1.

225J
1.225J (ESD 205) Transportation Flow Systems

Lecture 6

Introduction to Optimization

Prof. Ismail Chabini and Prof. Amedeo R. Odoni

Lecture 6 Outline

‰ Mathematical programs (MPs)

‰ Formulation of shortest path problems as MPs
‰ Formulation of U.O. traffic assignment as an MP
‰ Relationship between U.O. and S.O. traffic assignment
‰ Solving S.O. traffic assignment by hand
‰ Lecture summary

1.225, 11/19/02 Lecture 6, Page 2

 Optimization: Mathematical Programs

‰ General formulation (n variables, m constraints):
min z ( x1 , x2 ,..., xn ) Objective function
Subject to (s.t.): g1 ( x1 , x2 ,..., xn ) ≥ b1 

g 2 ( x1 , x2 ,..., xn ) ≥ b2 
 Feasible set
M 
g m ( x1 , x2 ,..., xn ) ≥ bm 

‰ ( x1 , x2 ,..., xn ) : decision variables

‰ g j ( x1 , x2 ,..., xn ) ≥ b j : A constraint
‰ Notes:
Max f ( x1 , x2 ,..., xn ) = Min z(x) = − f ( x1 , x2 ,..., xn )
g ( x1 , x2 ,..., xn ) ≤ b ⇔ − g ( x1 , x2 ,..., xn ) ≥ −b
g ( x1 , x2 ,..., xn ) = b ⇔ g ( x1, x2 ,..., xn ) ≥ b and − g ( x1 , x2 ,..., xn ) ≥ −b

1.225, 11/19/02 Lecture 6, Page 3

Types of Mathematical Programs (MPs)

‰ Linear programs (LPs): objective function is linear, and
constraints are linear
‰ Non-linear programs (NLPs): objective function is linear.
(constraints are usually linear. Otherwise, there might be more than
one optimal solution (finding such a solution can be a very time
consuming task))

‰ If decision variables are further constrained to take integer values, a

linear program is an integer program

‰ If decision variables are constrained to take 0/1 values: an integer

program is an 0/1 integer program

‰ If some, but not all, variables are constrained to take integer values: a
linear program is called a mixed integer program
1.225, 11/19/02 Lecture 6, Page 4

 MPs Are Tools for Transportation Analysts

‰ Various models and quantitative analysis questions in transportation

can be formulated as minimization (or maximization) problems:
• Shortest path problems
• Traffic assignment models in congested networks
• Signal setting problems
• Ramp-metering optimization
‰ Examples of questions related to modeling:
• Formulate a model as a mathematical program (MP) (there might
be more than one model for the same modeling question)
• Study the properties of the model (i.e. does the model possess one
or multiple solutions? Is it easy to find a solution?
• Find a “solution” to the model (One may settle for an approximate
reasonable solution, as it is not always possible (desirable) to find
an optimal solution in a reasonable amount of time)
1.225, 11/19/02 Lecture 6, Page 5

How to Solve Mathematical Programs?

‰ Graphically: This gives you a feel of what is happening

‰ By hand using a systematic analytical method

‰ Use your software such as Xpress-MP, GAMES, LINDO, CPLEX,

Excel:
• Software tools are computer implementations of systematic methods

‰ There are also specialized software for some transportation applications

• Examples: TRANSCAD and EMME/2 for static traffic assignment
(We have licenses of these software systems in the CTS Computing
lab)

1.225, 11/19/02 Lecture 6, Page 6

 Shortest Path Problems As An LP: Example

‰ We want to find shortest paths from all nodes to Node 5

‰ Decision variables: 1, if arc (i, j ) is used
xij = 
 0, otherwise
‰ cij , (i, j ) ∈ A is the cost of each arc

1 2
2
4
1

1 1 8 1 4
4
5
4
3 2 6

3
1

1.225, 11/19/02 Lecture 6, Page 7

All-
All-to-
to-One Shortest Path Problem As An LP
‰ Formulation:
min 4 x12 + 3 x13 + x24 + 2 x25 +
8 x32 + 2 x34 + 6 x35 + 4 x45
s.t. x12 + x13 = 1
x24 + x25 − x12 − x32 = 1
x32 + x34 + x35 − x13 = 1
x45 − x24 − x34 = 1
− x25 − x35 − x45 = −4
xij ≥ 0, (i, j ) ∈ A
‰ Note: constraints “the decision variables must be integers” should
have been added. However, it is known theoretically that the above
LP possesses an integer solution, and tools exist to it.
1.225, 11/19/02 Lecture 6, Page 8

 One-
One-to-
to-One Shortest Path Problem As An LP
‰ Formulation:
min 4 x12 + 3 x13 + x24 + 2 x25 +
8 x32 + 2 x34 + 6 x35 + 4 x45
s.t. x12 + x13 = 1
x24 + x25 − x12 − x32 = 0
x32 + x34 + x35 − x13 = 0
x45 − x24 − x34 = 0
− x25 − x35 − x45 = −1
xij ≥ 0, (i, j ) ∈ A
‰ Note: we could have added the fact that the decision variables are
either 0 or 1. However, it is known theoretically that the above LP
possesses a 0-1 solution, and tools exist that provide such solution
1.225, 11/19/02 Lecture 6, Page 9

SO Static Traffic Assignment as an MP: Example

min x1t1 (x1 ) + x2t2 (x2 ) + x3t3 (x3 )
s.t . f1ac = qac Demand
f1
bc
+f 2
bc
= qbc

f1ac ≥ 0, f1bc ≥ 0, f 2bc ≥ 0 Non - negativity

x1 = f1ac + f 2bc
x2 = f1bc Definition of link flows
x3 = f 2
bc

x1 x2 x3

‰min x1t1 ( x1 ) + x2t 2 (x2 ) + x3t3 (x3 ) = min ∫ m1 (x1 )dx1 + ∫ m2 ( x2 )dx2 + ∫ m3 (x3 )dx3
0 0 0

d ( x1t1 (x1 )) d (x2t2 ( x2 )) d (x3t3 ( x3 ))

where m1 (x1 ) = , m2 (x2 ) = , m3 ( x3 ) =
dx1 dx2 dx3

1.225, 11/19/02 Lecture 6, Page 10

 Objective Function For U.O. Traffic Assignment

Link 2, x2 t 2 ( x2 ) = 1 + 2 x2
5 O D 5
t1 ( x1 ) = 2 + x1
Link 1, x1

t1 t2

t2 ( x2 )

Minimum of ( ∫ t1 ( w) dw + ∫ t 2 ( w) dw)
x1 x2

0 0
t1 ( x1 )

5 4 3 2 1 0
x2 x1
0 1 2 3 4 5
1.225, 11/19/02 Lecture 6, Page 11

UO & SO Traffic Assignment As MPs: R7 Example

x1 x2 x3 x1 x2 x3

‰ min ∫ t1(x1 )dx1 + ∫ t2 (x2 )dx2 + ∫ t3 (x3 )dx3 ‰ min ∫ m1 ( x1 )dx1 + ∫ m2 ( x2 )dx2 + ∫ m3 (x3 )dx3
0 0 0 0 0 0

s.t. f 1
ac
= qac s.t. f1
ac
= qac
f +f
1
bc
2
bc
= qbc f 1
bc
+ f 2bc = qbc

f1ac ≥ 0, f1bc ≥ 0, f2bc ≥ 0 f1ac ≥ 0, f1bc ≥ 0, f 2bc ≥ 0

x1 = f1ac + f2bc x1 = f1ac + f 2bc

x2 = f1bc x2 = f1bc
x3 = f 2bc x3 = f 2bc

‰ U.O.: All used paths have, between ‰ S.O.: All used paths have,
any O-D pair, equal and minimum between any O-D pair, equal and
travel time
minimum marginal travel times
1.225, 11/19/02 Lecture 6, Page 12

 Solving SO Static Traffic Assignment: Examples

Link 2, x2 t 2 ( x2 ) = 1 + 2 x2
5 O D 5
t1 ( x1 ) = 2 + x1
Link 1, x1

1 t1 ( x1 ) = 10 + x1
a c
t 2 (x2 ) = 90 + x2
t3 ( x3 ) = 0
3
2
(qac , qbc ) = (80,10)
b

1.225, 11/19/02 Lecture 6, Page 13

Solving SO Static Traffic Assignment: Examples

Link 2, x2 t2 ( x2 ) = 1 + 2 x2
q O D q
t1 ( x1 ) = 2 + x1
Link 1, x1

‰ UO solutions for three values of q:

• q=1/8: x1=0, x2=q
• q=1/2: x1=0, x2=q
• q=5: x1=3, x2=2
‰ SO solutions for three values of q:
• m1(x1)=2+2x1; m2(x2)=1+4x2
• q=1/8: x1=0, x2=q
• q=1/4: x1=0, x2=q
• q=5: x1=(-1+4q)/6, x2=(1+2q)/6
1.225, 11/19/02 Lecture 6, Page 14

 SO Static Traffic Assignment: Example

min x1t1 (x1 ) + x2t 2 (x2 ) + x3t3 (x3 )
s.t . f1ac = q ac
Demand
f1
bc

+f 2
bc
= qbc

f1ac ≥ 0, f1bc ≥ 0, f 2bc ≥ 0 Non - negativity

x1 = f1ac + f 2bc
x2 = f1 bc Definition of link flows
x3 = f 2
bc

(
‰ S.O. solution: x1 , x2 , x3 = (80,10,0x )
* * *
) 1 x 2 x 3

‰ min x1t1 ( x1 ) + x2t 2 (x2 ) + x3t3 (x3 ) = min ∫ m1 (x1 )dx1 + ∫ m2 ( x2 )dx2 + ∫ m3 (x3 )dx3
0 0 0

d ( x1t1 (x1 )) d (x2t 2 ( x2 )) d (x3t3 ( x3 ))

where m1 (x1 ) = , m2 (x2 ) = , m3 ( x3 ) =
dx1 dx2 dx3
1.225, 11/19/02 Lecture 6, Page 15

Lecture 6 Outline

‰ Mathematical programs (MPs)

‰ Formulation of shortest path problems as MPs
‰ Formulation of U.O. traffic assignment as an MP
‰ Relationship between U.O. and S.O. traffic assignment
‰ Solving S.O. traffic assignment by hand

1.225, 11/19/02 Lecture 6, Page 16