Application of Monte Carlo in Oil and Gas Exploration Project Decision Making

doi:10.3969/j.issn.1002-302x.2017.04.009

Abstract

Abstract: Genetic algorithm, based on deterministic economic evaluation of exploration project, has been widely adopted in modern portfolio optimization, with its advantages actually recognized. However, some economic evaluation parameters of the project may be varied vastly during the evaluation, especially for those exploration projects with long-life cycle. Obviously, These uncertain factors can affect the accuracy of the portfolio analysis. In view of this situation, the author introduced the Monte Carlo method in the portfolio calculation, which is based on uncertain economic evaluation. Fully considering the variety situation of the parameters change, such as oil and gas production, oil and gas prices and geologic risk, the method carries on optimized portfolio analysis by massive Monte Carlo simulation with possible economic evaluation results. The application of portfolio optimization of 14 exploration projects in Bohai Bay Basin shows that this method, considering the uncertain economic evaluation results, can deal with portfolio optimization of multi-objects well, and the analysis results are more objective and reasonable.

摘要：

现代投资组合优化计算中，基于勘探项目确定性经济评价结果的遗传算法已经得到广泛应用。然而在实际勘探项目评价中，经济评价的部分参数可能在评价周期内发生较大变化，这些不确定因素会影响到投资组合分析结果的准确性。因此在油气勘探项目投资组合分析中引入蒙特卡洛法，充分考虑到经济评价中油气产量、油气价格及地质风险等评价参数发生变化时经济评价结果的变化情况，在此基础上进行最优投资组合分析。蒙特卡洛法计算过程主要包括构造概率过程、随机抽样、建立各种估计量等步骤，通过渤海湾盆地14 个勘探项目投资组合优化实例应用，表明基于蒙特卡洛法的投资组合分析方法能够很好地处理多个勘探目标的组合优化问题，投资组合分析结果也较为合理。

关键词: 油气勘探, 投资组合优化, 遗传算法, 蒙特卡洛模拟, 效益前缘

CLC Number:

Wang Yigang, Xu Zhongmei, Cao Jin, Li Zhihao. Application of Monte Carlo in Oil and Gas Exploration Project Decision Making[J]. Petroleum Science and Technology Forum, 2017, 36(4): 44-48.

王义刚　徐忠美　曹　晋　李治昊. 蒙特卡洛法在油气勘探项目决策中的应用[J]. 石油科技论坛, 2017, 36(4): 44-48.

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