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Robust user equilibrium model based on cumulative prospect theory under distribution-free travel time

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Journal of Central South University 2015年第2期22卷 761-770页

作者：王伟孙会君吴建军 Key Laboratory for Urban Transportation Complex Systems theory of Ministry of Education(Beijing Jiaotong University) State Key Laboratory of Rail Traffic Control and Safety (Beijing Jiaotong University)

The assumption widely used in the user equilibrium model for stochastic network was that the probability distributions of the travel time were known explicitly by travelers. However, this distribution may be unavailable in reality. By relaxing the restrictive assumption, a robust user equilibrium model based on cumulative prospect theory under distribution-free travel time was presented. In the absence of the cumulative distribution function of the travel time, the exact cumulative prospect value(CPV) for each route cannot be obtained. However, the upper and lower bounds on the CPV can be calculated by probability *** were assumed to choose the routes with the best worst-case CPVs. The proposed model was formulated as a variational inequality problem and solved via a heuristic solution algorithm. A numerical example was also provided to illustrate the application of the proposed model and the efficiency of the solution algorithm.

关键词： user equilibrium cumulative prospect theory distribution-free travel time variational inequality

A New Method of Portfolio Optimization Under cumulative prospect theory

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Tsinghua Science and Technology 2018年第1期23卷 75-86页

作者： Chao Gong Chunhui Xu Masakazu Ando Xiangming Xi Department of Risk Science in Finance and Management Chiba Institute of Technology Chiba 275-0016 Japan Department of Automation Tsinghua University Beijing 100084 China

In this paper, the portfolio selection problem under cumulative prospect theory （CPT） is investigated and a model of portfolio optimization is presented. This model is solved by coupling scenario generation techniques with a genetic algorithm. Moreover, an Adaptive Real-Coded Genetic Algorithm （ARCGA） is developed to find the optimal solution for the proposed model. Computational results show that the proposed method solves the portfolio selection model and that ARCGA is an effective and stable algorithm. We compare the portfolio choices of CPT investors based on various bootstrap techniques for scenario generation and empirically examine the effect of reference points on investment behavior.

关键词： portfolio choice cumulative prospect theory bootstrap method adaptive real-coded genetic algorithm

Multi-Objective Optimization of Urban Bus Network Using cumulative prospect theory

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Journal of Systems Science & Complexity 2015年第3期28卷 661-678页

作者： LI Xiaowei WANG Wei XU Chengcheng LI Zhibin WANG Baojie School of Civil Engineering Xi’an University of Architecture & Technology School of Transportation Southeast University Collaborative Innovation Center of Modern Traffic Technology

Multi-objective optimization of urban bus network can help improve operation efficiency of the transit system and develop strategies for reducing urban traffic congestion in China. The work used cumulative prospect theory, currently the most influential model for decision under uncertainty,to optimize urban bus network. To achieve the research objective, the work developed the theoretical framework of urban bus network optimization, including optimization principle, optimization objectives and constraints. Furthermore, optimization objectives could comprehensively reflect expectations of passengers and bus companies from the dimension of time, space and value. It is more scientific and reasonable compared with only one stakeholder or dimension alone in the previous studies. In addition,the technique for order preference by similarity to ideal solution(TOPSIS) was used to determine the positive and negative ideal alternative. The correlations between the optimization alternatives and the ideal alternatives were estimated by grey relational analysis simultaneously. The cumulative prospect theory(CPT) was used to determine the best alternative by comparing comprehensive prospect value of every alternative, accurately describing decision-making behavior compared with expected utility theory in actual life. Finally, Case of Xi'an showed that the method can better adjust the bus network,and the optimization solution is more reasonable to meet the actual needs.

关键词： Bus network cumulative prospect theory optimization traffic engineering.

The Park-and-Ride Behavior in a cumulative prospect theory-Based Model

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Journal of the Operations Research Society of China 2017年第3期5卷 363-376页

作者： Li-Jun Tian Cheng-Rui Lyu Yong-Xiang Zhao School of Economics and Management Fuzhou UniversityFuzhou 350116China

As an effective travel demand management means,park-and-ride(P&R)mode is an important part of urban *** a traffic corridor with P&R service,suppose that the travel time on highway is uncertain,a cumulative prospect theory(CPT)-based travel decision-making model is established with two travel modes of driving all the way and(P&R).With this setting,the effect of various factors such as the transit fare rate,the parking fee and the total travel demand on the CPT-based and expected utility theory(EUT)-based equilibrium results are *** addition,the sensitivity analysis focus on CPT-related parameters are also *** numerical results in our case show that the equilibrium flow on P&R mode is always underestimated in an EUT-based model,especially for a low total travel ***,it is found that reducing the transit fare rate or parking fee for P&R station and raising the parking fee for CBD has the same effect on promoting more commuters transfer to P&R mode,whatever CPT-based or EUT-based model is ***,commuter’s reference dependence characteristic is also observed in a CPT-based model,and it is especially noticeable when the road uncertainty is large.

关键词： Urban traffic Park-and-ride cumulative prospect theory Commute behavior Equilibrium model

Traffic assignment problem under tradable credit scheme in a bi-modal stochastic transportation network: A cumulative prospect theory approach

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Journal of Central South University 2020年第1期27卷 180-197页

作者： HAN Fei ZHAO Xiang-mo CHENG Lin School of Automobile Chang’an UniversityXi’an 710064China School of Information Engineering Chang’an UniversityXi’an 710064China School of Transportation Southeast UniversityNanjing 210096China

The traffic equilibrium assignment problem under tradable credit scheme(TCS) in a bi-modal stochastic transportation network is investigated in this paper. To describe traveler’s risk-taking behaviors under uncertainty, the cumulative prospect theory(CPT) is adopted. Travelers are assumed to choose the paths with the minimum perceived generalized path costs, consisting of time prospect value(PV) and monetary cost. At equilibrium with a given TCS, the endogenous reference points and credit price remain constant, and are consistent with the equilibrium flow pattern and the corresponding travel time distributions of road sub-network. To describe such an equilibrium state, the CPT-based stochastic user equilibrium(SUE) conditions can be formulated under TCS. An equivalent variational inequality(VI) model embedding a parameterized fixed point(FP) model is then established, with its properties analyzed theoretically. A heuristic solution algorithm is developed to solve the model, which contains two-layer iterations. The outer iteration is a bisection-based contraction method to find the equilibrium credit price, and the inner iteration is essentially the method of successive averages(MSA) to determine the corresponding CPT-based SUE network flow pattern. Numerical experiments are provided to validate the model and algorithm.

关键词： tradable credit scheme cumulative prospect theory endogenous reference points generalized path costs stochastic user equilibrium variational inequality model heuristic solution algorithm

The Evaluation of Alternative Risk Control Schemes Based on cumulative prospect theory

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Journal of Architectural Research and Development 2023年第6期7卷 17-22页

作者： Hai Zhao Yuliang Wang Sichuan Guangmian Highway Headquarters China Railway No.5 Engineering Group CO.LTD.Chengdu 610000Sichuan ProvinceChina School of Public Administration Southwest Jiaotong UniversityChengdu 610000Sichuan ProvinceChina

Based on the analysis of the evaluation problems associated with the risk control scheme for major engineering projects,the evaluation method of the risk control scheme considering the irrational behavior of evaluation members in fuzzy random environment is ***,a maximum entropy model corresponding to any evaluation member is es-tablished by using triangular fuzzy random variables and grey correlation coefficient in order to obtain the weight of each risk factor of the ***,a nonlinear programming model is established according to the principle of minimiz-ing deviation to estimate the weight of different evaluation members on the evaluation of alternative risk control ***,the cumulative entropy model is used to calculate the weight of risk control *** prospect theory obtains the comprehensive prospect utility value of each alternative to determine the optimal alternative.

关键词： Major project Risk assessment cumulative prospect theory

Behavioral Portfolio Selection with Loss Control

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Acta Mathematica Sinica,English Series 2011年第2期27卷 255-274页

作者： Song ZHANG Han Qing JIN Xun Yu ZHOU Department of Financial Mathematics Peking University Beijing 100871 P. R. China Mathematical Institute and Nomura Centre for Mathematical Finance The University of Oxford 24-29 St Giles Oxford OX1 3LB UK Oxford-Man Institute of Quantitative Finance The University of Oxford Eagle House Walton Well Road Oxford OX2 6ED UK Department of Systems Engineering and Engineering Management The Chinese University of Hong Kong Shatin Hong Kong

In this paper we formulate a continuous-time behavioral （4 la cumulative prospect theory） portfolio selection model where the losses are constrained by a pre-specified upper bound. Economically the model is motivated by the previously proved fact that the losses Occurring in a bad state of the world can be catastrophic for an unconstrained model. Mathematically solving the model boils down to solving a concave Choquet minimization problem with an additional upper bound. We derive the optimal solution explicitly for such a loss control model. The optimal terminal wealth profile is in general characterized by three pieces： the agent has gains in the good states of the world, gets a moderate, endogenously constant loss in the intermediate states, and suffers the maximal loss （which is the given bound for losses） in the bad states. Examples are given to illustrate the general results.

关键词： cumulative prospect theory portfolio choice gains and losses, constraint, Choquet integral, quantile function

Travel Decision Model of Heterogeneous Commuters under Uncertain Environment

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Journal of Harbin Institute of Technology(New Series) 2018年第4期25卷 73-80页

作者： Hong Chen Zhanguo Song Hanqi Wang Ruichang Ning Fangjing Xu School of Highway Chang'an University

In order to better describe the commuter's travel decision-making behavior under different travel environment,heterogeneous commuters and types are defined,and the commuters are divided into three types,including conservative type,neutral type and adventure type,respectively,analysis on the travel environment supply and the travel environment *** the travel demand obeys the gamma distribution and the capacity obeys the beta distribution,and the travel time function of different commuter type is deduced,the travel decision model based on the cumulative foreground theory is *** the example results,compared with the fluctuation of travel demand,the degradation of traffic capacity has a more significant impact on travel decision-making behavior;and different types of commuters cause different disturbances to travel decision-making behavior.

关键词： traffic engineering travel decision behavior cumulative prospect theory heterogeneouscommuters travel environment

A stochastic user equilibrium model solving overlapping path and perfectly rational issues

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Journal of Central South University 2021年第5期28卷 1584-1600页

作者： YAN Dong-mei GUO Jian-hua Intelligent Transportation System Research Center Southeast UniversityNanjing 211189China

Traffic assignment has been recognized as one of the key technologies in supporting transportation planning and *** better address the perfectly rational issue of the expected utility theory(EUT)and the overlapping path issue of the multinomial logit(MNL)model that are involved in the traffic assignment process,this paper proposes a cumulative prospect value(CPV)-based generalized nested logit(GNL)stochastic user equilibrium(SUE)*** proposed model uses CPV to replace the utility value as the path performance within the GNL model *** equivalent mathematical model is provided for the proposed CPV-based GNL SUE model,which is solved by the method of successive averages(MSA).The existence and equivalence of the solution are also proved for the equivalent *** demonstrate the performance of the proposed CPV-based GNL SUE model,three road networks are selected in the empirical *** results show that the proposed model can jointly deal with the perfectly rational issue and the overlapping path issue,and additionally,the proposed model is shown to be applicable for large road networks.

关键词： stochastic user equilibrium cumulative prospect theory generalized nested logit method of successive averages