Dynamic Programming Approaches for Estimating and Applying Large-scale Discrete Choice Models

People go through their life making all kinds of decisions, and some of these decisions affect their demand for transportation, for example, their choices of where to live and where to work, how and when to travel and which route to take. Transport related choices are typically time dependent and characterized by large number of alternatives that can be spatially correlated. This thesis deals with models that can be used to analyze and predict discrete choices in large-scale networks. The proposed models and methods are highly relevant for, but not limited to, transport applications. We model decisions as sequences of choices within the dynamic discrete choice framework, also known as parametric Markov decision processes. Such models are known to be difficult to estimate and to apply to make predictions because dynamic programming problems need to be solved in order to compute choice probabilities. In this thesis we show that it is possible to explore the network structure and the flexibility of dynamic programming so that the dynamic discrete choice modeling approach is not only useful to model time dependent choices, but also makes it easier to model large-scale static choices. The thesis consists of seven articles containing a number of models and methods for estimating, applying and testing large-scale discrete choice models. In the following we group the contributions under three themes: route choice modeling, large-scale multivariate extreme value (MEV) model estimation and nonlinear optimization algorithms. Five articles are related to route choice modeling. We propose different dynamic discrete choice models that allow paths to be correlated based on the MEV and mixed logit models. The resulting route choice models become expensive to estimate and we deal with this challenge by proposing innovative methods that allow to reduce the estimation cost. For example, we propose a decomposition method that not only opens up for possibility of mixing, but also speeds up the estimation for simple logit models, which has implications also for traffic simulation. Moreover, we compare the utility maximization and regret minimization decision rules, and we propose a misspecification test for logit-based route choice models. The second theme is related to the estimation of static discrete choice models with large choice sets. We establish that a class of MEV models can be reformulated as dynamic discrete choice models on the networks of correlation structures. These dynamic models can then be estimated quickly using dynamic programming techniques and an efficient nonlinear optimization algorithm. Finally, the third theme focuses on structured quasi-Newton techniques for estimating discrete choice models by maximum likelihood. We examine and adapt switching methods that can be easily integrated into usual optimization algorithms (line search and trust region) to accelerate the estimation process. The proposed dynamic discrete choice models and estimation methods can be used in various discrete choice applications. In the area of big data analytics, models that can deal with large choice sets and sequential choices are important. Our research can therefore be of interest in various demand analysis applications (predictive analytics) or can be integrated with optimization models (prescriptive analytics). Furthermore, our studies indicate the potential of dynamic programming techniques in this context, even for static models, which opens up a variety of future research directions.

Parallel nonconvex generalized Benders decomposition for natural gas production network planning under uncertainty

A scenario-based two-stage stochastic programming model for gas production network planning under uncertainty is usually a large-scale nonconvex mixed-integer nonlinear programme (MINLP), which can be efficiently solved to global optimality with nonconvex generalized Benders decomposition (NGBD). This paper is concerned with the parallelization of NGBD to exploit multiple available computing resources. Three parallelization strategies are proposed, namely, naive scenario parallelization, adaptive scenario parallelization, and adaptive scenario and bounding parallelization. Case study of two industrial natural gas production network planning problems shows that, while the NGBD without parallelization is already faster than a state-of-the-art global optimization solver by an order of magnitude, the parallelization can improve the efficiency by several times on computers with multicore processors. The adaptive scenario and bounding parallelization achieves the best overall performance among the three proposed parallelization strategies.

An Environment for Rapid Derivatives Design and Experimentation

In the highly competitive world of modern finance, new derivatives are continually required to take advantage of changes in financial markets, and to hedge businesses against new risks. The research described in this paper aims to accelerate the development and pricing of new derivatives in two different ways. Firstly, new derivatives can be specified mathematically within a general framework, enabling new mathematical formulae to be specified rather than just new parameter settings. This Generic Pricing Engine (GPE) is expressively powerful enough to specify a wide range of stand¬ard pricing engines. Secondly, the associated price simulation using the Monte Carlo method is accelerated using GPU or multicore hardware. The parallel implementation (in OpenCL) is automatically derived from the mathematical description of the derivative. As a test, for a Basket Option Pricing Engine (BOPE) generated using the GPE, on the largest problem size, an NVidia GPU runs the generated pricing engine at 45 times the speed of a sequential, specific hand-coded implementation of the same BOPE. Thus a user can more rapidly devise, simulate and experiment with new derivatives without actual programming.

A green perspective on Structured parallel programming

Structured parallel programming, and in particular programming models using the algorithmic skeleton or parallel design pattern concepts, are increasingly considered to be the only viable means of supporting effective development of scalable and efficient parallel programs. Structured parallel programming models have been assessed in a number of works in the context of performance. In this paper we consider how the use of structured parallel programming models allows knowledge of the parallel patterns present to be harnessed to address both performance and energy consumption. We consider different features of structured parallel programming that may be leveraged to impact the performance/energy trade-off and we discuss a preliminary set of experiments validating our claims.

The Loop-of-Stencil-Reduce Paradigm

In this paper we advocate the Loop-of-stencil-reduce pattern as a way to simplify the parallel programming of heterogeneous platforms (multicore+GPUs). Loop-of-Stencil-reduce is general enough to subsume map, reduce, map-reduce, stencil, stencil-reduce, and, crucially, their usage in a loop. It transparently targets (by using OpenCL) combinations of CPU cores and GPUs, and it makes it possible to simplify the deployment of a single stencil computation kernel on different GPUs. The paper discusses the implementation of Loop-of-stencil-reduce within the FastFlow parallel framework, considering a simple iterative data-parallel application as running example (Game of Life) and a highly effective parallel filter for visual data restoration to assess performance. Thanks to the high-level design of the Loop-of-stencil-reduce, it was possible to run the filter seamlessly on a multicore machine, on multi-GPUs, and on both.

Commercial and Industrial Network Improvement and Programming Policy, Summary, 1991

The Commercial and Industrial Network improvement and programming policy reflected in this summary report was adopted for use in future highway programming by the Transportation Commission on November 5, 1991. The Iowa Department of Transportation, as directed by the Legislature, has established a 2,331-mile network of commercial and industrial highways and is directing a significant amount of primary construction funding resources toward improvements to this network. This summary outlines the technical needs assessment for improvements on the Commercial and Industrial Network for the next 20-year period. The portions of the network which require four-lane capacity, as well as major improvements to the two-lane sections, are graphically displayed. Detailed improvement needs and costs are listed in tabular form for the first two five-year periods (1992-1996 and 1997-2001). It is essential to note that these improvement needs are the result of a technical assessment and do not imply any funding commitment.

Automatically Evolving Rotation-invariant Texture Image Descriptors by Genetic Programming

In computer vision, training a model that performs classification effectively is highly dependent on the extracted features, and the number of training instances. Conventionally, feature detection and extraction are performed by a domain-expert who, in many cases, is expensive to employ and hard to find. Therefore, image descriptors have emerged to automate these tasks. However, designing an image descriptor still requires domain-expert intervention. Moreover, the majority of machine learning algorithms require a large number of training examples to perform well. However, labelled data is not always available or easy to acquire, and dealing with a large dataset can dramatically slow down the training process. In this paper, we propose a novel Genetic Programming based method that automatically synthesises a descriptor using only two training instances per class. The proposed method combines arithmetic operators to evolve a model that takes an image and generates a feature vector. The performance of the proposed method is assessed using six datasets for texture classification with different degrees of rotation, and is compared with seven domain-expert designed descriptors. The results show that the proposed method is robust to rotation, and has significantly outperformed, or achieved a comparable performance to, the baseline methods.

Type-Aware Programming Models for Distributed Applications

Thesis (Ph.D.)--University of Washington, 2016-08