Wasserstein distributionally robust shortest path problem

Zhuolin Wang, Keyou You, Shiji Song and Yuli Zhang

European Journal of Operational Research, 2020, vol. 284, issue 1, 31-43

Abstract: This paper proposes a data-driven distributionally robust shortest path (DRSP) model where the distribution of the travel time in the transportation network can only be partially observed through a finite number of samples. Specifically, we aim to find an optimal path to minimize the worst-case α-reliable mean-excess travel time (METT) over a Wasserstein ball, which is centered at the empirical distribution of the sample dataset and the ball radius quantifies the level of its confidence. In sharp contrast to the existing DRSP models, our model is equivalently reformulated as a tractable mixed 0–1 convex problem, e.g., 0–1 linear program or 0–1 second-order cone program. Moreover, we also explicitly derive the distribution achieving the worst-case METT by simply perturbing each sample. Experiments demonstrate the advantages of our DRSP model in terms of the out-of-sample performance and computational complexity. Finally, our DRSP model is easily extended to solve the distributionally robust bi-criteria shortest path problem and the minimum cost flow problem.

Keywords: Uncertainty modelling; Distributionally robust shortest path; Wasserstein metric; METT; Mixed 0–1 convex program (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:284:y:2020:i:1:p:31-43

DOI: 10.1016/j.ejor.2020.01.009

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