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Leilei Zhang

An Optimal Path Model for the Risk-Averse Traveler

Published: 2014/06/11, Updated: 2015/02/13
  • Tito Homem-de-Mello
  • Leilei Zhang
  • Categories Stochastic Programming, Transportation

    In this paper we discuss stochastic optimal path problems where the goal is to find a path that has minimal expected cost and at the same time is less risky (in terms of travel time) than a given benchmark path. The model is suitable for a risk-averse traveler, who prefers a path with a more … Read more

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    Keywords

    alternating direction method of multipliers approximation algorithms augmented lagrangian method bilevel optimization Branch-and-Bound branch-and-cut chance constraints column generation combinatorial optimization complexity compressed sensing conic optimization convex optimization cutting planes decomposition derivative-free optimization distributionally robust optimization duality dynamic programming first-order methods global convergence global optimization heuristics integer programming interior point methods large-scale optimization linear programming machine learning mixed-integer linear programming mixed-integer nonlinear programming mixed-integer programming nonconvex optimization nonlinear optimization nonlinear programming nonsmooth optimization optimal control optimization proximal point algorithm quadratic programming robust optimization semidefinite programming stochastic optimization stochastic programming trust-region methods unconstrained optimization

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