Optimal Path Problems with Second-Order Stochastic Dominance Constraints
This paper studies optimal path problems integrated with the concept of second order stochastic dominance. These problems arise from applications where travelers are concerned with the trade off between the risks associated with random travel time and other travel costs. Risk-averse behavior is embedded by requiring the random travel times on the optimal paths to stochastically dominate that on a benchmark path in the second order. A general linear operating cost is introduced to combine link- and path-based costs. The latter, which is the focus of the paper, is employed to address schedule costs pertinent to late and early arrival. An equivalent integer program to the problem is constructed by transforming the stochastic dominance constraint into a finite number of linear constraints. The problem is solved using both off-the-shelf solvers and specialized algorithms based on dynamic programming (DP). Although neither approach ensures satisfactory performance for general large-scale problems, the numerical experiments indicate that the DP-based approach provides a computationally feasible option to solve medium-size instances (networks with several thousand links) when correlations among random link travel times can be ignored. Copyright Springer Science+Business Media, LLC 2012
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 12 (2012)
Issue (Month): 4 (December)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/economics/regional+science/journal/11067/PS2|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
- Current, J. R. & Re Velle, C. S. & Cohon, J. L., 1985. "The maximum covering/shortest path problem: A multiobjective network design and routing formulation," European Journal of Operational Research, Elsevier, vol. 21(2), pages 189-199, August.
- Hadar, Josef & Russell, William R., 1971. "Stochastic dominance and diversification," Journal of Economic Theory, Elsevier, vol. 3(3), pages 288-305, September.
- Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
- Miller-Hooks, Elise & Mahmassani, Hani, 2003. "Path comparisons for a priori and time-adaptive decisions in stochastic, time-varying networks," European Journal of Operational Research, Elsevier, vol. 146(1), pages 67-82, April.
- Carraway, Robert L. & Morin, Thomas L. & Moskowitz, Herbert, 1990. "Generalized dynamic programming for multicriteria optimization," European Journal of Operational Research, Elsevier, vol. 44(1), pages 95-104, January.
- G. Hanoch & H. Levy, 1969. "The Efficiency Analysis of Choices Involving Risk," Review of Economic Studies, Oxford University Press, vol. 36(3), pages 335-346.
- Milton Friedman & L. J. Savage, 1948. "The Utility Analysis of Choices Involving Risk," Journal of Political Economy, University of Chicago Press, vol. 56, pages 279-279.
When requesting a correction, please mention this item's handle: RePEc:kap:netspa:v:12:y:2012:i:4:p:561-587. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.