2,147,483,648 to 2,147,483,647
Single (single floating-point) 4 bytes -3.402823E38 to 3.402823E38
Double (double floating-point) 8 bytes -1.E308 to 1.8E308
String (variable-length) 10 +length 0 to appr 2 billion
Variant (with numbers) 16 bytes see range of a Double
Arrays of any data type require 20 bytes of memory plus 4 bytes for each array dimension plus the
number of bytes occupied by the data itself.
Dim Statement: Declares variables and allocates storage space.
Dim NumberOfEmployees As Integer Dim

x As Double, y as Double
When Option Explicit appears in a module, (as it should in PETE301) you must explicitly
declare all variables using the Dim, Private, Public, ReDim, or Static statements. If you attempt to
use an undeclared variable name, an error occurs at compile time.
Note:
Dim a,b As Integer
will declare b as an Integer, but a will be the default (Variant). You have to write
Dim a As Integer, b As Integer
14
if you wish to declare both as integer.
Numerics VBA makes a clear distinction between integer and real. Integers are used for counting
things. Real numbers include a fractional part. Real numbers stored as integers are rounded to the
nearest integer.
Dim n As Integer, m As Double

n = !result is 1
4/3 n !result is 2
= 5/3 !result is 2
n = !result is 4
7/2 n !result is 2.5
= 5/2
m You= should be aware of rules regarding priorities. For instance a frequent error is to write
5/2
z = p*v/R*T
instead of the correct:
z = p*v/(R*T)
Strings To convert any other value to a string, use the Cstr intrinsic function.
Objects,input and output

The structure With/End With and the operator point can be understood if you are familiar
with the concept of object.
ThisWorkbook is a hierarchical object. It has several Workseets (a whole collection of them).
One of them is called Sheet2. The following example shows how to read a number into variable a
from cell A4 of Sheet2:
With ThisWorkbook.Worksheets("Sheet2") a =.Cells(1, 4)

End With
This will output date and time into cells A4 and A5 of Sheet2:
Sub VBA014()
Dim d As String, t As String d = Date() Intrinsic function t = Time() Intrinsic function Display the result
With ThisWorkbook.Worksheets("Sheet2")
.Cells(1, 4)= d
.Cells(1, 5)= t End With
End Sub
(Objects have properties and methods associated with them. For instance, when you are
formatting a cell, you change some of its properties using some methods available.)
Advanced topics: Variable scope, lifetime, visibility The following key words are important:
Static, Public, Private.
The scope of a variable is from where it can be reached/altered. Variables declared in a
procedure can be used only within the procedure (local variable for the procedure).
15
Variables declared on the module level can be used in the entire modul in any of the
procedures within the module (global variable for the module).
Static variables keep their value between two occasions of entering into their scope. In
other words, their lifetime is not limited to one call. In general, a procedure-level variable
looses its value between two calls, unless it is declared Static.
Both module-level variables and all procedures are Public, by default, meaning that
they are visible even from other modules (or even other applications.) You can make
them Private, and then they are visible only within the module.
We will often use module level variables (globals) to simplify engineering problem
solving, when some data are needed in various parts of the program.
Advanced topics: Argument passing by Value or by Reference All arguments are

passed to procedures by reference, unless you specify otherwise. This is efficient because
all arguments passed by reference take the same amount of time to pass and the same
amount of space (4 bytes) within a procedure regardless of the arguments data type.
(You can pass an argument by value if you include the ByVal keyword in the pro-
cedures declaration. Arguments passed by value consume from 2 16 bytes within the
procedure, depending on the arguments data type. Larger data types take slightly longer
to pass by value than smaller ones.)
Errors, Debugging and Testing Compilation errors are errors in syntax and construc-
tion, like spelling mistakes, that are picked up by the compiler during compilation, the
process whereby your program is translated into machine code. They are the most fre-
quent type of error. The compiler prints messages, which may or may not be helpful,
when it encounters such an error. Generally, there are three sorts of compiler errors:
1. Ordinary errors-the compiler will attempt to continue compilation after one or more
of these errors has occurred, e.g. missing End If statement
2. Fatal errors-the compiler will not attempt further compilation after detecting a fatal
error, e.g. Program too complicated-too many strings
3. Warnings-these are not strictly errors, but are intended to inform you that you
have done something unusual which might cause problems later, e.g. Expression
in If construct is constant or variable has not been assigned a value but used, or
variable has not been declared (if implicit typing is used)
Some typical errors:
g = 9,81
x = 1 + (2 * 3
.Cell(2,1)=5
If (a=b) comma instead of decimal point
x=3 unpaired parentheses
Else Wrong function name: Cell instead of Cells Missing
x=4 then
End If
If a program compiles successfully, it will run. Errors occurring at this stage are called run -time
errors, and are invariably fatal, i.e. the program crashes. An error message, such as
1. Floating point division by zero
16
2. Overflow
3. Negative argument in the function sqr() is
generated.
Overflow is quite common. It occurs, for example, when an attempt is made to compute a real
expression which is too large, or when you divide by a previously not assigned variable, which might
be almost zero, because it contains some trash.
Negative argument to Sqr or non-positive argument to Log is often the result of a previous logical
error.
At times a program will give numerical answers to a problem which appear inexplicably different
from what we know to be the correct mathematical solution. This can be due to rounding error, which
results from the finite precision available on the computer. , e.g. two or four bytes per variable,
instead of an infinite number.
Run the following program :

Option Explicit Sub VBA022()
Dim sumx As Double sumx = 0.1 Do
sumx = sumx + 0.001 Debug.Print
sumx If (sumx = 0 . 2 ) Then Exit Do
Loop End Sub
Watch the Immediate Window! You will find that you need to crash the program to stop, e.g. with
ctrl-break. The reason is: x never has the value 0.2 exactly, because of rounding error. In fact, x
misses the value of 0.2 by about 10 -9.
Now try this:
If (abs(sumx - 0.2) < 1e-6) Then Exit Do
Programming is not about avoiding errors from the beginning. In fact that would be a lmost
impossible. Real programming is about localizing your errors by debugging and correcting them.
Check your work 100+1 times. Use test problems. Print out intermedate results. Investigate
limiting cases.
Message Boxes, Custom Dialogue Boxes
1.10 Structured Programming: Subs, Decisions and Loops
Using a Subroutine Subroutines are an important component of top down program design.
Subroutines allow the programmer to build and test program procedures that perform a single, well
defined task. This can make complex programs easier to design, test, and debug.
All executable code must be contained in a procedure. Procedures cant be nested within other
procedures.
17
Example Let in your Excel workbook, Sheet3 contain the following: Cells A1 and B1 should
contain the X and Y coordinates of a point. Cells A2 and B2 should contain the X and Y coordinates
of a second point.
This program will read the coordinates of the two points and calculate the slope and intercept of the
unique straight line defined by the two points, and output the results in a message box. These two
subroutines should be contained in a brand new module within your VBA project. Because the
My_Line subroutine has arguments, it cannot be executed directly, like the previously discussed
subroutines, by using the VBA Run menu.
Option Explicit
Private Intercept As Double
Sub VBA015()
Dim X1 As Double, X2 As Double, Y1 As Double, Y2 As Double Dim Slope As
Double Get the two points from the worksheet, "Sheet3":
With ThisWorkbook.Worksheets("Sheet3")
X1 = .Cells(1, 1)
Y1 = .Cells(1, 2)
X2 = .Cells(2, 1)
Y2 = .Cells(2, 2)
End With
Calculate the Slope and Intercept Call My_Line(X1,

Y1, X2, Y2, Slope)
Display the result With

ThisWorkbook.Worksheets("Sheet3")
.Cells(3, 1)=" Slope:"
.Cells(3, 2)= Slope .Cells(4, 1)=
"Intercept:"
.Cells(4, 2)= Intercept End With
End Sub
A subroutine used inside:
Sub My_Line(x As Double,y As Double,xx As Double,yy As Double,m As Double) m = (yy - y) / (xx

- x)
Intercept = y - m * x End Sub
Note: Watch for scope of the various variables! Intercept is a module level variable, but Slope is not.
Intercept cannot be seen from other modules.
The If/Then/Else Decision Structure

Example (after Hahn) Most banks offer differential interest rates-more for the rich, less for the
poor. (The Else part may be missing and you may create more complex structure with Else If.)
If balance < 3000 Then apr = 0.03 Else

apr = 0.06
End If
18
Loops: the heart of programming math
Countable: Do the block for i = 1, then i = 2 , etc.:
For i = 1 To 10
"block... "
Next i
Count down: Do it for j = 100, then j = 90 etc.:

For i = 100 To 50 Step -10 block Next i
Forever: Loop forever unless If stops it:

Do
If "logical_expression..." Then Exit Do "block... "
Loop
Condition controlled: Do while logical expression is true:

While "logical_expression..."
"block... "
Wend
Select Case structure makes your code readable Use the Select Case statement as an
alternative to using ElseIf in If...Then...Else statements when comparing one expression to several
different values. While If...Then...Else statements can evaluate a different expression for each ElseIf
statement, the Select Case statement evaluates an expression only once, at the top of the control
structure.
Select Case performance Case 1
bonus = salary * 0.1 Case
2, 3
bonus = salary * 0.09 Case
Is > 3
bonus = 100 Case Else
bonus = 0
End Select
Arrays Arrays are declared the same way as other variables, using the Dim, Static, Private, or
Public statements. The difference between scalar variables (those that arent arrays) and array
variables is that you generally must specify the size of the array. An array whose size is specified is a
fixed-size array. An array whose size can be changed while a program is running is a dynamic array.
Whether an array is indexed from 0 or 1 depends on the setting of the Option Base statement. If
Option Base 1 is not specified, all array indexes begin at zero.
Declaring a fixed array In the following line of code, a fixed-size array is declared as an Integer
array having 10 rows and 10 columns:
19
Option Base 1
Dim MyArray(10, 10) As Integer
The first argument represents the rows; the second argument represents the columns. As with any
other variable declaration, unless you specify a data type for the array, the data type of the elements
in a declared array is Variant. To write code according to PETE301 conventions, explicitly declare
your arrays to be of a data type other than Variant.
Arrays can also be dimensioned on-the fly, using the ReDim command. It is used for dynamic
allocation of arrays on the procedure level.
A useful related function is UBound(). It returns the largest available subscript for the indicated
dimension of an array.
20
Chapter 2
Mathematica
Many of the concepts, methods and applications of this course are now programmed as Living
Textbook. Using the software Mathematica any section (notebook) of the Living Textbook can be
read on the screen and/or run as a program. The particular examples can be modified and rerun
providing a unique possibility for experimenting with numerical methods and petroleum engineering
applications.
Mathematica is a complete environment for calculating and communicating in science and
technology, delivering computing power to over one million people around the world. Breakthrough
new features such as an innovative typesetting system that can do math now make Mathematica
even easier to use. Known for delivering quick, accurate numeric and symbolic solutions,
Mathematica is ideal for creating interactive scientific papers, technical reports, presentations, and
courseware that include text, active formulas, two- and three-dimensional graphics, and
customizable buttons and palettes. A growing library of application packages provides specialized
capabilities in areas such as engineering, fi- nance, statistics, data analysis, optics, astronomy, and
fuzzy logic. The associated web site is at http://www.wolfram.com.
While it is very useful and therefore strongly recommended that you should become familiar with
the basics of the fully integrated environment for technical computing, Math- ematica, this course is
not intended to teach programming in Mathematica. In fact, to make use of the Living Textbook you
need to know only a very few things:
The basic concept is the notebook. A Mathematica notebook is something between a word
processor-type document and a Fortran-type program. When a notebook is running the results of the
computations are appearing immediately after the input lines.
To start a Mathematica notebook in Windows: Double click on the notebook.
To see details: A Mathematica notebook consists of a hierarchical structure of cells. You can
think of the main cells as Chapters. Every Chapter contains sections, every section contains
subsections, etc. At start usually you will see only the main cell names, that is the Chapter titles.
Then you can open or close any Chapter by clicking the little triangle at the left.
To run the whole notebook: Select Kernel, Evaluate notebook from the menu. If the system asks
a question about evaluating initialization cells, respond clicking yes. To see what is happening use
the mouse and the scroll bar or the PgUp and PgDn keys.
To make a small change and rerun an example: Go to the item you want to change with the
mouse cursor. Use the Del or Backspace keys and type what you want. Once
21
you are ready, select Kernel, Evaluate Cell . (For those interested in shortcuts: you can use the
Enter key on the numeric keypad, as well.)
Mathematica notebooks may contain a large amount of graphics. Since printing graphics may
overload the system and especially the printer, we ask you not to print the notebooks, unless it is
necessary. Before printing make sure you deleted unnecessary parts.
Living Textbook Content

LTS021 Taylor Series Expansion, Remainder Term and Truncation Error
LTS031 Root-Finding
LTS032 More about iterations
LTS033 Extrema of single variable function
LTS041 Numerical Integration of functions
LTS061 Ordinary Differential Equations Basic Concepts
LTS071 Numerical Solution of the ODE Initial Value Problem
LTS072 Reservoir Material-Balance
LTS081 Vectors, Matrices, Linear system of Equations
LTS091 Direct Solution of Systems of Linear Equation
LTS092 Systems of Linear Equations: Gauss-Siedel Iterative Method
LTS101 Solution of System of Non-Linear Equations
LTS102 Minimization of a Multi-Variable Function
LTS121 Oil-Water 2D IMPES
LTS131 Spectral Methods: Discrete Fourier Transform
22
Part III
Engineering models and

numerical methods
23
Chapter 3
Mathematical Modeling and

Engineering Problem Solving
3.1 Conservation Laws and Engineering
3.2 Accuracy and Precision, Approximations and Round- Off

Errors
Precision is related to repeatability or to the number of digits obtained. Accuracy is related to how
near we are to the true value. Obviously, accuracy is more important than precision.
In analysis of the numerical methods we often start with the Taylor series expansion:
f (x + h) = f (x) + h f'(x)/1 ! + h 2 f "(x)/2 ! + ...
Several terms on the right hand side will enter the formula of the method. The first term left out is
the leading error term. The additional terms are usually neglected in the analysis.
Truncation error: difference between true result (for actual input) and the approximate result
produced by given algorithm using exact arithmetic. in general, it is estimated by the leading error
term.
Rounding error: difference between result produced by given algorithm using exact arithmetic and result
produced by same algorithm using limited precision arithmetic.
Computational error is sum of truncation error and rounding error, but one of these usually dominates.
Since usually input data are in error and we do a lot of steps, the most important issue is: How does the
error propagate?
Measures of the error in approximating a number with true value x by an approximation x:
24
True Error, Et = x x Relative Error, xx
'X
Percentage Relative Error, x-^xx 100.
Of course, in general, the true value will not be known so these error measurements cannot be
carried out rigorously. However, in many cases upper bounds for the values of these errors can be
found which give us enough information to put the result into perspective.
3.3 Error propagation

A new perspective: The result of a computation is a multi-variable function of the input values.
For simplicity, consider two variables. The first order Taylor approximation:
df d f
f (x + Ax, y + Ay) = f (x, y) + Ax + Ay + ...
Rearranging and introducing Af = f (x + Ax,y + Ay) f (x, y) we obtain the basic relatiuon of error
calculus:
Af =11 f l|A *+% ||Ay+...
In this error calculus Ax means always a positive quantity, it represents the maximum possible
value of the actual error.
Derive what are the two partial derivatives of
f=x+yf
= x y f
=xy
f = x/y
From there we obtain, that for summation/substraction the absolute errors are added. For
multiplication and division the relative errors are added.
Example: Find the error in a laboratory determination of the gas z-factor, given that:
p=3 2 4 5 A p = 3 ( m e a n i n g : 3ps)
v = 1.977 ft3 Av = 0.003 ft3
n =1 mole An = 0.001 mole
T = 739.67 oR AT = 0.03 oR
Differentiating z = pv/(nRT) we obtain
25
Az = y TRT yAp + y T R T yAv + y n,fT yAn + y nRT 2 iiat
A simpler form is
Az = yzy ( jp + jr + jn + jr j =2.8 10-3
(Does the result have any dimension? Why did we not use more decimal figures? Why do we use
absolute value? Why do we not use absolute value in the p term? Does it matter that T is in the
denominator?
(Note: lb-mole is a rather obsolete unit: it is 453.592 mol, or sometimes the mass or weight of it;
R = 10.73 psi ft 3/(lb mole oR ) is the universal gas constant in the English or field system of
units)
Error propagation in a numerical method What happens with the error inherited? The stability
of a computational algorithm : errors (originated from truncation and round- off) are not amplified
from step to step but are rather kept under control
Ill-conditioned problem A problem is ill-conditioned if results are very sensitive to input data
(regardless of the method used)
3.4 Existence and uniqueness, Convergence criterion

Review the following concepts:
Existence and uniqueness of solution
Graphical versus numerical solution
Analytical versus numerical method to get the results numerically Direct vs
iterative (explicit vs implicit)
Convergence
Mathematically a series converges to a limit if the difference of the n-th term and the limit can be
made smaller than any selected positive epsilon by selecting a large enough n.
Typically in many numerical problems, a sequence of approximate values will be obtained
which, hopefully, converge towards the desired solution:
xo, xi, x2 , x3 , x4 ,
If they appear to be converging, then a measure something like the percentage relative error is
used:
x i -i-i xi
a = -+ ----------- i X 100
x i+1
(If, however, the x can be near-zero, an absolute error criterion is better. Why?)
If this error approximation a drops below some user-specified tolerance, then the process is
stopped. (The results should be checked if possible, in some other independent way for the required
accuracy.)
26
3.5 Order of the method, rate of convergence, stability,
sensitivity
Since most methods are derived from some Taylor expansion considerations, the theoret- ical order of
a method is related to the truncation of the Taylor series. Examples will be given in the numerical
differentiation section. Broadly speaking: the order of the method is the exponent of the variable
step-size in the leading error term.
Total error: truncation and round-off
Error propagation in a numerical method is as important as the magnitude of the error.
Practical rate of convergence is often determined by numerical experimentation. For this purpose
we need simple examples with known exact solutions. If we plot estimates of errors on a log-log plot,
we will see that the error is decreasing with step-size, and the relation appears to be a straight line.
If, for instance, the for every log cycle of the step-size the error changes two log cycles, the rate
is quadratic.
Often instead of the effect of step-size we are more interested in the effect of number of
iterations.
Trade-Off Regarding step-size The point is, that smaller step-size provides larger accuracy, but
after a while the increased number of calculations bring more round-off errors. Therefore there exists
always an optimum.
Trade-Off regarding complexity is very similar. It is better to use a higher order method, then a
lower order method, up to a certain point. Too much complexity, however, may backfire the same way
as to many small steps.
An algorithm is stable if errors (originated from truncation and round-off) are not amplified from
step to step but are rather kept under control. The opposite is unstable.
A problem is well-conditioned, if results are not very sensitive to input data (at least if an
appropriate method is used). The opposite is called ill-conditioned.
3.6 Classification of problems and methods

Single variable, multi variable (our main classification) Other can be linear vs. nonlinear, direct vs.
iterative, explicit vs. implicit.
Single variable methods: Root of a single equation Minimum of function Manipula- tion of
functions (differentiation, integration) functions given in form of expression or algorithm
discrete data point (smoothing, curve fitting + diff and int) Ordinary Differential Equation
(ODE)
27
Multi variable problems: Linear Algebra, Matrices, vectors Systems of linear equations
direct, special, iterative Nonlinear System of nonlinear equations Minimum of multi variable
function (general and least squares) System of ODE Partial Differen- tial Equations Reservoir
simulation
Other: Transformation methods
28
Chapter 4
Methods related to single

variable problems
4.1 Roots of equations and extrema of functions

Single and multiple roots, bracketing versus open methods
Nonlinear equation may have multiple root, where both function and derivative are zero.
4.1.1 Bisection
In the bisection method first the user estimates, approximately, the position of the root providing a
lower- and upper-bound bracketing the root. If the interval [a, b] is a bracket, then f (a)f (b) < 0 .
A first estimate of the root is then computed as the mid-point between the two bounds.
x = (a + b)/2
We can improve on this estimate by determining which side of x the root lies and then moving the
bracket accordingly. To do this, we have to overwrite either a or b by the current mid-point, x,
depending on which previous function value has the same sign as f (x). At this point we have a new
bracket and can continue with the next iteration.
Each iteration halves (bisects) the bracket (and therefore halves the maximum possible error)
hence the term bisection. We can calculate a-priori the necessary number of steps to reach a
certain fraction of the initial bracket.
4.1.2 False position

The search starts with an interval [a, b]. It is assumed that the function changes sign in the interval,
f (a)f (b) < 0 as in the case of the bisection method.
Writing the equation of the line passing through the two points (a, f (a)) and (b, f (b))
f (b) f (b) f (a) ( b)

y f (b) = -------- T ---------- (x b)
ba
29
and requiring that y should be zero, we obtain for the next approximation of the root:
c = b ---------------
C b f (b)-f (a) b-a
It is easily seen, that c is inside the interval [a; b]. Now we calculate f (c) and overwrite either a or b
with c, depending on which function value has the same sign as f (c). After one step, again we have a
bracket, but it is smaller than the initial one.
(Note:
= f (a)
c a f (a)-f (b) a b
is the same.)
During the process the size of the bracket does not tend to zero. The criterion to stop the iteration
is the following: the deviation of the new location c from any of the old locations a or b should be less
than a specified tolerance.
4.1.3 Newtons method

The method (also called Newton-Raphson method) may be used to solve a general equa-
tion f (x) = 0 , provided the left-hand-side can be differentiated analytically.
If an initial guess is known, we can calculate the function and its derivative at x 0.
Writing the equation of the tangent line:
y f (xo) = f '(xo)(xo x)
Substituting y = 0 we find that the line crosses the x axis at
f(xo)
xi xo
f '(xo)
This is the iteration formula of the Newtons method. The obtained x 1 can be then renamed to xo and
hence we can continue the iterations.
Example. Suppose that

f (x) = x3 + x 3
Then
f '(x) = 3x2 + 1
The following program starts the iteration with x = 2. It uses two internal functions: F for f (x)
and DF for its derivative: f '(x). It stops either when the absolute value of the step is less than 1E-6,
or after 20 iterations. Note that there are two conditions that will stop the While loop: either
convergence, or the completion of 20 iterations. Otherwise the program could run indefinitely.
30
Option Explicit
Globals Group 1: Coefficients

Dim c3 As Double, c2 As Double, c1 As Double, c0 As Double
Globals Group 2: Iteration control parameters Dim MaxIts As Integer, Eps

As Double, x0 As Double
left-hand-side function Function F(x As Double) As Double

F = c 3 * x ~ 3 + c 2 * x ~ 2 + c 1 * x + c 0 End Function
derivative
Function DF(x As Double) As Double DF = 3 * c 3 * x ' " 2 +
2 * c 2 * x + c1 End Function
Main sub
Sub Newton(x As Double, fx As Double, Converged As Boolean)
Dim Its As Integer, d As Double
lnitialize
Its = 0
Converged = False
x = x0
Loop
While (Not Converged And Its < MaxIts) d = -F(x) / DF(x) x = x + d Its = Its
+ 1 Converged = Abs(d) < Eps Wend
Clean-up fx = F(x)
End Sub
Driver program Sub VBA041()

Values Group 1: Coefficients c3 = 1: c2 =
0: c1 = 1: c0 = -3 Values Group 2: Iteration
control MaxIts = 20: Eps = 0.000001: x0 =
2 Declaration of Group 3: Arguments
Dim x As Double, fx As Double, Converged As Boolean Call Newton(x, fx,
Converged)
With Worksheets(1)
.Cells(1, 1) = "x"
.Cells(1, 2) = x .Cells(2, 1) = "fx"
.Cells(2, 2) = fx End With
If Converged Then
MsgBox ("Convergence criterion satisfied ")
Else
MsgBox ("Convergence criterion NOT satisfied ")
End If End Sub
To solve another problem you do not have to rewrite the whole program. It is enough to change
the functions F and DF, and some of the input.
31
Failures in the Newton Method: Though it has quadratic convergence, there are likely to be
problems in some cases.
One problem can occur if f '' (xi) is very large in which case the graph y = f (x) is curving very
rapidly.
A second problem occurs if f ' (xi) is very small which can happen if the function is almost parallel
to the x- axis near the root, or if there is a second root very close by (in which case f' (x) =0
somewhere between the roots), or if the graph of y = f (x) just touches the x - axis at the root but does
not cross it. (Multiple root.)
It is often observed, that the method converges from a near enough starting point, but diverges
if the starting point is selected without care.
4.1.4 Optimization: Golden ratio search for a minimum

For minimizing a function of one variable, we need a bracket for the solution analogous to sign
change for nonlinear equation.
A real-valued function f() is unimodal on interval [a; b] if there is unique location x o such that f is
strictly decreasing for x < xo (that is on the left), and strictly increasing for x > x o (that is on the
right).
Suppose f is unimodal on [a; b], and let x 1 and x2 be two points within interval, with x 1 < x2 .
Evaluating and comparing f (x1) and f (x2), we can discard either [x 2; b] or [a; x1], with minimum
secured to lie in the remaining subinterval.
To repeat the iteration, we need to carry out only textbfone new function evaluation. To reduce
the length of interval by a fixed fraction at each iteration, each new pair of points
must have the same relationship with respect to the new interval that the previous pair had with
respect to previous interval. To accomplish this, choose the relative positions of the two points to
satisfy the golden ratio: T = (v^(5) 1)/2 0.618. Whichever subinterval is retained, its length will
be 0.618 relative to previous interval, and one interior point retained will be at position either at
0.618 or 0.382.
4.2 Fixed-point iteration as a general framework for

iterative processes
Many iterative methods for solving nonlinear equations can be viewed as
xk +1 g(x k )
where g(x) is constructed from the f (x) function. (If you understand the above formalism, you can
easily create the g-function for example, for the Newton iteration: g(x) =
x f (x)/f '(x).)
The scheme is called fixed-point iteration or direct iteration. There are four basic cases:
monotone convergence
oscillatory convergence
32
monotone divergence
oscillatory divergence
Almost all iterative processes manifest one of the above behavior types, even if the derivation of
the method has nothing to do with direct iteration.
4.3 Representing, manipulating functions

4.3.1 Numerical Differentiation of functions that can be evalu-
ated everywhere
When an analytical solution to the first derivative of a given function is difficult or in-
convenient then a numerical method can be used to provide an approximate, though
often highly accurate, computation. Many methods exist, with increasing complexity
they perform, in general, computations to a higher accuracy. A basic understanding of
the meaning of Truncation Error and Round-off Error is crucial.
Intuitive error analysis of numerical differentiation
Take the function f (x) = srn(x) Calculate the derivative at x = n /3 using the simplest
forward divided difference Use step size: 1E-5 , 1E-10 , 1E-15 , 1E-20 , ... (until your
calculator stops giving reasonable result )
(Use radian switch if you need.)
Forward Difference Approximation (first derivative)
The Forward-difference approximation method for the numerical differentiation of a func-

tion can be derived by considering differentiation from first principles or by considering
Taylors expansion.
The differentiation from first principles derivation is intuitive:
f'(x) = lim f (x + - f (x)

h^0 h
As a computer cannot divide by zero the computed (finite) version of this expression is:
cu \_ f (x + h) f (x)
f (x)
h
This is the Forward-difference approximation for the numerical derivative of a function, it has the
most basic form for a numerical derivative and is the least accurate.
The derivation through Taylors expansion provides more information on the method:
hh f (x + h) = f (x) + - f'(x) + 2 j
f''(x) + ...
Rearrange and represent all remaining terms in one remainder term
/'(x)= f ( x + f ( x ) + - . f "(z)
We do not know z and hence neglect the term and hence obtain the forward difference approximation
previously derived. With this derivation, however, we see clearly, that the error is approximately
(h/2) f ''(z) , i.e. proportional to h. This method is of first order.
33
A plot of the error on a log-log scale would result in a 45 o straight line. To minimize
the error choose a small value of h, but h should not be too small as round-off errors in
the machine arithmetic increase as h decreases.
Backward difference approximation (of the first derivative) is very similar:
f'w= f ( x ) h(x h ) + h . "(z)
Again, we neglect the term containing z, Therefore
f (x) f (x h)
f'(x)
h
and the method is of first order.

The central-difference approximation of the first derivative gives reasonably accurate
results and is often implemented:
f (x + h) f (x h)
f (x) -----------------------------------
f V 7 2h
Interestingly, it does not make use of the function value at the base point at all. It is
a second order method and the log-log plot of the error (on an example with known exact
result) would give a straight line with slope two.
The central-difference approximation of the second derivative is:
f (x h) 2f (x) + f (x + h)
h2
This is a second order method. f (x) ---------------

4.3.2 Numerical Integration
Review geometric meaning Review physical (engineering) meaning
Trapezoid rule
The aim is to calculate, numerically, the integral of a function f(x) from a to b. The basic idea is to
evaluate the function at specific locations between the limits, summing the function evaluations will
give an approximation to the integral (area under the curve).
There are many formulae for numerical integration (also known as quadrature), with increasing
complexity these formulae provide a greater accuracy. The Trapezoidal Rule is the simplest.
Consider integrating a known function f (x) over the interval [a; b]. The Trapezoidal Rule gives
the following expression for the exact integral, I:
h h I = 2 ' (f (a) + f (b)) ^ f''(z)

3
where h is the interval [a; b] , f ''(z) is the second derivative of the function evaluated at some
unknown point z, between a and b. The value of f ''(z) is generally not known (z is unknown though
bounded between a and b) and so this term is omitted from the
34
solution when we perform the numerical calculation. This leads, in general, to an error (a truncation
error) in the numerical evaluation of the integral.
The accuracy of the calculated result can be increased by multiple application. We will cut the
interval [a, b] into n panels:
1 =h^2' f (a) + 1 + f ( x 2 ) + ... + f (xn 1 ) + 2 f (b)

f (x )
where
xo = a
x1 = a + h
x2 = a + 2 h
xn 1 = a + (n 1 ) h
x = b
h = (b a)/n
4.3.3 Simpsons 1/3 rule

The simple Simpsons rule uses a parabolic approximation to the curve.
The multiple application of Simpsons rule is usually the first choice of engineers, because of its
reliability and simplicity: h
1 ~ 3 (f(a) + 4f (x 1 ) + 2f (x 2 ) + ... + 4f (x n 1 ) + f (b))
where n is even and h = (b - a)/n.
General idea of Gauss quadratures A quadrature rule is weighted sum of finite number of
sample values of the integrand function. (Both the trapezoid and Simpsons rules are in this general
class.) Closed formulas: Containing left and right points Open for-
mulas: NOT containing left and right points. Advantage of open formulas e.g. improper integrals.
Richardson extrapolation (applied to numerical integration) An error estimate can be

formulated by making use of the fact that the error has a known order.
The plan is the following:
Do calculation with h and with h/2;
Express remainder term as a power of h;
The difference between the two results can be used to improve our final approximation; Try
to extrapolate to infinitely small h.
Example: repeated Simpsons rule has a leading error term of 4-th order. Assume we did the
calculations with h and with h/2. Therefore we have two computed values: 1 1
35
and I2. However, what we really want to know is I, that is still unknown.
11 = I + Ch4
4
12 = I + C 7 ^
In the above equations C is also unknown. To eliminate it, multiply by 2 4 and 1:
24 I2 = 24I + Ch4
(Ii = I + Ch4)
Then subtract
24 I2 Ii = (24 1)I
Finally rearrange and obtain estimate of the unknown I:
16 I2 Ii ~ 15
Note that we do not really need C and we have not calculated it.
4.4 Interpolation, Smoothing, Curve fit, Least squares

Review
Purposes for Interpolation:
Plotting smooth curve through discrete data points Reading between lines of table, etc.
If the data is noise corrupted (is of finite accuracy) we rather use approximation (smoothing)
instead of strict interpolation.
Interpolating by simple function families
Polynomials
Piecewise polynomials (splines)
Trigonometric functions (will be considered among spectral methods)
Exponential functions
Rational functions
An interpolating polynomial is one which goes exactly through a set of data points. In general a
set of n +1 data points can be interpolated by a polynomial of degree n. Such interpolation leaves no
degree of freedom, the interpolating polynomial is unique. Unfortunately, it is only useful for fairly
small sets of data points. An interpolating polynomial of large degree is required for a large set of
data points, and such high degree polynomials tend to have many oscillations and will approximate
the data set very badly.
Cubic spline is piecewise 3rd order polynomial that is twice differentiable. It is used extensively to
interpolate a large number of data points. Rational function is a fraction:
both the numerator and the denominator are polynomials.
36
Differentiation and integration of noise-corrupted data
Differentiation is more sensitive to error in input data: You might want to use quite large step
size (why?)
Integration is smoothing out: Step-size is the smaller the better in almost all cases.
Approximation by least-squares: The meaning of the criterion Sum of Squares as a measure of

how good the fit is.
Other requirements might include:
Smoothness,
Least number of parameters,
Extrapolating power, etc.
Two basic cases:
Model is based on first principles
Model is just a convenient vehicle
4.4.1 Least Squares and its Numerical Aspects

When we want smooth approximation, we need some degrees of freedom. For instance, to fitting a
straight line (2 parameters) to ten points leaves us with 8 degrees of freedom. There are infinitely
many straight lines and we need a criterion to select a unique one. The least squares criterion is the
most popular one. It minimizes the sum of squared deviations between observations and values
calculated from the model. The LSQ straight line fit is also called linear regression line.
A word of caution: Least squares methods are very adversely affected by bad data. For
example, if a data set is basically linear but one faulty data point is a long way outside of the linear
trend of the rest of the data, then this one point can drastically change the regression line. This
happens because we square the deviation of the data point from the line. Hence one point with a
extra large deviation contributes a huge amount to the objective function. The regression line will
therefore be moved a long way towards the one deviant point and away from the main linear trend in
order to minimize the deviation of this faulty point. This is a big factor in many engineering
applications and special methods are used to try to detect faulty data points and eliminate them. (Or
to use other possible measures of the goodness of fit such as sum of absolute deviations.)
Straight line fit - linear regression Suppose that some the data points should fit a straight line, y
= mx + b, if it were not for experimental and measurement errors. The problem is to find the straight
line characterized by r n and b which best fits the data points in the least squares sense.
Model:
y = mx + b
37
Observations:
(xi, yi) (x2 ,y2 ) . . . (x,y)
The derivation of formulae for the slope and intercept should be familiar by now. The final formulae
are
m = n (EHi xiyi) (EHi xi)(E"=i yi) m n
(E=i x,2) (E=i xi) 2
b = (ELi yi) m (Er=i xi)

n
Useful subroutines for straight-line fit:
Option Explicit Option Base 1
Sub StraightLineFit(x() As Double, y() As Double, m As Double, b As Double)

Dim n As Integer n = UBound(x)
m = (n * scalprod(x, y) - sum(x) * sum(y)) / (n * scalprod(x, x) - sum(x) ~ 2) b = (sum(y) - m * sum(x)) / n End Sub
Function sum(x() As Double) As Double Dim n As Integer, i As Integer n = UBound(x) sum=0

For i=1 to n sum=sum + x(i)
Next End Function
Function scalprod(x() As Double, y() As Double) As Double Dim n As Integer, i As Integer n = UBound(x) scalprod=0 For
i=1 to n scalprod=scalprod + x(i)*y(i)
Next End Function
Transformations to straight line form Models of physical phenomena are in few cases in straight-
line form. Many 2-parameter nonlinear models can be, however, easily transformed into straight-line
form. In the log-log paper does the same for a power-law model.
For other nonlinear models you should be able to figure out the transformation and make the
correspondence between the straight line parameters (slope and intercept) and the real model
parameters. We will see many examples.
Excel services: trendline option on graphs (with the Show Trendline Option); slope and intercept
spreadsheet functions; linear regression in data analysis package.
38
4.5 Numerical solution of ordinary differential equations
Meaning Ordinary differential equation (ODE): all derivatives are with respect to single
independent variable, often representing time.
Equations with higher derivatives can be transformed into a system of first order equations. The
ODE f' = f (t, y) is non-autonomous. The ODE f' = f (y) is autonomous.
Solution embeds into the directional field. The ODE f' = f (t, y) does not by itself
determine a unique solution. To single out a particular solution, one must specify a value y o of the
solution function at some point t o. This is called initial value. Order of ODE
determined by highest-order of derivative involved. Higher order ODEs may be narrowed
down also by using boundary values.
4.5.1 Basic methods for solving ODE
Euler Eulers method uses the forward difference approximation for gf-and can be summarized by
the marching formula:
x = x1 + h
y = yi1 + h f [x1 ,y1 ]
RK-4 This method for solving y' = f ( x , ) , starting at (x o, yo) is one of the most popular ones because
it is quite accurate and stable. The formulae are:
x = x1 + h
y i = y1 + h ( k 1 + 2k2 + 2k3 + k4 )
where
k1 = f [xi1 ,yi1 ]
k2 = f [xi1 + I, yi1 + I 1 ]
k3= f [xi1 + 1, yi 1 + 1 k2 ]
4 = f [xi1 + h, yi1 + h 3 ]
Note that the k i values are various approximations to the slope of the unknown function.
Heun Heuns method improves on Eulers method by a better choice of the slope of the line followed
from the point (x n,yn) to the next point (xn+1 ,yn+1). Instead of choosing this slope as dy dXn) = f (xn,yn) as
in the Euler method, choose it as the mean between this slope and the slope at the destination point
reached by the Euler method.
Simple Heun
xi = xi1 + h
yo = yi1 + h /[xi1 , yi1 ]
y/ = yi1 + I (f [xi1 ,yi1 ] + f [x i, y])
39
Iterated Heun (simplest predictor-corrector)
y? = yi-i + f (/[xi-i,yi-i] + /[xi,yk-i])
continue until "convergence.

This is a predictor - corrector (implicit, iterative) method. Needs a stopping criterion for inner
iteration. It is a one-step, second order method and is stable. In practice we use higher order
variants.
Single-multi step, predictor-corrector, explicit-implicit So far weve considered self-starting (one

step) methods. They use only y i. Multiple-step methods use more than one previously calculated
value: that is to use y i and yi-i etc. The traditional predictor-corrector solution methods use one
equation to predict the value of yn+i using the previously computed yn, and other previously
computed yi values. This is followed by a second equation which is used to correct the value given by
the first equation. They provide some improvement especially for stiff problems, but need a jump-
starter (for instance RK4)!
In choosing step size for advancing numerical solution of ODE, we want to take large steps to
reduce computational cost, but must also take into account both stability and accuracy.
Adaptive: step size is adapted automatically from error estimate.
A method is called implicit, if some kind of iteration is involved. Predictor-corrector methods are
implicit.
A stiff ODE corresponds to physical process whose components have disparate time scales or
whose time scale is small compared to interval over the interval which it is studied on.
40
Chapter 5
Methods related to multi-

variable problems
5.1 Matrices, vectors

Whats an Array? Whats a Matrix? Whats the Difference? An array is a collection of objects, each
occupying a position relative to the other objects in the collection. An array of antennas, for example,
usually refers to a group of antennas laid-out in either a straight line, or in a plane. The objects of
the array can be real, physical objects like antennas or spark plugs, or intangible objects like
numbers. When an engineer talks about a matrix, she is generally talking about a numerical array.
There is the further implication that the laws of Matrix Algebra dictate how an array can be
combined with and/or operated on by other numerical arrays. Although the matrices encountered by
engineering students are usually one-dimensional (numbers positioned in a straight line) or two-
dimensional (numbers positioned in a plane), they can be higher-dimensional, as well.
A subroutine to get the scalar product of two vectors
Function scalprod(x() As Double, y() As Double) As Double Dim n As

Integer, i As Integer n = UBound(x) scalprod = 0 For i = 1 To n scalprod =
scalprod + x(i) * y(i)
Next End Function
41
A subroutine to multiply two (compatible) matrices
Sub matmult(a() As Double, b() As Double, c() As Double)
multiplies matrices a anb b to get c
Dim row As Integer, cola As Integer, rowb As Integer, col As Integer Dim i As Integer, j As
Integer, k As Integer Dim s As Double row = UBound(a, 1) cola = UBound(a, 2) rowb =
UBound(b, 1) col = UBound(b, 2)
If Not (cola = rowb) Then MsgBox ("matprod: a and b are not
compatible")
Stop End If
If (UBound(c, 1) < row Or UBound(c, 2) < col) Then MsgBox ("matprod: c is not
large enough to contain the result") Stop End If
For i = 1 To row
For j = 1 To col s = 0
For k = 1 To cola s = s + a(i, k) *
b(k, j)
Next k c(i, j) =
s Next j Next i End
Sub
A subroutine to multiply matrix A by a (column) vector b:

Sub matvecprod(a() As Double, b() As Double, c() As Double)
Dim row As Integer, col As Integer Dim i As Integer, j As Integer Dim s As
Double row = UBound(a, 1) col = UBound(a, 2)
If ( row < Ubound(b) OR row < Ubound(c) ) Then
MsgBox ("matvecprod: vector b or c is not compatible with matrix a") Stop End If For i = 1
To row s=0 For j = 1 To col s = s + a(i, j) * b(j)
Next j c(i) = s Next i End Sub
Matrix is lower triangular if all entries above main diagonal are zero: a i j = 0 for i < j. Matrix is
upper triangular if all entries below main diagonal are zero: a i j = 0 for i > j.
42
Review linear dependence and rank
5.2 System of linear equations

Given m x n matrix A and m-vector b, and unknown n-vector x satisfying Ax = b. System of equations
asks: Can b be expressed as linear combination of columns of A? If so, coefficients of linear
combination given by components of solution vector x.
Example 1 Consider the system
2x 3y = 8
4x 5y = 16
The determinant is non-zero. Two lines crossing at one point.
2x 3y = 8
4x 6y = 16
Thus the determinant is2 6 3 4 = 0. And indeed the second equation is 2 times the first.
Geometrically this corresponds to two coincident lines. In terms of rank: the coefficient matrix has
rank 1, the augmented matrix has rank 1.
2x 3y = 8
4x 6y = 17
Thus the determinant is 2 6 3 4 = 0. There is no solution. Geometrically this corresponds to

two parallel lines never crossing. In terms of rank: the coefficient matrix has rank 1, the augmented
matrix has rank 2.
Existence and Uniqueness Statement with Rank The rank of a matrix tells us how many
independent rows (or how many independent columns) the coefficient matrix has - it may be less
than the total number of equations.
If rank of the coefficient matrix is less than the number of equations, two cases can happen:
Consistent (if rank of coeff matrix = rank of augmented matrix): Infinite number of solutions
Non-Consistent (if rank of coeff matrix < rank of augmented matrix): No solution We can we
express the solution with the inverse of the coefficient matrix, as

x = A-1b
but it is usually not a good idea to get the solution via the inverse. The reason for this is simple: to
calculate the inverse of the matrix A is more computational work than to solve the original system of
equations.
43
Naive Gauss elimination A system of linear equations can be represented in matrix forms of
various types: e.g.
xi + 2x2 3x3 = 5 1 1 2 -3 ' xi 5

2x1 3x2 + xs 3 > becomes 2 -3 1 x2 3
xi + x2 2xs 0 1 -1 1 -2 xs 0
To solve the system a method (algorithm) called Gaussian Elimination is used, starting with
the augmented matrix containing the coefficient matrix on the left with one extra column containing
the right hand side values (a similar method is used to find A -1). The augmented matrix is changed by
operations which do not change the solutions of the associated system of equations. The allowed
changes are the three elementary row operations
(a) Interchanging two rows
(b) multiplying or dividing a row by a non-zero constant
(c) Replacing a row by the sum of that row and a multiple of another row (adding a negative
multiple of a row - e.g. adding (-2) x row 2 to row 1) is the same as subtracting the positive multiple
(subtracting 2x row 2 from row 1 - so that this row operation also includes subtraction).
The objective is to change the coefficient matrix to a special form of matrix called upper
triangular in which all entries in the bottom left corner below the diagonal are zero. Sometimes the
goal is to create an echelon form which is upper triangular in which the first non-zero in each row is
a 1.
The equations represented by this upper triangular form have exactly the same solutions but
are much easier to solve.
e.g. Solving the example above (a label like R = 2 + (-2) i means replace row 2 by the sum of row 2
plus -2 times row 1). At each stage one entry is a special entry called the pivot. A pivot, shown in
bold face in the next example, is the value in the pivot row which is used to modify the other rows
and is in the column where zeros are being created.
1 2
2 R + (-2) i
2 1
s s + i
11
2 -3 5
7
-
0 3 -5 5
1 2 5"
-
3
0 7
-
7
- 2
7 1
0
1
0
-
2
This has created an upper triangular matrix (the first three columns). To further simplify this, divide
the second row by -7 and the third row by -2, creating an echelon
44
+ 2x2 3x3 =5 xi = 5 + 3x3 2x2 = 2 Solve third
^ x2 x3 = 1 ^ x2 = 1 + x3 = 0 Solve second
form. The corresponding equations can easily be solved by starting with the last equation which gives
the x3 value, then finding x2 from the next equation up and so on (back substitution):
1 2 5" x3 = 1 x3 = 1 Solve first

1
3
0 1 -1 1
This0 version
1 is-1called naive elimination, because we assumed that we can always divide by the
1
0
diagonal element in the next row (e.g. 7 in iteration No two.)
Naive Gauss-Jordan elimination In this version of the elimination we reduce the system to an
equivalent system with the identity matrix, and hence the solution can be read off from the last
column.
Option Explicit
Option Base 1
Sub GaussJordan(A() As Double) Augmented matrix

Dim PivElt As Double, TarElt As Double
Dim n As Integer number of equations
Dim PivRow As Integer, TarRow As Integer pivot row; target row
Dim i As Integer, j As Integer
n = UBound(A, 1)
For PivRow = 1 To n process every row
PivElt = A(PivRow, PivRow) choose pivot element
If PivElt = 0 Then
MsgBox ("Zero pivot element encountered")
Stop
End If
For j = 1 To n + 1
A(PivRow, j) = A(PivRow j) / PivElt divide whole row
Next
For TarRow = 1 To n now replace all other rows
If Not (TarRow = PivRow) Then
TarElt = A(TarRow, PivRow)
For j = 1 To n + 1
A(TarRow, j) = A(TarRow, j) - A(PivRow, j) * TarElt
Next j
End If
Next TarRow
Next PivRow
End Sub
Answer the questions: Where is the coefficient matrix at input? Where is the right
hand side?
At output: Where is the solution? What happened to the coefficient matrix?
For both the naive Gauss and Gauss-Jordan methods, in some cases the diagonal entry is simply
zero and so it is not an option to use it. In general, solving linear systems of equations, it is necessary
to use different pivot choices than the diagonal values used in the first example above.
45
5.3 LU Decomposition and Backsubstitution
An advanced form of the Gauss elimination is called LU decomposition-substitution. The procedure is
divided into two parts: the first one operates on the coefficient matrix and does the computationally
demanding half of the job; the second one (called substitution) uses the results of the first part to
obtain a solution to a given right-hand side.
Note that the decomposition destroys the original coefficient matrix (overwrites it by the L and
U matrix elements.)
An additional vector (Indx) is used to remember the row changes found necessary during
partial pivoting. The Indx vector then enters the substitution routine. (Note that it is declared
private but global for the modul containing the LUDecompose and LUSubstitute routines.)
If in spite of partial pivoting the decomposition can not be done, then the matrix is singular and
the procedure stops with a message. (In other words, partial pivoting is enough, full pivoting does
usually not improve the method.)
The solution comes out from the substitution routine as x.
Option Explicit
Option Base 1
Sub VBA092() LU decomposition-substitution driver Dim n As

Integer
With Worksheets("Sheet1")
.Cells(1, 1) = "Number of equations, n"
End With
With Worksheets("Sheet1") n
= .Cells(1, 2)
End With Dim i As Integer, j As Integer
ReDim A(n, n) As Double, b(n) As Double, x(n) As Double ReDim

Indx(n) As Integer
For i = 1 To n For j
= 1 To n A(i, j) =
.Cells(i + 1, j)
Next j
b(i) = .Cells(i + 1, n + 1)
Next i
End
With
Call LUDecompose(A, Indx)
Call LUSubstitute(A, Indx, b, x)
.Cells(1, n + 3) = "Solution"
For i = 1 To n .Cells(i + 1, n + 3) = x(i)
Next i End With
End Sub
It is a good practice to put the LUDecomposition and LUSubstitute into a separate module.
46
Sub LUDecompose(A() As Double, Indx() As Integer)
input A(n,n)
output A(n,n) and indx(n)
Const Tiny As Double = 1E-16 Dim n As Integer n =
UBound(A, 1)
Dim i As Integer, j As Integer, k As Integer, m As Integer Dim dum As
Double For k = 1 To n - 1 m = k
For i = k + 1 To n If (Abs(A(i, k)) > Abs(A(m, k))) Then m =
i Next i Indx(k) = m dum = A(m, k)
If m > k Then A(m, k) = A(k, k)
A(k, k) = dum End If
If Abs(dum) > Tiny Then dum = 1 / dum Else
MsgBox ("Singular coefficient matrix")
Stop End If
For i = k + 1 To n A(i, k) = -A(i, k) * dum Next i
For j = k + 1 To n dum = A(m, j)
A(m, j) = A(k, j)
A(k, j) = dum For i = k + 1 To n A(i, j) = A(i, j) + A(i, k) *
dum Next i Next j Next k
If Abs(A(n, n)) < Tiny Then
MsgBox ("Singular coefficient matrix")
Stop End
If End Sub
The LUDecomposition overwrites the coefficient matrix by the decomposed (LU) form. You have
to be careful not to call it more than once.
Notice that the back-substitution can be called as many times as many right-hand- sides we have
(as far as the coefficient matrix of the system is the same.)
47
Sub LUSubstitute(A() As Double, Indx() As Integer, b() As Double, x() As Double) input A(n,n) containing
the LU decomposition input Indx(n) index vector input b(n) right hand side output x(n) solution
Dim n As Integer n =UBound(A, 1)

Dim i As Integer, j As Integer, k As Integer Dim dum As Double
For i = 1 To n x(i) = b(i)

Next i
For k = 1 To n - 1 i = Indx(k) dum = x(i) x(i) = x(k) x(k) = dum For j = k + 1 To n x(j) = x(j) + A(j, k) * dum
Next j Next k
For k = n To 1 Step -1 x(k) =
x(k) / A(k, k)
For j = 1 To k - 1 x(j) = x(j) - A(j, k) *
x(k)
Next j
Next k
End Sub
Sparse systems Tridiagonal: Thomas algorithm
Sparse methods can be applied to all kinds matrices of special form and even to a general sparse
matrix of no particular type, but the methods are quite complicated, in general.
A special type of matrix called tridiagonal in which the only non zeros are on the main diagonal
and immediately below it and above it (i.e. on the diagonals immediately below and above the main
diagonal) a very effective algorithm is due to Thomas.
e.g. Given the tridiagonal matrix shown store the three diagonals in a three column array as shown:
2 1 0 0 0 a : 0 1 2 1 2
1 2 1 0 0
A 0 2 4 0 ^ 2 2 4 3 4
bc
0 :: 1 1 0 2 0
0 0 1 3
2
The storage saving in the above example is only from 25 down to 15. However in larger matrices
0 0 0 2
the reduction is very significant. For an n x n matrix with n 2 entries the storage will be reduced to
4
3n. Hence if n = 1000 for a tridiagonal matrix, then the full storage is 1,000, 000 and the reduced
storage is 3000. The algorithm not only saves storage, but it enormously reduces the number of
computations. This is due to the fact, that we skip multiplications and additions (because we know
that the result will be zero.)
The Thomas algorithm is extensively used in reservoir simulation:
48
Sub Thomas(a() As Double, b() As Double, c() As Double d() As Double, x() As Double)
Tridiagonal system of equations:
a is subdiagonal, b is diagonal, c is super diagonal a(1) and c(n) are not used d is the right hand side, x is the
result Dim n As Integer, i As Integer n = UBound(b)
ReDim w(n) As Double, g(n) As Double w(1) = b(1) g(1) = d(1) / w(1)
For i = 2 To n w(i) = b(i) - a(i) * c(i - 1) / w(i - 1) g(i) =
(d(i) - a(i) * g(i - 1)) / w(i)
Next i x(n) =
g(n)
For i = n - 1 To 1 Step -1 x(i) = g(i) - c(i) * x(i + 1) /
w(i)
Next i
End Sub
Note that matrix operations and solution of linear systems are also provided by excel as
spreadsheet functions, macros.
Direct vs Iterative Gauss elimination, Gauss-Jordan elimination, LU-decomposition/substitution are DIRECT

methods. In direct methods we can predict the number of multiplications and additions if the number of
equations (n) is known.
Iterative methods are generalization of the direct iteration we learned for one variable x g(x)
equations. Iterative methods are used for very large but sparse systems (reservoir simulation). You
can not predict the number of operations for an indirect method and you need a starting guess and a
convergence criterion. The iterative method we are going to learn is the Gauss-Seidel method.
The method is illustrated for a general 3 x 3 system. The strategy is to express x i from the first
row, x2 from the second row, etc. Then start with a guess and calculate a new x i from the first
equation. Then with the best available approximants calculate x 2 and so forth. In other words, as
soon as a variable is updated in one equation its new value is used on the right hand side of the next
equation:
anxj+i bi - ai2 x2 - aisxc ^

a2 2 x2+i 6 2 - a2 ixk+i -
a2 sxc assx2 +i 6 s - asix+i -
as2 x2 +i
It works fine on diagonally dominant matrices.
Diagonally dominant matrices: the absolute value of the diagonal element is greater than the
sum of the absolute values of all the other elements in a given row. Identity matrix is diagonally
dominant
49
5.4 System of nonlinear equations, Newton-Raphson
method
The method may be used to solve a general equation f (x) = 0, provided the left-hand-side can be
differentiated analytically. Note that bold-face denotes matrix and vector. We have n equations to
solve and n components of the unknown to find.
If an initial guess is known, and at that location we can calculate the function f (x o) and its
partial derivatives collected into the Jacobian matrix J(x o). The first element in the first row of the
Jacobian matrix will contain the partial derivative of f 1 with respect to x1, the second element in
the first row will contain the partial derivative of f 1 with respect to x2, and so on.
Writing the equation of the tangent plane:
f (xo) + J(xo)(x xo) = 0

Substituting y = 0 we find that the line crosses the x axis at xi where
(xi xo) = Ax = [J(xo )]-1 f (xo)

This is the iteration formula of the Newtons method. The obtained x1 can be then renamed to x 0 and
hence we can continue the iterations.
In practice we do not use the matrix inverse, we just solve
J(xo)Ax = f (xo) for
Ax using LU Decomposition.
Cautious Approach: We calculate the Ax and multiply it by a less than one a if we encounter
convergence problems. Alpha can be adjusted during the iteration process.
Questions: How many subroutines does the user have to provide for a Newton-Raphson method? Two
subroutines, one to evaluate f and the other for the Jacobian matrix, J.
N/R Pros and Contras:
Second order convergence
Needs analytical Jacobian
Convergence as in the case of single variable: Good if you start from the vicinity of the solution, but
might diverge.
Basically it is included in most sophisticated engineering codes.
Other issues:
Convergence criterion: Sometimes it is formulated in terms of function values (errors). That is
dangerous, because often the functions are math constructions without clear physical meaning (and
the unit is blurred)
In practice x always has a well defined unit, and eps has to correspond to it.
If the elements of x are of different dimensions or vary several orders of magnitude, use
normalization N/R variants:
If the Jacobian is not available analytically, we can estimate it by finite difference or Quasi Newton
(1): We can continuously improve its estimate with every new function evaluation or
Quasi Newton (2): Even better: continuously improve the estimate of the INVERSE OF THE
JACOBIAN with every new function evaluation
50
Newton-Raphson method example: Solve
fi xi + x22 - 3
f2 21 + 2 J 2 22
We will use a VBA program. The input is from the spreadsheet:
kmax from Cells(1, 2), maximum number of iterations, (20)
eps from Cells(2, 2), tolerance, (1.0E-6)
alpha from Cells(3, 2), a, ( 1 )
starting point xi and x2, from Cells(4, 2) and Cells(5, 2), e.g. (1 and 1)
The program contains a main (driving) subroutine and the two user subroutines. Note that it
also needs some auxiliary subroutines (linear solver: LU decomposition and back-substitution)
presented previously.
The linear solver pair can be placed into another module.
51
Sub VBA101() Newton-Raphson Method Example
Dim n As Integer n = 2
ReDim x(n) As Double, f(n) As Double, J(n, n) As Double ReDim b(n) As
Double, dx(n) As Double Dim alpha As Double, eps As Double, s As
Double ReDim Indx(n) As Integer
Dim k As Integer, kmax As Integer, i As Integer With
Worksheets("Sheet1")
.Cells(1, 1) = "kmax"
.Cells(2, 1) = "eps"
.Cells(3, 1) = "alpha"
.Cells(4, 1) = "x1 start"
.Cells(5, 1) = "x2 start"
End With With Worksheets("Sheet1")
With
Worksheets("Sheet1")
kmax = .Cells(1, 2) eps =
.Cells(2, 2) alpha =
.Cells(3, 2) x(1) =
.Cells(4, 2) x(2) =
.Cells(5, 2)
End With With Worksheets("Sheet1")
.Cells(1, 4) = "Iteration"
.Cells(1, 5) = "x1"
.Cells(1, 6) = "x2"
.Cells(1, 7) = "f1"
.Cells(1, 8) = "f2"
End With iteration loop For k = 1 To kmax Call fun(x, f)
For i = 1 To n b(i) = -f(i)
Next i
Call Jacobian(x, J)
Call LUDecompose(J, Indx)
Call LUSubstitute(J, Indx, b, dx) s=0
For i = 1 To n s = s + dx(i) * 2 x(i) = x(i) + alpha * dx(i)
Next i
.Cells(k + 1, 4) = k .Cells(k + 1, 5) = x(1)
.Cells(k + 1, 6) = x(2)
.Cells(k + 1, 7) = f(1)
.Cells(k + 1, 8) = f(2)
End With
If (Sqr(s) < eps) Then Exit For Next k End Sub
Sub fun(x() As Double, f() As Double) f(1) = x(1) + x(2) * 2 - 3 f(2) = x(1)
/ x(2) + 2 End Sub
Sub Jacobian(x() As Double, J() As Double)
J(1, 1) = 1: J(1, 2) = 2 * x(2)
J(2, 1) = 1 / x(2): J(2, 2) = -x(1) / x(2) * 2 End Sub
52
5.5 Multivariable extrema
f (x) ^ min where f is scalar, x is vector

There are two basic types: unconstrained and constrained.
Visualization: Surface plot and contur plot.
Most frequent application: Nonlinear loeast-squares fit
Equivalence (for unconstrained and differentiable) in principle equivalent:
f (x) > min and gradient = 0
(Just to solve gradient = 0 is somewhat dangerous, it is better watch f(x) )
Direct Methods Not using any more information, only calculated function values at previous
points and at new point.
A popular direct method is Method of polytopes due to Nelder-Mead
A simplex or polytope is a cluster of n+1 points, for instance for two-variable functions a
simplex consists of three points, forming a triangle.
The Nelder-Mead simplex method (method of polytopes) uses the idea of a wandering
simplex, with possible deformation (shrinkage, for instance.)
Given a starting simplex, the program calculates the function values at the nodes and,
depending on the results, tries to improve the simplex by deleting the worst point and bringing
in a better one. If the attempts are not successful, the simplex is shrinks. In case of success, it
becomes larger. Geometrically this means the simplex is wandering and deforming in each
iteration step, adopting itself to the shape of the contour lines while systematically
approaching the best location.
Other methods Gradient based (steepest descent) and second derivative based (Newton)
Excel service: Solver
Fully nonlinear least squares LS objective function is a sum to be minimized. Linear least
squares (straight line fit)
Generalized Linear Least Squares: after transform of variables straight line fit (max 2
parameters)
y = mx + b
more than two variables but still linear
y = ^1x1 + ^2x3 + ^3x1 x3 because
the parameters p1, p2, p3 go into the model linearly.

Nonlinear least squares: several parameters p 1,p2,p3 ..., the dependence of the response is
nonlinear on them
^ 1 x1
y = ----------------- -------
1 + ^2x1 + P3 x2
53
Observations:
(xi,i, xi,2, yi) (x2,i, x2,2, y2) . . . (x,i, x,2, y)
The Objective function is:
Pixi,i \ ______________________ Pix2,i \ __________________________ Pixw,i

1 + P2xi,i + P31, 2J V 1+ P2x2,i + P3x2,2 / ... V" 1+ P2x,i + P3x,2
The minimization problem is: find p i,p2,p3 which minimizes the objective function
Q, is usually solved by a special method called Gauss-Newton-Marquardt.
Example
x1 x2 y
1 2 1.154
Given the observations: 3 4 2.045
5 4 3.125
7 2 5.526
The estimated parameters are: pi 3.26, p2 0.225, p3 0.777

Excels all-purpose Solver is also an efficient tool to minimize the objective function
(even when additional constraints have to be taken into account.)
5.6 Solution of system of ordinary differential equa-

tions: RK4
A system of first order equations has one function variable (the variable being differentiated)
for each equation in the system and all of these function variables are functions of one
independent variable such as x or t. The Initial Value Problem (IVP) is of the form
32 fi (x, yi, y )
2 1 ^2 f 2
(x, yi, y )
2 j
with initial conditons, for some known a, k i, k2 :
yi(a) y0, y2(a) y0

where the right hand side functions fi , f 2 are any functions of the independent variable x and
the two function variables y i, y2 (but not of the derivatives of these). A two equation system is
shown above, but it can be extended in the obvious way to more differential equations.
The algorithm now involves vectors (watch for boldface):
x x_i + h
y i yi_i + h (ki + 2k2 + 2ka + k4 )
where
ki f [x_i, yi_i] k 2 f[x_i + h,
yi_i + h ki] ka f[x_i + h, yi_i +
h k2] k4 f [x_i + h, yi_i + h
ka]
The vector operations can be done by simple loops.
54
5.7 Partial differential equations and reservoir sim-
ulation
Review
Physical meaning (Often from conservation principles)

Initial and boundary conditions.
Transient versus steady-State
With initial-value problem, solution is obtained by starting with initial values and marching
forward in time, step by step, generating successive rows in the solution table.
Coordinate systems: Cartesian or Radial
Classification
Heat equation: u t = uxx (parabolic)

Wave equation: u tt = uxx (hyperbolic)
Laplace equation: uxx + u yy = 0 (elliptic)
Numerical approaches Finite difference, finite element, Semi-analytic (transformation)
Finite difference approximation of derivatives

The diffusivity equation includes derivatives of pressure in space and in time.
To solve the diffusivity equation numerically we must find ways to represent these
derivatives.
Getting the derivatives approximated correctly is an important part of getting an accurate
numerical solution.
Transient solution of the diffusivity equation: Finite difference implicit Method Linear
reservoir, constant pressure boundaries.
d 2p dp n
dx2 dt
where
k
n ^Mct
^ porosity U
viscosity
ct compressibility (total) k
permeability
We want to solve the transient problem: The evolution of the pressure field, if the initial
condition is constant pressure and the pressures at the two ends are kept constant, p le/t and
pright, respectively.
55
First discretize the region on interest over both space: x 1, x 2 , . . . , x , . . . , xnx and
^0, t1 , . . . , tn . . . , tnt.
Replace the analytical derivatives by numerical approximations.
Approximation of the second partial derivative in the x-direction: (central):
p+ 1 2pi + pi-1 (Ax)2
Approximation of the first partial derivative in time between time levels n and n +1:
pw+1 pin At
So far we have not stated what timestep (n or n+1) the terms on the left are being evaluated.
An implicit solution scheme means that the pressures at the nodes will be evaluated at the
new timestep (n+1 ) in the second derivative (space) term.
n+11 +pn+1n+1
pn+11 2pn+ 1 pin + 1 pin
n
(Ax)2 At
It is useful to introduce a new notation
1 (Ax) 2
a = -
n At
Then the system of equations become:
n+1
p 1 + = given pie ft
p+1 1 (2 + a)pn+1 + p1 1 = api n for i = 2, 3, ... n-1
p1+1 = given pright
This is a tridiagonal system with the unknowns:
n+1 n +1 n+1 n+1

pi+ , p2+ , . . . p n - ^ pn+
In matrix representation (for n = 5, as an example):
b1 c1 0 0 0 p1 1
a2 b2 c2 0 0 p2 d2
0 a3 b3 c3 0 p3 = 3
0 0 a4 b4 C4 p4 d4
0 0 0 a5 b5 p5 5
For instance, b 1 = 1, c 1 =0 and d1 is nothing else, but the given p left. The system can be solved
by the Thomas algorithm.
56
Example data
porosity viscosity 0.2
compressibility 0.8 cp
permeability reservoir ct 1 10_ 5 1 /psi
length initial pressure k 5 md
pressure at x 0 ft L 3000 ft
pressure at x 3000 ft Pi 2800 psi
time ple/ 1000 psi
Prigh 2800 psi
t 0-100 days
With the units indicated,
0.00633k
and hence
\ (Ax)2
. 0.00633k / At
Choose appropriate nx and nt.
57
Program
Option Explicit
Option Base 1
Sub VBA111() Linear reservoir: constant pressures at the two end
points
Dim nx As Integer, nt As Integer, ipr As Integer
Dim it As Integer, ix As Integer
Dim phi As Double, mu As Double, ct As Double, k As Double
Dim xlen As Double, pleft As Double, pright As Double, pini As Double, tend As Double
Dim alpha As Double, dx As Double, dt As Double, t As Double
Dim i As Integer, ip As Integer
i=1
With Worksheets("sheet1")
.Cells(i, 1) = "Porosity (fraction): ": phi = .Cells(i, 2)
+ 1 .Cells(i, 1) = "Viscosity (cp): ": mu = .Cells(i, 2)
+ :1 .Cells(i, 1) = "Compressibility (1/psi): ": ct = .Cells(i, 2)
+ :
1 .Cells(i, 1) = "Permeability (md): ": k = .Cells(i, 2)
+ :1 .Cells(i, 1) = "Length of reservoir (ft) : ": xlen = .Cells(i, 2)
+ :
1 .Cells(i, 1) = "Initial pressures (psi): ": pini = .Cells(i, 2)
+ :1 .Cells(i, 1) = "Left pressure (psi): ": pleft = .Cells(i, 2)
+ :1 .Cells(i, 1) = "Right pressure (psi): ": pright = .Cells(i, 2)
:
+ 1 .Cells(i, 1) = "Number of grid points in x: ": nx = .Cells(i, 2)
:
+ 1 .Cells(i, 1) = "End time (day): ": tend = .Cells(i, 2)
+ 1 : .Cells(i, 1) = "Number of time steps: ": nt = .Cells(i, 2)
+ 1 : .Cells(i, 1) = "Print at every: ": ipr = .Cells(i, 2)
:
ReDim a(nx) As Double, b(nx) As Double, c(nx) As Double ReDim d(nx) As Double, p(nx) As Double dx = xlen /
(nx - 1) dt = tend / nt
alpha = phi * mu * ct / (0.00633 * k) * dx * 2 / dt a
For i = 2 To nx - 1: a(i) = -1: Next i: a(nx) = 0 b
b(1) = 1: For i = 2 To nx - 1: b(i) = 2 + alpha: Next i: b(nx) = 1 c
c(1) = 0: For i = 2 To nx - 1: c(i) = -1: Next i d
d(1) = pleft: d(nx) = pright Initialize t=0
For i = 1 To nx: p(i) = pini: Next i ip = 1
.Cells(1, 6) = "Loc (ft)->"
For i = 1 To nx: .Cells(1, 6 + i) = (i - 1) * dx: Next i .Cells(ip, 4) = "time (day)": ip = ip + 1 Marching...
For it = 1 To nt .Cells(ip, 6) = "p (psi)->" t = it * dt
For i = 2 To nx - 1: d(i) = alpha * p(i): Next i Call Thomas(a, b, c, d, p)
If ((it Mod ipr) = 0) Then .Cells(ip, 4) = t
For i = 1 To nx: .Cells(ip, 6 + i) = p(i): Next i ip = ip + 1 End If Next it End With
End Sub
58
00633kkrohAy /p+1 - pA / kr \
Note that this simulator uses the Thomas procedure. It is a good practice to put the Thomas
solver into a separate module.
Explicit Solution Scheme Rewrite the above program to obtain an explicit solution
algorithm. Experiment with the time step. Verify the following statement:
Stability Implicit: stable Explicit: at a less than 2 it is unstable!
5.7.1 Reservoir Simulation
Gridblock (Finite Volume) approach (Two dimensional: x and y direction)
Oil Material Balance Equation

Oil in place in block i =
N = VeSO
Bo
where
V p = AxAyh^
Oil in place changes from

VpSo n
Bo
to
n+1
VpSo
Bo
during timestep n+1. Thus, the rate of accumulation is
n+1 n
1 Vp Vp
At So So
Bo Bo
Flow from block i+1 to block i (EAST direction):
"+*=MOB 1---J = TH MBL (K+1 - p,)
A similar equation can be written from the WEST direction.

The net inflow is:
Tw i (Pi
-1 - P ) + ( P i +1 - P)
Vow oE
Including a possible well term q o and the previously determined accumulation term we obtain
the gridblock (cell) balance
59
J
)
1 ((VpSo\"+i (VpSo\nN _ 1 ( VpSo\n+i (VpSo\n Ai Bo [ ô ) ) + qo A^( ô j l
Bo
Flow term can be implicit (n +1) or explicit (n).

We have similar equations for water and gas.
The most important unknowns are the cell pressures. Often we solve an implicit scheme for
the pressures, then update everything else (saturations) by an explicit scheme (IMPES).
Special issues: Well models, Fully implicit schemes, various solvers, ADI (method of alternate
directions)
60
Chapter 6
Integral Transforms, Spectral

methods, inversion of the
Laplace transform
6.1 Transformations
Function to function (Laplace)
Data set to data set (Discrete Fourier Transform)
Spectral methods (Seismics, Ultra-Sound etc)
FFT algorithm
6.2 Laplace transform

Forward and Inverse Transform Some
Rules
Analytical integration or numerical solution?
6.2.1 Numerical inversion of the Laplace transform
Put the Laplace Inversion (Stehfest) Module and the program into Excel
Run it. The program calculates the Inverse of the Laplace transform F(s)=1/s. The result
should be the unit step function (one fore every positive time.) Check if you get back the value
1.0 for the given time points.
Run it. Modify the program to calculate the integral (from zero to t) of the unit step
function, by dividing the Laplace transform by s.
61
Now change the Laplace transform to another function and run again for times between
zero and 10. (Select one of the following pairs and check the result using the known inverse.)
Now calculate the integral of the function using the inverse Laplace transform method.
Check the value of the integral.
F(s) f(t)
1 e-0l5t
s+ 1
0.5 Tn
Ts sin 2.L
arctan 011
s
The main program first initializes the algorithm with StInit. The parameter is the number of
terms (n) in the Stehfest algorithm. In this case we select 16. The actual calculation is invoked
by:
Call StCalc(t, ft)
The whole driving program is only a couple of lines:
Option Explicit
Sub Fun(s As Double, F As Double)
F=1/s
End Sub
Sub VBA13b()
Dim i As Integer, np As Integer Dim t As
Double, ft As Double Call StInit(16)
With Worksheets("sheet1")
.Cells(1, 1) = "number of time points: " np =
.Cells(1, 2)
.Cells(1, 3) = "t"
.Cells(1, 4) = "f(t)"
For i = 1 To np t = .Cells(i + 1, 3)
Call StCalc(t, ft)
.Cells(i + 1, 4) = ft Next i End With
End Sub
It is a good programming practice to put the following Stehfest procedures (initialization and
calculation) into a separate module:
62
Option Explicit
Private Stn As Integer Private Stc() As Double
Function Min(i1 As Integer, i2 As Integer)

If i1 < i2 Then Min = i1 Else Min = i2 End Function
Function Max(i1 As Integer, i2 As Integer)

If i1 > i2 Then Max = i1 Else Max = i2 End Function
Sub StInit(n As Integer)

Stn = Max(2, Min(16, 2 * Int(n / 2)))
ReDim Stc(Stn) As Double ReDim Fact(Stn) As Double
Dim n2 As Integer, i As Integer, k As Integer Dim ck As
Double, sk As Double n2 = Stn / 2 Fact(0) = 1 For i = 1 To
Stn Fact(i) = i * Fact(i - 1)
Next i
For i = 1 To Stn
ck = 0
For k = Int((i + 1) / 2) To Min(i, n2) sk = k
ck = ck + sk*n2 *Fact(2*k)/(Fact(n2-k)*Fact(k)*Fact(k-1)*Fact(i-k)*Fact(2*k-i)) Next k
Stc(i) = (-1) * (i + n2) * ck Next i End Sub
Sub StCalc(t As Double, ft As Double)

Dim ln2pt As Double, s As Double, F As Double Dim i As
Integer ln2pt = Log(2#) / t ft = 0
For i = 1 To Stn s = i * ln2pt Call Fun(s, F) ft = ft + Stc(i) * F
Next i
ft = ln2pt * ft End Sub
63
Part IV
Appendix
64
Chapter 7
Study guide
7.1 Be able to ...

0. Compare scope of module level and procedure level variables
1. Use arrays
2. Write meaningful comments to code.
3. Subdivide a programming project into smaller units
4. Use defensive programming strategies to check for obvious errors in input parameters.
5. Use the interactive debugger to trace logic and numerical errors in code
6. Give a simple explanation of the term floating point number.
7. Give a definition of roundoff error.
8. Give a simple example of overflow.
9. Identify the truncation error from a Taylor series expansion.
10. Identify (at least) two important differences between symbolic and numeric
computations.
11. Estimate the error of a simple calculation if errors associated with the input are given
12. Write any scalar equation in the form f (x) = 0
13. Define multiple root.
14. Explain the role of bracketing.
15. Write a simple logical expression that expresses the condition for an interval to contain
(bracket) the root,
16. Manually perform a few steps of the bisection method.
17. Identify situations that cause Newtons method to fail.
18. Calculate the number of steps for the bisection method to reduce the uncertainty
interval x-times
65
19. Qualitatively compare the convergence rates of bisection, false-position and Newtons
method
20. Plot any f (x) as a means of graphically identifying the location of roots.
21. Describe the role of global variables in finding the roots of f (x, a, b , . . . ) = 0 where a, b,
... are parameters, and the method returns the value of x that gives f = 0 for fixed values
of a, b, ...
22. Compare effects of noise on numerical differentiation and integration
23. Derive the approximation order of a simple finite difference formula
24. Manually perform multiple application of Simpsons rule
25. Manually perform Richardson extrapolation
26. Recognize if a least squares problem is linear, can be linearized, is nonlinear
27. Be able to determine degrees of freedom
28. Identify connection between linearized and original model parameters
29. Identify the criteria for obtaining a least squares fit. (What is minimized?)
30. Manually evaluate the formulas for the slope and intercept of a line fit to data.
31. Derive the transformations for fitting data to non-linear two-parameter functions of
various type.
32. Make the connection between slope and intercept of the linearized model with the
original model parameters.
33. Recognize initial value versus boundary value problem
34. Manually calculate a few steps of Eulers and Heuns methods
35. Program the RK-4 method
36. Describe concepts: single-multi step (self starting or not), predictor-corrector
37. Express conditions of linear dependence of vectors (row or column) in terms of matrix
rank and vice-versa.
38. Explain the condition of singularity of an n n matrix in terms of linear independence.
39. Express matrix rank as a measure of linear independence.
40. Write the formal solution to Ax = b.
41. Explain why it is not a good idea to use the formal solution as a computational
procedure for solving Ax = b.
42. Name the solution algorithm most commonly used for solving Ax = b.
43. Describe the reason for pivoting.
44. Answer the question: Is pivoting a remedy for ill-conditioned systems?
45. Write the preferred expression for solving Lx = b or Ux = b when L is lower triangular
and U is upper triangular. What algorithm makes use of the solution for these systems?
46. Convert a higher order ODE to an equivalent system of coupled first order ODEs.
66
47. Use Newton-Raphson method for a system of nonlinear equations
48. Recognize the basic PDE types
49. Relate transient to steady state
50. Name methods to solve PDEs numerically
51. Solve the transient diffusivity equation by implicit finite difference
52. Be able to use the Thomas algorithm
53. Describe basic approaches to Reservoir simulation
54. Discuss explicit versus implicit approach
55. Work with units involved
56. Discuss relation between well scheduling and boundary conditions
57. Be able to use a simulator and interpret results
58. Have an overview of spectral methods
59. Be able to use an available module (in this case for numerical Laplace inversion)
67
Chapter 8
Assignments, test problems
8.1 Error propagation: borehole volume

A 6000 ft ( 1 %) deep borehole has a diameter: 5 inch ( 0.04 inch). What is the volume in bbl?
(Give your answer with error estimate!)
8.2 Error propagation: one-gallon cube

What is the side length of a one-gallon (5 %) cube? Indicate the unit and error estimate of
your answer!
8.3 Error propagation: barrel

Consider a right circular cylinder that has a volume 1 BBL (British barrel) (0.06 %). The
height is exactly twice the diameter. Estimate the diameter, indicating the unit and the
uncertainty.
8.4 Error propagation: hydrocarbon volume

The volume occupied by hydrocarbons in a certain reservoir can be calculated from = V(1 )
where V is the reservoir volume, ^ is the porosity, and is the water saturation.
Assuming = 2.5 105 ft3 (15%) and = 0.65 ( 0.12) calculate the hydrocarbon volume and give
both the absolute and the relative errors of the calculated value. Note that the water
saturation error is given as an absolute error!
68
8.5 Root finding; Newton iteration: z factor
An equation of state written in z-factor form results in the following nonlinear equation to be
solved:
z4 + 2.500z - 1.300 = 0
You use Newtons method to find the root, starting from z = 1.000 (we will call it the zero -th
approximation of the root.) Carry out the first iteration step and give the first approximation
of the root. (Do not continue the iteration process!)
8.6 Root finding: solution of the PR equation of state

he Peng-Robinson equation is one of the cubic equations of state:
(P + VM(VM + b)+ b(VM - b)) (VM - b) = T
where R is the universal gas constant, p is the pressure, T is the temperature, V M is the molar
volume, and at and b are defined as follows:
TC
b = 0.07780 -------C
Pc
R2T 2
ac = 0.45724 ---------- c
PC
1 + (0.37464 + 1.54226w - 0.26992w2)(1 - ^JT/T C) 2

at = ac
It is somewhat easier to work with dimensionless quantities such as the deviation factor z = .
Then the equation takes the form
(2Ta2t z+ p2 )^_b^ = P V 3T3 2TV 3T3

zM RT - n z2+ P
2b

T
3b2
p2
0
2T
or simply : 2
z3 + C2z2 + ciz + co = 0
where the coefficients can be read of from the previous expression.

A substance is characterized by three properties: critical temperature, T c, critical pressure, pc
and acentric factor, w.
69
For n-butane:
TC = 425.2 K
pC = 3.75 MPa
w = 0.193
What is the deviation factor, z (and the corresponding molar volume) of butane at
T = 373.15 K and p = 1.5 MPa ?
Note: there are three roots. The smallest one might be the right value, if the
substance is liquid. The largest one is the solution if the substance is in gas state.
The middle root has no physical meaning.
So which is the right one? We can turn to the saturation curve for help. The
tension of butane at 100 oC is 1.53 MPa, so the actual pressure given is less than
the gas-liquid equilibrium pressure. Therefore, at 1.5 MPa the butane is gas!
(Advanced: Another way is to calculate Gibbs free energies from the equation of
state for the two extreme roots and select the one which has less free energy.)
8.7 Root finding: heat balance
The enthalpy of 1 kg methane can be calculated from the following polynomial:
h = -4662.+1.983-T-0.001031-T2+4.243-10-6-T3-2.946-10-9 T4+7.218-10-13-T5
where h is the (specific) enthalpy in kJ/kg and T is the absolute temperature in K.
We wish to determine the temperature of 5 kg methane in the final state, if the
initial state is 300 K and the enthalpy is increased by 12,000 kJ.
8.8 Root finding: friction factor

The Darcy/Moody friction factor (f) is a function of the Reynolds number, Re and
the relative roughness e / D . If the Reynolds number is less than (or equal to) 2100,
then the flow regime is laminar and f = 64 /Re . If the Reynolds number is greater
than 2100, then the friction factor can be obtained solving the following nonlinear
equation (called Colebrook equation): 1= = 2.
Write a complete VBA function that has two inputs: the values of Re and e/D. It should
calculate the friction factor, f.
2.
5 ln(f). Why?
Hint: For bracketing methods choose f as unknown, for open methods choose
1
R
e

f
70
8.9 Root finding: Well deliverability
The Inflow Performance Relationship (IPR) gives the production rate depending on the
reservoir pressure and wellbore flowing pressure. It characterizes the ability of the reservoir to
deliver. For instance:
, \ 0.62 ?/p
=4 . 38 (p 2 - pW/J
where the production rate q is in MSCF/D and both the average reservoir pressure ( p ) and
wellbore flowing pressure ( pw/ ) are in psi.
The Tubing Performance Relationship (TPR) gives the production rate depending on wellbore
flowing pressure. It characterizes the ability of the wellbore to provide vertical lift. For
instance:
/ \ 0.5
qTPR = 93 . 68 ( P W/ - 106 J
From the TPR it can be seen, that (in this case) the minimum well bore flowing pressure to
provide natural lift is 103 psi.
In steady-state production q1PR = qTPR.
Find the production rate at various reservoir average pressures. Hint: first rearrange the
equation into f(x)= 0 form.
8.10 Root finding: isoterm flash

n the simplest isoterm flash calculation we know the inlet composition of the mixture, z 1, z2,...,
zn (mole fractions) and the distribution factors K 1, K2,..., Kn. We wish to find the mole fraction
of vapor, V and the composition of the vapor phase ( y i) and the composition of the liquid phase
( xi).
The equlibrium relations are:
Ki = ^
Xi
The material balance relations are:
yV + Xi(1 - V) = Zi
Rachford combined all these equations into one nonlinear equation with one unknown:
= (Ki - 1)zi = 0
1 = (Ki - 1)V + 1 =
Once solved for V the composition of the individual phases can be calculated from
K i zi
yi = (Ki - 1)V + 1
Zi
Xi =
(Ki - 1)V +1
71
Solve the problem for the following input data:
Component Ki z
C1 61.0 0.3396
C2 9.0 0.0646
Ce 0.035 0.6068
8.11 Optimization: Maximizing Net Present Value

One MSCF additionally produced gas brings 3.5 US$ revenue. Since the revenue is realized at
the end of the year, it has to be discounted. For optimum sizing a well stimulation treatment
we need to know the costs and benefits. Let us consider matrix acidizing.
The size of the treatment is best characterized by the volume of acid spent. All costs depend on
this extensive variable. The benefits can be measured by the revenue from the additional oil
production in the next three years. However, the revenue we get back in the future is less
valuable than the dollar we spend today, hence it has to be discounted depending on the year
it is realized in. The discount ratio is 1.2 .
NPV is the difference of discounted revenue and cost. Our goal is to maximize the NPV.
Cost of one gallon of organic acid mixture is 34 US$. Pumping charge 9 US$ /gal. Fixed cost is
10,000 US$ for a single treatment. Total cost (in US$) depends on the acid spent: v (in gal):
cost = 10,000 + (34 + 9)v
Benefit comes from increased production rate. The production rate in MSCF/D is given by
30, 000
q = ------------
1 6.3 + s
where v is the acid spent, and s is the skin factor modified by the acid treatment. The pre-
treatment skin factor is 7. Depending on the injected volume, the skin factor decreases
according to the relation
1 +0.1 v1/3
(but never becomes negative.)
The discounted benefit for a 3-year horizon is therefore expressed (in US$) as
3.5 30,000 30,000 \

benefit = -------------- T365 (
J 1 . 2 l 6 .
i=i \ ~ ~ V + i+o-W 6^ + 7,
L 2 i
Find the optimum amount of acid to spend on this well!
72
8.12 Integration of a function: PV
The production rate q (STBD) from an oil well declines according to the Hyperbolic Decline
Law:
qn
q = ------------------ r
(1 + Knt) n
where
K = 0.00207 -r1 is the decline constant

day
n = 0.3 is the Arp exponent q i =100 STBD is the initial production rate t is the number of days
elapsed from the start of the production It can be shown that for the given decline the time
when the production rate reaches the economic limit of 20 STBD is t a = 1000 days.
If we wish to calculate the discounted revenue (Present Value) of the production, we have to
multiply produced quantities by the oil price, c ($/STB). A dollar tomorrow is, however, less
than a dollar today so we have to discount the revenue using a yearly discount rate, i (%
/Year) and a discounting method (which is continuous in this case.)
c = 25 $/STB
i = 12 % /Year
Using the continuous discounting method the Present Value of one barrel oil produced in the
future, t (days) from now, can be expressed by
ce-3651
The Present Value of the cumulative production from now to abandonment can be calculated
from the integral
a q
6
PV = ce- 3 51 --------------------- i ------ - dt

(1 + Knt) n
0
8.13 Numerical integration of discrete data: pore

volume
A reservoir of area, A = 3208 acre ( 1.3974 10 8 ft2 ) has a pay thickness of 40 ft. The pore space
is completely filled with oil. The porosity was measured as at various depths from the top of
the formation:
Depth, ft porosity, ^
0 0.2916
10 0.3265
20 0.3187
30 0.3193
40 0.2854
73
Calculate the oil in place (in reservoir cubic feet) using a) multiple application of the trapezoid
rule and b) multiple application of Simpsons 1/3 rule.
8.14 Straight-line: formation volume factor model 1
Given: pb = 2012 psi, bubble point pressure Data
(observed):
P psi Bo resBBL/STB
1500 1.262
1600 1.279
1800 1.298
Determine the parameters of the nonlinear model describing the Bo:
Bo 1
a + b^Jp h - p
What is the best estimate of the B o at the bubble point?
8.15 Straight-line: formation volume factor model 2
Consider the following model of Formation Volume Factor, B 0 as a function of pressure, P.

Bo = aeb(p-pbb
where Bo is in resBBL/STB, p in psi, and p b is the known bubble point pressure: (p b = 3007
psi). The model parameters a and b are to be find. The following laboratory data are available:
p psi Bo resBBL/STB
500 1.070
1500 1.175
2500 1.301
Determine the Formation Volume Factor at the bubble point (p b) using the above model.
74
8.16 Straight-line: gas in place
Production and static (field) pressure data for a gas field is given below. (Craft and Hawkins)
p/z, psia Gp (MMM SCF)

6553 0.393
6468 1.642
6393 3.226
6329 4.260
6246 5.504
6136 7.539
6080 8.749
The material balance for a volumetric gas reservoir is
p = pi _ f Pi ^ G z zi {ziGj p
where p (psia) is static field pressure, z (-) is deviation factor for corresponding to the pressure,
Gi (MSCF) original (initial) gas in place, G p produced gas (MSCF) and the subscript i refers to
initial. Find original gas in place from the above data using straight-line form and least-
squares fit! Hint: from the straight line form estimate slope and intercept, then interpret them
to obtain first pi/zi then Gi.
Alternative linear form:
G = G - ( ^) P
pi z
8.17 Straight-line: Flow-After-Flow Test (IPR)
A frequently used IPR equation:
where q production rate, BOPD p

average reservoir pressure, psi pwf
welbore flowing pressure, psi
Data (observed):
pwf psi q BOPD
2500 109.9
2000 192.5
1500 258.7
1000 309.2
75
Find the Absolute Open Flow Potential: Hint: fill out the following table first.
Original model Linearized model

Parameter 1 qmax m
Parameter 2 n b
Independent variable p x
Dependent variable q y
8.18 Nonlinear least squares: oil viscosity as a function

of pressure and temperature
Consider the following model of oil viscosity (Mo) for a certain field as a function of pore
pressure, p and layer temperature T:
Mo = a Tb (1 + c p1'5)
where MO is in cp, p in psia, T in .
The model parameters a, b and c are to be determined by the method of nonlinear least
squares using a general purpose minimization program (e.g, Solver).
The available data are:
P, pS T, Mo, cp
500 460 0.764
1500 480 1.24
2500 500 2.19
1500 520 1.02
500 540 0.833
Write module containing a VBA function that calculates the objective function to be
minimized. The first line of the function should read as:
function SSQ(a As Double, b As Double, c As Double) As Double
Use global (module-level) variables for all data (except for the three model parameters: a, b, c
which are arguments of the function.)
8.19 ODE: Production rate decline from a differential

equation
Consider the following differential equation describing the production rate decline of a well:
76
, , ^ 0.00025 15 /racdq0dt = 1 + 01
^Q1 q .
where qo is the production rate in BOPD and t is time in days. The initial production rate is
498 BOPD. (The factor 1+l12o.1 describes the decrease of flow efficiency with time that is a
consequence of evolving damage.)
Use the RK4 method with step-size h: 100, 100, 100, 65 days to calculate the production rate
at t = 365 days.
(Advanced: derive and solve another ODE for the cumulative production.)
8.20 ODE: pressure versus depth in a shut-in well

A gas well is shut-in at the wellhead (no flow). Write a differential equation for the pressure
assuming the deviation factor is a known function of pressure. The temperature can be
considered constant.
Density p = M = M-P- kg/m3

p V M RT
Molar mass of gas M 0.27 kg/mol
Temperature T 375 K
Deviation factor Z = 1 + c1 = 3 10-6-^
1 +ci p 1 Pa
Pressure at the surface p 3.2 106 Pa
The solution of the differential equation should be a function: providing pressure (p, Pa) as a
function of depth (D, m).
What is the order of the ODE? What is the initial value condition in this case? What method
can be used to obtain the solution numerically?
Repeat the derivation for a fluid with density p = p (1 + Cfp) where p = 235 kg/m 3 and Cf =
0.3-10-6 Pa-1 and the pressure at the surface is as before: p = 3.2 10 6 Pa
8.21 Meaning of matrices and vectors: chemical

component balance
(Right a conservation equation in matrix-vector form, for instance for a distillation column.)
8.22 System of linear equations: mixing

Three petroleum products P 1, P2 and P3 are available. The Octane number determined by two
independent methods: research (RO) and motor (MO) are shown in the following table:
77
P1 P2 P3
RO 83.5 91.2 96.1
MO 84.3 88.7 97.9
You wish to create a mixture which is of Octane number (RO+MO)/2 = 89 determined by any
of the methods.
The question is what mass fractions to use (if there is a solution at all)? It is reasonable to
assume that the resulting RO and MO numbers are the weighted sums of those of the
constituents with the weighting factors being the mass fractions. (Note: Since the density of
the fluids is the same, corresponding mass fractions and volume fractions are also the same.)
Select a reasonable notation for the mass fractions Write a

system of equations for the unknown fractions.
If there are less equations than variables, think about one using the definition of mass
fractions.
If there are more equations than variables, think about dependence and delete the
unnecessary equation.)
Is there a unique solution?
Are the fractions all positive? Do they sum up yielding one?
8.23 System of linear equations with many right- hand-

sides: log interpretation
A basic approach to determine lithology of simple formations is neutron-density crossplot. Let

V1 , V2 and V3 denote the volume fractions of sand, clay and pore space (which is assumed to
be filled by water). The sum of the volumes fractions is, of course, unity. Let $ N denote the
neutron value (dimensionless) and p the density in (g/cm 3 ). (Note: the official SI density unit
is kg/m3 . As we all know 1 g/cm 3 = 1000 kg/m 3 ) The log evaluation is based on the
simultaneous application of the two relations:
= 2V1 + 37V2 + 100V3 p =
2.65V1 + 2.41 V2 + 1.0V3
expressing that both the neutron value and the density is a linear combination of the volume
fractions.
For instance, if V1 = 0.76, V 2 = 0.05 and V3 = 0.19, then = 19.33 and p = 2.3245 g/cm 3.
If we could measure and p, then we could find out the volume fraction, solving the system
2V1 + 37V2 + 100V3 =
2.65V1 + 2.41 V2 + 1.0V3 = p
V1 + V + V3 = 1
Since logs are taken densely (say meter by meter) we need to solve for the unknown V1, V 2 and
V3 with many right-hand-sides.
78
Write a program to do the calculation calling the LUDecomposition (once) and the
LUsubstitute (many times.)
Depth, ft p, g/cm3
1000 19.3 2.32
1001 16.56 2.37
1002 15.89 2.38
1003 10.54 2.47
1004 19.95 2.33
1005 19.74 2.32
1006 18.3 2.34
1007 27.6 2.19
1008 23.06 2.25
1009 14.49 2.40
1010 30. 2.15
(Additional challenge: Using the LU solver pair, calculate the inverse of the coefficient matrix.
Check if the original matrix multiplied by the obtained inverse is the identity matrix.)
8.24 Nonlinear System of Equations: Chemical Equi-

librium of Methan Combustion
Consider the following two chemical reactions
CH4 + H2O = CO + 3H2 ln Kyi = 3.235 CO + H2O =

CO2 + H2 ln Ky2 = 0.3726
Notation: y means mole fraction. The sum of mole fractions is 1. is the equilibrium constant
(expressed with mole fractions, dimensionless).
ln Kyi = - ln yCH4 - ln yÔ + ln yCO + 3 ln y^ ln Ky 2 = - ln yCO - ln yÔ + ln yCO2 + ln y#2 The
InK values are given for 1000 K flame temperature and atmospheric pressure. The following is the
molar composition of the initial mixture:
Component initial mole frac

1 ch4 0.4
2 H2 0.6
3 CO 0
4 CO2 0
5 H2 0
What is the equilibrium composition?
Hint: Let us start from 1 mole mixture and let x 1 and x2 denote the reaction extents expressed
in mole. The reaction extent tells us how many moles of the left-hand-side of a chemical
reaction has been converted into the right-hand-side. The following
79
table shows the mole fractions as the function of the two reaction extents (notice that the first
reaction causes mole number change, while the second does not.)
1 CH4 U'4-xi ^ +
2x i
2 H2 O U'O Xi
X2
3 CO Xi
1+2xiX2
1+2xi
4 CO2 X2
5 1+2xi
3X1+X2
H2
1+2xi
We can reduce the problem to two equations and two unknowns using the reaction extents.
8.25 Units: Darcys law

If the permeability is k = 10 md ( 9.87 10 15 m2) and the fluid viscosity is M = 5 cp (0.005 Pa s),
what is the Darcy velocity caused by 0.5 psi/ft (11310 Pa/m) pressure gradient? Assume the
cross sectional area perpendicular to the flow is 1 ft 2 (0.0929 m2).
What is the flow rate in resft 3/s and in resBBL/D ? (in m 3/s and in m3/day?)
80
Chapter 9
Tables
Quantity Remark SI Unit SI Other name

Length, L basic [L] m
Time, t basic [t] s
Mass, m basic [M] kg
Chem substance, n basic [N] mol
Temperature, T basic [T] K
Current, I basic [I] A
Velocity, V L/ t m s1
Area, A L2 2
Volume, V m2
L3 3
m3
Specific volume V/m m
3
kg
1
Molar volume V/n m3 mol- 1

Density, m/V kg m 3
Acceleration, a AV/At 2
ms 2
Force, F ma kg m s 2 N
Pressure, p (also stress) F/A kg m
1 s-2 Pa = N/m2 = J/m3
Work LF kg m2 s 2 J = N m = Pa m3
Heat Work kg m2 s -2 J
Int. Energy, Enthalpy Work kg m2 s -2 J
Power Work/ t kg m2 s -3 W = J/s = Pa m3/s
Specific heats (mass based) Heat/(m A T) m2 s2 K -1 J / (kg K)
Electr. Potential (Voltage) Power/Current kg m2 s -3 A-1 V= W/A
Electr. Resistance Potential/Current kg m2 s -3 A-2 Q= V/A
Electr. charge Current Time As C
Flow rate A Volume / At 31 m3 s 1
Shear rate A Velocity/ A Length s-1
Viscosity Stress / shear rate Pa s
Permeability Pressure/ Length Velocity 2
m2
Viscosity
Compressibility 1/Pressure Pa-1
81
Multiplier Prefix name Symbol
109 giga G
106 mega M
103 kilo k
10-3 milli m
10-6 micro
0.1 deci d
0.01 centi c
Circumference of circle dn
Area of circle d2 n/4
3
Volume of sphere d n/6
2
Surface area of sphere d n
Volume of right circular cylinder
hd2 n/4
Pyramid (area of base) -h/3
Kinetic energy AKE = 2 mA(V2)

Potential energy APE = m gAh
Hydrostatic pressure Ap = pgAh
Darcys Law Q/A = ^Darcy = - ^ ^f
Pipe Mech Energ Bal f= Ah + 2g A(V 2) + f LV2
Pipe Mech Energ Bal Ap = gpAh + f A(V 2)+ f
Pump power ApV A = ApQ
Pipe Reynolds number definition: Pe =
Friction factor def (Darcy,Moody,Stanton) f = Apfric-j- p/2
for laminar flow (Hagen-Poissule) f: 64
Re
for turbulent flow f: function(Re, relative roughness)
Acceleration of gravity 9.8066 m/s2

Max Water Density 999.973 kg/m3
Liquid water spec. heat (1 atm) 4180 J/(kg K)
Heat of vap. of water (1 atm) 2.257 106 J/kg
Air Density (273 K, 1 atm) 1.293 kg/m3
Air cp/cv 1.4
Air relative molecular mass 0.2891 kg/mol
Temperature
Abs zero Water freezing p. (1 atm) Water boiling p. (1 atm)
0K 273.15 K 373 K
-273.15 oC 0 oC
O
O
o
o
1
0R 491.67 R 671.67 R
-459.67 oF 32 oF 212 oF
82
pV = nT
Cp cv =
Cp
Ideal gas: Gv
K=
3
R= 8 . 3 1 4 = 8.314 = 8.314^+
mol-K mol-K mol-K
R= 1.986 lb BTUUoR = 1545 lb ftf = 10.73 lbpsi
__________ lb-moloR _________ lb-moloR__________ lb-moloR
Other units
Other unit Expressed with SI unit
inch 0.0254 m
ft 0.3048 m
mile 1609.3 m
acre 4046.9 m2
gal 3.7854 x 10-3 m3
bbl 0.158987 3
Liter 0.001 m33
m3
lbm 0.45359 kg
lbf 4.4482 N
psi 6894.8 Pa
bar 1 x 105 Pa
Atmosphere 101325 Pa
mm-of-Hg 133.32 Pa
deg-R 0.555556 K
hp 745.70 W
BTU 1055.1 J
min 60 s
hour 3600 s
day 86400 s
md 9.869 x 10-16 m2
cP 0.001 Pa s
Inside the English system

1 ft = 12 in.
1 mi = 5280 ft
1 ac = 43,560 ft2
1 sq mi = 640 ac
1 BBL = 42 gal = 5.6146 ft3
1 lbf = 32.174 lbmft
s2
1 psi =1 lbf = 144 lbf
in.2 ft2
1 atm = 14.696 lbf
in.2
1 BTU = 778.17 lbf = 25,037
lb
S *
2
ft
1 hp = 42.41 BTU lbm
min ft3
1 sp. grav. (liq) = 8.34 lbm = 62.4
gal
sp. grav. (liq) : 141.5 ' 131.5+AP1o
lb-mole : 453.59 mol : 379 SCF
M : multiply by 1000
83

Textbook 301 Valko

Încărcat de

Informații document

Titlu original

Drepturi de autor

Formate disponibile

Partajați acest document

Partajați sau inserați document

Opțiuni de partajare

Vi se pare util acest document?

Este necorespunzător acest conținut?

Drepturi de autor:

Formate disponibile

Textbook 301 Valko

Încărcat de

Drepturi de autor:

Formate disponibile

PETE 301 PETROLEUM ENGINEERING NUMERICAL

METHODS LECTURE NOTES AND

August 18, 2004

III Engineering models and numerical methods 23

3 Mathematical Modeling and Engineering Problem Solving 24

4 Methods related to single variable problems 29

6 Integral Transforms, Spectral methods, inversion of the Laplace trans- form 61

8.14 Straight-line: formation volume factor model 1 ........................................................... 74

Understand the route from arithmetic and calculus to numerical methods.

Learn how to program a numerical method using modern programming concepts

Problem solving steps

Start with conservation principles

Improve documentation skills

2) Either of the following (or any similar title)

3) All of your Petroleum Engineering Books

Special thanks go to L. Piper, B. Maggard, R. Archer, R. Wattenbarger .

(d) Numerical solution of ordinary differential equations

4. Methods related to multi-variable problems

(a) Matrices, vectors

(b) System of linear equations

Introduction to Excel and VBA

1.1 Starting Excel, saving a file

1.2 Workbook, worksheet, views, printing

1.3 Spreadsheet basics

1.4 Graphing with Excel

Editing an Existing Graph Check out. Creating Graphs

with Multiple Curves Check out.

More graphs types Check out.

1.5 Numerical methods inside Excel

1.6 Database Management with Excel

1.7 Excel and the WWW

1.8 Keyboard macros and what they cant do

1.9 VBA, variable, sub, function, module

1. A modern, structured programming language, with many intrinsic procedures

(a) Data management

(a) Dialog and input boxes

1. Compute the value of s according to the formula.

2. Output the value of s which is the result

To make this program run do the following:

1. VBA performs automatic syntax checking and formatting of code.

2. The single quote character () denotes the beginning of a comment.

Built-in (or intrinsic) functions

Byte 1 byte 0 to 255

Dim Statement: Declares variables and allocates storage space.

Dim NumberOfEmployees As Integer Dim

Dim a,b As Integer

Dim a As Integer, b As Integer

Dim n As Integer, m As Double

instead of the correct:

Objects,input and output

With ThisWorkbook.Worksheets("Sheet2") a =.Cells(1, 4)

Advanced topics: Argument passing by Value or by Reference All arguments are

1. Floating point division by zero

3. Negative argument in the function sqr() is

Run the following program :

Message Boxes, Custom Dialogue Boxes

1.10 Structured Programming: Subs, Decisions and Loops

Calculate the Slope and Intercept Call My_Line(X1,

Display the result With

A subroutine used inside:

Sub My_Line(x As Double,y As Double,xx As Double,yy As Double,m As Double) m = (yy - y) / (xx

The If/Then/Else Decision Structure

If balance < 3000 Then apr = 0.03 Else