One Step at a Time: The Origins of Sequential Simulation and Beyond

Abstract

In the mid-1980s, still in his young 40s, André Journel was already recognized as one of the giants of geostatistics. Many of the contributions from his new research program at Stanford University had centered around the indicator methods that he developed: indicator kriging and multiple indicator kriging. But when his second crop of graduate students arrived at Stanford, indicator methods still lacked an approach to conditional simulation that was not tainted by what André called the ‘Gaussian disease’; early indicator simulations went through the tortuous path of converting all indicators to Gaussian variables, running a turning bands simulation, and truncating the resulting multi-Gaussian realizations. When he conceived of sequential indicator simulation (SIS), even André likely did not recognize the generality of an approach to simulation that tackled the simulation task one step at a time. The early enthusiasm for SIS was its ability, in its multiple-indicator form, to cure the Gaussian disease and to build realizations in which spatial continuity did not deteriorate in the extreme values. Much of Stanford’s work in the 1980s focused on petroleum geostatistics, where extreme values (the high-permeability fracture zones and the low-permeability shale barriers) have much stronger anisotropy, and much longer ranges of correlation in the maximum continuity direction, than mid-range values. With multi-Gaussian simulations necessarily imparting weaker continuity to the extremes, SIS was an important breakthrough. The generality of the sequential approach was soon recognized, first through its analogy with multi-variate unconditional simulation achieved using the lower triangular matrix of an LU decomposition of the covariance matrix as the multiplier of random normal deviates. Modifying LU simulation so that it became conditional gave rise to sequential Gaussian simulation (SGS), an algorithm that shared much in common with SIS. With nagging implementation details like the sequential path and the search neighborhood being common to both methods, improvements in either SIS or SGS often became improvements to the other. Almost half of the contributors to this Special Issue became students of André in the classes of 1984–1988, and several are the pioneers of SIS and SGS. Others who studied later with André explored and developed the first multipoint statistics simulation procedures, which are based on the same concept that underlies sequential simulation. Among his many significant intellectual accomplishments, one of the cornerstones of André Journel’s legacy was sequential simulation, built one step at a time.