Abstract
In this paper, we tackle the problem of risk-averse route planning in a transportation network with time-dependent and stochastic costs. To solve this problem, we propose an adaptation of the A* algorithm that accommodates any risk measure or decision criterion that is monotonic with first-order stochastic dominance. We also present a case study of our algorithm on the Manhattan, NYC, transportation network.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Similar content being viewed by others
Notes
- 1.
The SFIFO property states that for any confidence level \(\alpha \), leaving later cannot lead to an earlier arrival time: \(t \le t' \implies t + F^-1_{C_t}(\alpha ) \le t' + F^-1_{C_{t'}}(\alpha )\) where \(t, t'\) are departure times, \(C_t, C_{t'}\) random costs of an edge and \(\alpha \in [0, 1]\).
- 2.
For space reasons, we do not include the proofs.
- 3.
- 4.
References
Artzner, P., Delbaen, F., Eber, J., Heath, D.: Coherent measures of risk. Mathe. Finan. 9(3), 203–228 (1999)
Bast, H., Delling, D., Goldberg, A., Müller-Hannemann, M., Pajor, T., Sanders, P., Wagner, D., Werneck, R.: Route planning in transportation networks (2015). arXiv:1504.05140v1
Bäuerle, N., Müller, A.: Stochastic orders and risk measures: Consistency and bounds. Math. Econ. 38, 132–148 (2006)
Bellman, R.: On a routing problem. Q. Appl. Math. 16, 87–90 (1958)
Bertsekas, D., Tsitsiklis, J.: An analysis of stochastic shortest paths problems. Math. Oper. Res. 16, 580–595 (1991)
Chen, B.Y., Lam, W.H.K., Sumalee, A., Li, Q., Tam, M.L.: Reliable shortest path problems in stochastic time-dependent networks. J. Intell. Transp. Syst. 18(2), 177–189 (2014)
Delling, D., Sanders, P., Schultes, D., Wagner, D.: Engineering route planning algorithms. In: Lerner, J., Wagner, D., Zweig, K.A. (eds.) Algorithmics of Large and Complex Networks. LNCS, vol. 5515, pp. 117–139. Springer, Heidelberg (2009). doi:10.1007/978-3-642-02094-0_7
Dijkstra, E.: A note on two problems in connexion with graphs. Numer. Math. 1, 269–271 (1959)
Dreyfus, S.: An appraisal of some shortest-path algorithms. Oper. Res. 17(3), 395–412 (1969)
Embrechts, P., Kluppelberg, C., Mikosch, T.: Modelling Extremal Events for Insurance and Finance. Springer, Berlin (1997)
Ford, L.J.: Network flow theory. Technical report, Rand Corporation (1956)
Frank, H.: Shortest paths in probabilistic graphs. Oper. Res. 17(4), 583–599 (1969)
Fu, L., Rilett, L.: Expected shortest paths in dynamic and stochastic traffic networks. Transp. Res. Part B: Methodol. 32(7), 499–516 (1998)
Gavriel, C., Hanasusanto, G., Kuhn, D.: Risk-averse shortest path problems. In: IEEE 51st Annual Conference on Decision and Control, pp. 2533–2538 (2012)
Goldberg, A., Harrelson, C.: Computing the shortest path: A* meets graph theory. In: SODA, pp. 156–165 (2005)
Hart, P.E., Nilsson, N.J., Raphael, B.: A formal basis for the heuristic determination of minimum cost paths. IEEE Trans. Syst. Cybern. 4(2), 100–107 (1968)
Jorion, P.: Value-at-Risk: The New Benchmark for Managing Financial Risk. McGraw-Hill, New York (2006)
Kaufman, D., Smith, R.: Fastest paths in time-dependent networks for intelligent vehicle-highway systems application. J. Intell. Transp. Syst. 1(1), 1–11 (1993)
Moore, E.F.: The shortest path through a maze. In: Proceedings of the International Symposium on the Theory of Switching, pp. 285–292 (1959)
von Neumann, J., Morgenstern, O.: Theory of Games and Economic Behavior. Princeton University Press, Princeton (1944)
Nie, Y., Wu, X.: Shortest path problem considering on-time arrival probability. Transp. Res. Part B: Methodol. 43(6), 597–613 (2009)
Ogryczak, W., Ruszczynski, A.: From stochastic dominance to mean-risk models: semideviations as risk measures. Eur. J. Oper. Res. 116, 33–50 (1999)
Orda, A., Rom, R.: Shortest-path and minimum delay algorithms in networks with time-dependent edge-length. J. ACM 37(3), 607–625 (1990)
Parmentier, A., Meunier, F.: Stochastic shortest paths and risk measures. In: arXiv preprint (2014)
Peyer, S., RautenBach, D., Vygen, J.: A generalization of Dijkstra’s shortest path algorithm with applications to VLSI routing. J. Discret. Algorithms 7(4), 377–390 (2009)
Puterman, M.: Markov Decision Processes: Discrete Stochastic Dynamic Programming. Wiley, Hoboken (1994)
Quiggin, J.: Generalized Expected Utility Theory: The Rank-dependent Model. Kluwer Academic Publishers, Berlin (1993)
Russell, S., Norvig, P.: Artificial Intelligence: A Modern Approach, 2nd edn. Prentice-Hall, Upper Saddle River (2003)
Savage, L.: The Foundations of Statistics. Wiley, Hoboken (1954)
Shaked, M., Shanthikumar, J.: Stochastic Orders and Their Applications. Academic Press, New York (1994)
Sigal, C., Pritsker, A., Solberg, J.: The stochastic shortest route problem. Oper. Res. 28, 1122–1129 (1980)
Yaari, M.: The dual theory of choice under risk. Econometrica 55, 95–115 (1987)
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2016 Springer International Publishing AG
About this paper
Cite this paper
Li, D., Weng, P., Karabasoglu, O. (2016). Finding Risk-Averse Shortest Path with Time-Dependent Stochastic Costs. In: Sombattheera, C., Stolzenburg, F., Lin, F., Nayak, A. (eds) Multi-disciplinary Trends in Artificial Intelligence. MIWAI 2016. Lecture Notes in Computer Science(), vol 10053. Springer, Cham. https://doi.org/10.1007/978-3-319-49397-8_9
Download citation
DOI: https://doi.org/10.1007/978-3-319-49397-8_9
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-49396-1
Online ISBN: 978-3-319-49397-8
eBook Packages: Computer ScienceComputer Science (R0)