Additive consistency of risk measures and its application to risk-averse routing in networks

DOI10.1287/MOOR.2016.0787zbMATH Open1351.90060arXiv1312.4193OpenAlexW1485222323MaRDI QIDQ2833115FDOQ2833115

Authors: Roberto Cominetti, Alfredo Torrico 

Publication date: 16 November 2016

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Abstract: This paper investigates the use of risk measures and theories of choice for modeling risk-averse route choice and traffic network equilibrium with random travel times. We interpret the postulates of these theories in the context of routing, and we identify additive consistency as a plausible and relevant condition that allows to reduce risk-averse route choice to a standard shortest path problem. Within the classical theories of choice under risk, we show that the only preferences that satisfy this consistency property are the ones induced by the entropic risk measures.

Full work available at URL: https://arxiv.org/abs/1312.4193

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zbMATH Keywords

networkstranslation invariancechoice theoryentropic risk measuretraffic equilibriumadditive consistencyrisk-averse routing

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Existence of optimal solutions to problems involving randomness (49J55) Stochastic network models in operations research (90B15) Traffic problems in operations research (90B20)

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Cited In (5)

• Minimum costs paths in intermodal transportation networks with stochastic travel times and overbookings
• A mean-risk model for the traffic assignment problem with stochastic travel times
• Risk-averse selfish routing
• Equilibrium routing under uncertainty
• Stochastic decomposition for risk-averse two-stage stochastic linear programs

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