Part 1: Discrete Choice Modeling and Travel …2009/11/20 3 Demand estimation process in urban...

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2009/11/20 1 Transport Research and Infrastructure Planning Laboratory Department of Civil Engineering The University of Tokyo http://www.trip.t.u-tokyo.ac.jp/ Part 1: Discrete Choice Modeling and Travel Demand Forecast Core references 1. Michael D. Meyer and Eric J. Miller: Urban Transportation Planning 2 nd Edition, McGraw-Hill, 2001. 2. Moshe Ben-Akiva, Discrete Choice Analysis: Theory and Application to Travel Demand, Mit Press, Series in Transportation Studies 9, 1985. 3. Norbert Oppenheim, Urban Travel Demand Modeling, Wiley-Interscience, 1995. 4. William H. Greene, Econometric Analysis 5 th Edition, Prentice Hall, 2003. 5. Kenneth E. Train, Discrete Choice Methods with Simulation, Cambridge University Press, 2003. 6. Hal R. Varian, Microeconomic Analysis 3 rd Edition, W. W. Norton & Company, 1992. 7. 森地茂・山形耕一編著,新体系土木工学60交通計画,技報堂出版,1993 8. 北村隆一・森川高行編,交通行動の分析とモデリング,技報堂出版,2002. 9. 土木学会編,非集計行動モデルの理論と実際,丸善,1995. 10. 交通工学研究会編,やさしい非集計分析,1993. 2

Transcript of Part 1: Discrete Choice Modeling and Travel …2009/11/20 3 Demand estimation process in urban...

Page 1: Part 1: Discrete Choice Modeling and Travel …2009/11/20 3 Demand estimation process in urban transport planning • Step-by-step type model Trip Generation / Attraction Trip Distribution

2009/11/20

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Transport Research andInfrastructure Planning LaboratoryDepartment of Civil EngineeringThe University of Tokyohttp://www.trip.t.u-tokyo.ac.jp/

東京大学大学院工学系研究科社会基盤学専攻交通・都市・国土学研究室

Part 1:

Discrete Choice Modelingand

Travel Demand Forecast

Core references

1. Michael D. Meyer and Eric J. Miller: Urban Transportation Planning 2nd

Edition, McGraw-Hill, 2001.2. Moshe Ben-Akiva, Discrete Choice Analysis: Theory and Application to

Travel Demand, Mit Press, Series in Transportation Studies 9, 1985.3. Norbert Oppenheim, Urban Travel Demand Modeling, Wiley-Interscience,

1995.4. William H. Greene, Econometric Analysis 5th Edition, Prentice Hall, 2003.5. Kenneth E. Train, Discrete Choice Methods with Simulation, Cambridge

University Press, 2003.6. Hal R. Varian, Microeconomic Analysis 3rd Edition, W. W. Norton & Company,

1992.7. 森地茂・山形耕一編著,新体系土木工学60交通計画,技報堂出版,19938. 北村隆一・森川高行編,交通行動の分析とモデリング,技報堂出版,2002.9. 土木学会編,非集計行動モデルの理論と実際,丸善,1995.10. 交通工学研究会編,やさしい非集計分析,1993.

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Why do we need the study on choice behavior intransport planning?

• Physical design of transport infrastructures

– Size, Coverage area

• Business plan by transport companies

– Service, Investment

• Calculation of the benefit for CBA

• Ridership / demand estimation

• Choice behavior

3

Choices in transport studies

• Trip generation / attraction (交通発生・集中)

• Destination (目的地)

• Transportation mode (交通機関)

• Route (経路)

• Time-of-day (出発時刻)

• Vehicle ownership (自動車保有)

• Discrete choice (離散選択)

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Demand estimation process in urban transportplanning

• Step-by-step type model

Trip Generation / Attraction

Trip Distribution

Modal Sprit

Traffic Assignment

Time-of-day choice model

Destination choice model

Mode choice model

Route choice model

Vehicle ownership model

5

Theoretical background of choice behavioranalysis

• Micro-economic theory

• Consumer behavior theory (消費者行動理論)

• Psychology

• Econometric analysis

• Statistics

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Traditional assumption for choice in consumerbehavior theory

• A consumer has the objectives to be achieved.

• A consumer can identify all of the possiblealternatives achieving her/his objectives.

• A consumer can rank them precisely in terms of thepreference.

• A consumer is rational(合理的).

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X,Y,Z are choice alternatives.

means “more preferable(選好)” or “indifferent(無差別)”

1. Reflexive(再帰性)for all X,

2. Complete(完全性)for all X and Y, or

3. Transitive(推移性)for all X and Y and Z, if and , then

4. Continuity(連続性)for all Y, the sets and are closed sets.

We can define “indifference curve(無差別曲線)”.

Properties of rational choice

8

XX

YX

XY YX

ZY ZX

YXX : XYX :

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Definition of utility(効用)

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• Reflects the level of satisfaction if a alternative is chosen andthe objective is achieved.

• Function that gives the scalar value for the level ofsatisfaction---Utility function(効用関数)– If , YUXU YX

Utility maximization with constraints inconsumer behavior(効用最大化行動)

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• Consider the vectors of goods X and price of goods P

• Consider the budget constraint(予算制約) M

• A consumer will choose the combination of goods in conditionthat such that

• Solution is demand function

• Maximum utility is indirect utility function

• is derived from by Roy’s identity

XUmax MPX

M,* PxX

MVU ,* PX

M,Px MV ,P

MMV

pMVMx i

i

,

,,

P

PP

需要関数

間接効用関数

ロワの恒等式

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Indifference curve and diminishing marginalutility(限界効用逓減)

11

XUmax

*2x

1x

MPX

Larger utility

Indifference curve

Budget constraint line

Utility maximization withbudget constraint

s.t.

2x

*1x

ix

U

Marginal rate of substitution(限界代替率): MRS

MRS decreases when xi

increasesMarginal utility

is diminishing

Definition of consumer surplus(消費者余剰)

Price (Utility)

Consumption

p

x*

Individualdemand curve

Price p

Optimal consumption x*

Surplus at consumption x

Total surplus

Utility maximization=Surplus maximization

Benefit

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Expected utility theory(期待効用理論) –uncertainty(不確実性) in choice behavior

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• The utility may change due to the situation that can not beexpected in advance. = The choice is often subject touncertainty

Fine Rain

Use bicycle Ubf Ubr

On foot Uff Ufr

Probability p 1-p

brbfb UppUU 1

In case of access mode choice to the station…

frfff UppUU 1

Pay-off(利得)

Attitude toward uncertainty

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aU

bU

bppax 1

xU

Utility

a bx

bUpapUxU 1

Risk-aversive

Pay-off(利得)

aU

bU

bppax 1

Utility

a bx

xU

bUpapUxU 1

Risk-neutral

Pay-off(利得)

aU

bU

bppax 1

Utility

a bx

xU

bUpapUxU 1

Risk-prone

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Different type of uncertainty

• Utility itself is uncertain…

– Travel time of congested NW in route choice or time-of-day choice

– Future socio-economical change in vehicle ownershipbehavior

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Random utility theory(ランダム効用理論)

• It allows that the utility is unfixed and varies randomly.– For modeler

• Unobserved factors

– For decision maker

• Insensible factors

• Fickle choice

• It defuses the disadvantage of the assumption of rationalchoice.

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1. The utility by individual n for alternative(選択肢) i isconsist of systematic term(確定項) V and randomterm(確率項) ε

2. The probability that n chooses i is expressed asfollows:

Formulation of the choice in random utilitytheory

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ninini VU

nj

ijnini UUP maxPr Iji ,

Cumulative distributionfunction (C.D.F.)

Derivation of binary logit model(二項ロジットモデル) (1)

18

njninjnin

njnininjni

VVFVV

VVP

Pr

Pr 2,0 N

njninVV

ni

VVP

njni

2

2

2exp

2

1

In case two alternatives i and j exist

If C.D.F. is based on the normal distribution

C.D.F. of standardizednormal distribution

However there is no analytical equation…

Binary probit model

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Derivation of binary logit model (2)

19

n

nF

exp1

1

njni

njniniVV

VVFP

exp1

1 njni

ni

VV

V

expexp

exp

If C.D.F. is based on the logistic distribution

Binary logit model

1.0

Vni-Vnj

0.5

Pni

Derivation of multinomial logit model(多項ロジット

モデル) (1)

njnj

ijnininj

ijnini VVUUP maxPrmaxPr

In case I alternatives 1,…,I exist

We assume the probability density function (P.D.F) ofis not normal distribution but gumbel distribution…

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Property of gumbel distribution (1)

21

,G~ expexpF

expexpexpf

0

0.1

0.2

0.3

0.4

-5 -4 -3 -2 -1 0 1 2 3 4 5

N(0,1)

G(0,1)

C.D.F.

P.D.F.

Average

Variance

Mode

577.0,

Euler’s const.

2

2

6

Suppose and , are identicallyand independently distributed (IID), is…

Property of gumbel distribution (2)

22

,11 G~ ,22 G~

21

12exp1

1F~ Logistic distribution

Proof

22122222221

2122112121

expexpexpexpexp

PrPr2

2

1

ddfF

ddffF

Suppose 21 expexp

1221

22

222222

exp1

1

expexp

expexp

1

expexpexp1

expexpexp dF

1

,

lnGwhy

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Property of gumbel distribution (3)

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,kk G~

,expln1

max1

I

kkk

kG~

I

kk

I

kk

L

kk

I

kkk

k

11

11

expexpexpexpexp

expexpPrmaxPr

I

kk

1

expln1

Suppose k=1,…,I and IID…

Proof

Suppose

expexpexpexpexpmaxPr kk

,expln1

max1

I

kkk

kG~

Derivation of multinomial logit model (2)

24

njnj

ijnininj

ijnini VVUUP maxPrmaxPr

njnjij

n VU

max*

***nnn VU

,expln1*

iknkn VGU ~

ik

nkn VV

expln1*

,0* Gn~

Suppose

Suppose

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Derivation of multinomial logit model (3)

I

knk

ni

iknkni

ni

nni

ni

nin

nnininni

V

V

VV

V

VV

V

VVVVP

1

*

*

**

exp

exp

explnexpexp

exp

expexp

exp

exp1

1Pr

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Type of estimation

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• Disaggregate (非集計) type estimation– Based on individual choice

• Aggregate (集計) type estimation– Based on share

Individualprobability

Zoneshare

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Utility function for disaggregate logit model

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M

m

P

ppnimmni XV

1 1

I

knk

nini

V

VP

1

exp

exp

Assume linear utility function

Explanatory variable

Parameter (to be estimated)

Dummy variable (to be estimated)

Scale parameter μ is set to be one

Disaggregate mode choice model

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Alternative

Explanatory variable

Cost LH timeAC&EG

timeFrequenc

y# of

transferVehicle

ownGender

Car ○ ○ × × × ○ ○

Rail ○ ○ ○ ○ ○ × ×

Bus ○ ○ ○ ○ ○ × ×

rrrrrrr NFATCV 054321 cccc TCV 02121

bbbbbb NFATCV 54321

Common variables(共通変数)

Alternative specificVariables (選択肢固有変数)

Alternative specificdummy variables

(選択肢固有ダミー)

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Maximum likelihood estimation= Decide and that give maximum

Maximum likelihood estimation (最尤推定) (1)

31

N

n

I

k

d

niniPL

1 1

,, δβδβ

0

1nid

β δ

Calculate the simultaneous P. D. F = likelihood by allobservations

In case individual n chooses alternative i

In case individual n doesn’t choose alternative i

δβ,L

Maximum likelihood estimation (2)

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maxlnln1 1

*

N

n

I

knini PdLL

*

mmm

L

*

ppp

L

Convert to logarithm likelihood (対数尤度)

L* : Unimodal distribution(単峰性)

mβ̂

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Maximum likelihood estimation (3)

N

n

I

knimnini

N

n

I

kI

jnj

I

jnjnjm

nimni

m

XPd

V

VX

XdL

1 1

1 1

1

1*

0

exp

exp

Nonlinear simultaneous equations

Nonlinear optimization problem (非線形最適化問題)

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Methods of nonlinear optimization problem

-Newton-Raphson method

requires gradient vector and Hessian matrix of L*

-Quasi-Newton method (BFGS)

requires gradient vector and approximation of

Hessian matrix (easier calculation)

Maximum likelihood estimation (4)

34

rrrr LL ββββ 121

rL Finish

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Goodness of fit (適合度)

35

10*

*

0

β

L

L

Likelihood ratio index (尤度比)

BetterWorse

Compare two likelihoods1) in case all parameters are not significant (=0)2) in case all parameters are significant

Percent correctly predicted (的中率)

Hypothesis test (仮説検定) for utility function

PMLL 2**2 ˆ2 ~β0

Null hypothesis (帰無仮説): All parameters are 0.Alternative hypothesis(対立仮説): All parameters are not 0

“Chi-square test”

36

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Hypothesis test for parameters

37

1*2 ˆˆ

ββVar LE

ˆ MNt

vt

mm

mm

βVar ˆ

Null hypothesis: Focused parameter is 0.Alternative hypothesis: Focused parameter is not 0

“t test”

Element m,m of

Time saving value (時間評価値)

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nininini CTU 21

.1

2 Const

Utility function

Travel time Travel cost

Time saving value

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Change of consumer surplus in utility term

In case systematic utility of some alternative is increased

Consumer surplus by logit model

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k

nknii

VUE

expln1

max

01

1

0

01 expln1

expln1

Ii

ni

Ii

niIi

niUn VVdPCS

n

n

V

VV

Un

cost

Mn CSCS

1

Property of IID gumbel

Change of consumer surplus (benefit) in money term

After change

Before change

Elasticity of logit model:(Rate of probability change)/(Rate of attribute’s change)

Elasticity(弾性値) of logit model

40

mnjmnj

ni

njm

njm

ni XPP

X

X

P

mnimni

ni

nim

nim

ni XPP

X

X

P

1

Demand elasticity:(Rate of demand change)/(Rate of price change)

Direct elasticity(直接弾性値)

Cross elasticity(交差弾性値)

independent from i’s probability

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IIA property (IIA特性) (1)

njni

nj

ni VVP

P exp

Ratio of choice probability between two alternativesis not affected by systematic utility of other alternativesin choice set

Independence from Irrelevant (無関係な) Alternatives

Most important property of logit model

41

IIA property (2)

• Advantage– Estimation using sub choice set

• Large choice set problem

– Forecast the probability of newly introduced alternative

• Disadvantage– “Similarity” (=Correlation of error term) among alternatives

42

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IIA property (3)

43

“Problem of red color bus and blue color bus”

Sys. utility V V V

Prob

0.5 0.5

+

0.33? 0.33? 0.33?

0.25 0.250.5

Independence of error term ? Logit model ?

Non-IIA property of alternatives intransportation field

1. Mode choice

Public (Rail, Bus) & Private (Car)

2. Route choice

Partially overlapped routes

3. Destination choice

Adjacent destinations

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Non-IIA models – GEV model

45

G

g Ij g

nj

gn

g

gn1

expexp

~ε

G

g Ij

gnj

Ij

gnjgni

nig

gn

g

gn

V

VV

P

1

1

exp

expexp

gjgi

gjginjni

,0

,0,cov

1

1

expexp

expexp

h

hn

g

gn

Ij

hnjhnj

Ij

gnjgni

njni

VV

VV

PP

GEV = Generalized Extreme Value

Public Private

Bus Rail Car BicycleI alternatives are classified into G groups

→If g = h, IIA

Group

If λg = 1, MNL model

GEV families – Nested logit model(1)

46

ngingnginingngi VVVU

gningngi PPP |

,0G

Station

Mode

1 g G

1 i Ig

Choice probability

Conditional probability (条件確率)of alternative i given that nest g ischosen

Choice probability of nest g

Utility function

IID

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GEV families – Nested logit model(2)

47

ghVVVVVV

ghUUP

nhinhiniIi

nhnhnginginiIi

ngng

nhiIi

ngiIi

ng

hn

gn

hn

gn

,maxmaxPr

,maxmaxPr

gnIi

ngining VVV

expln1' '' max ngngingining VVV

ghVVVV nhnhnhnhngngngng ,Pr ''''

Choice probability of nest

',0 GIID

Ggngng

ngng

VV

VV''

''

exp

exp

Inclusive value(合成効用)

Conditional probability

gnIi

ngini

ngini

ngjngjnjnginginigniVV

VVijVVVVP

exp

exp,Pr|

GEV families – Nested logit model(3)

48

0.1

varvar

var

var

var'

'

ngngi

ngi

ngng

ngi

gnIi

ngini

ngini

Ggngng

ngng

ngiVV

VV

VV

VVP

exp

exp

exp

exp''

''

Choice probability

Important property of the ratio of variances in NL model

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Non-IIA models– Probit model

49

ninini VU

εΣεεΣ0ε

'2

2

1exp2,

I

N~

2

1

21 .

II

sym

Σ

εε dPninni ninIniVV VV

ni

1

Direct explanation of correlationamong alternativesRequires multiple integral

= Application of simulation methods(Random drawing)

All elements in covariance matrix to be estimated= Need of structured covariance

Unit length

Probit families– MNPSC model

50

2

2ijL

MultiNomial Probit with Structured Covariance

Ex. route choice in overlapped condition

Route i

Route j

iL

jL

20

2var ini L

2,cov ijnjni L20

2

1

1

20

1

.1

II LL

symL

Reduction ofparametersto be estimated

2

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Integrated model – Mixed logit model (MXL)

51

Iini

nini

V

VP

β

β

exp

exp

βββ

βdf

V

VP

Iini

nini

exp

exp

ninininiV zμxβ ''

Σ0μ ,N~

MXL modelMNL model

P.D.F of parameters

Error components model Random coefficient model

nininiV xβ '

Σbβ ,N~Observed variables

Heterogeneous(異質な) individual

Estimation by simulation

f

F

1.0

ninini VU

Using a drawfrom probability density k

kF 1

In case of logit model, choiceprobability is calculated bygenerating K draws fromstandard uniform distribution

K

k

Ii

kni

kni

niU

U

KP

1 exp

exp1

52

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GHK simulator for probit model (1)

2

1

2221

11

13

12

13

12

13

12

*2

*1

0

ww

w

VV

VV

VV

VV

UU

UU

U

UWΖ

0

0*2

*1

U

U

'1

'1

' MΣΣMWW

101

0111M

Suppose the number of alternatives is three and alternative 1is chosen…

232313

232212

131221

Σ

lower triangular matrixby Choleski decomposition

draw from standardnormal distribution

53

GHK simulator for probit model (2)

1211 aaP ζ

Choice probability for alt 1 when vector of random variable is givenis expressed as follows…

1

11

121

*1 0 a

w

VVU

12

22

131212

*2 0

a

w

VVwU

1112211 |PrPr aaa

0|0Pr0Pr0,0Pr *1

*2

*1

*2

*11 UUUUUPζ

Using C.D.F. of standard normal distribution…

111

1 a only draw from standard uniform distribution

54

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GHK simulator for probit model (3)

10

10

001

Σ

Example in “problem of red color bus and blue color bus”

covariance matrix

In case that alt 1 is chosen, matrix W is expressed by

2

4

2

2

2

34

2

21

02

W

55

GHK simulator for probit model (4)

0.2

0.3

0.4

0.5

0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9

Ch

oic

ep

rob

abili

ty

ρ

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

average

μ

56

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Application of GHK simulation method

estimation method

explanatory value estimate t-value estimate t-value estimate t-value estimate t-value

line haul cost (yen) -0.00583 -5.22 -0.00591 -5.21 -0.00594 -5.23 -0.00594 -5.19access travel time (min) -0.127 -5.23 -0.129 -5.15 -0.129 -5.22 -0.129 -5.16

egress travel time (min) -0.151 -5.45 -0.152 -5.45 -0.153 -5.49 -0.152 -5.43line haul travel time (min) -0.0695 -5.80 -0.0704 -5.70 -0.0704 -5.77 -0.0703 -5.68

time for transfer (upstair) (min) -0.335 -2.44 -0.343 -2.42 -0.333 -2.42 -0.335 -2.42time for transfer (downstair & horizontal) (min) -0.116 -5.21 -0.117 -5.24 -0.117 -5.19 -0.118 -5.17

waiting time (min) -0.118 -3.90 -0.119 -3.86 -0.119 -3.89 -0.120 -3.88

number of transfers (times) -0.382 -3.92 -0.391 -3.93 -0.392 -3.99 -0.387 -3.92

(congestion rate)2

* line haul time (%2min) -9.1E-08 -0.82 -8.9E-08 -0.75 -9E-08 -0.85 -9E-08 -0.81

ratio of σ2

to σ02 0.302 1.45 0.338 1.45 0.333 1.50 0.334 1.46

number of observations

likelihood ratioaverage parameter error rate(%) **

maximum parameter error rate(%) ****choose the case in that parameter error rate is minimum**average ratio of estimates by numerical integration to that by GHK method***maximum ratio of estimates by numerical integration to that by GHK method

0.184

2.5

9.9

0.184

2.3

10.0

0.182

NA

NA

0.184

3.1

13.0

numerical integration GHK 25 draws* GHK 50 draws* GHK 100 draws*

1074 1074 1074 1074

MNPSC estimation using data of railway route choice inTokyo Metropolitan area of three possible routes

57

Unit length

Comparison: MNPSC & MXL (1)

58

ijL

Route i

Route j

iL

jL

20

2var ini L

2,cov ijnjni L

20

2

1

1

20

1

.1

II LL

symL

MNPSC MXL

6

var2

2 ini L

2,cov ijnjni L

22 ,

22 ,

22

1

12

6

1

.1

6

II LL

symL

22 ,

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Comparison: MNPSC & MXL (2)

Estimation using data of railway route choice in TokyoMetropolitan area of three possible routes

model type

explanatory value estimate t-value estimate t-value

line haul cost (yen) -0.00184 -3.47 -0.00255 -3.81access travel time (min) -0.107 -7.97 -0.136 -9.69

egress travel time (min) -0.0755 -6.16 -0.0962 -7.03line haul travel time (min) -0.0112 -1.01 -0.0114 -0.866

time for transfer (min) -0.0284 -1.85 -0.0327 -1.75waiting time (min) -0.123 -4.30 -0.171 -4.94

number of transfers (times) -0.194 -1.35 -0.274 -1.51

(congestion rate)2

* line haul time ((%/100)2min) -0.00726 -2.24 -0.00892 -2.36

δor λ 0.0123 0.739 0.0264 1.38

number of observations

likelihood ratio

MNPSC MXL

637

0.262

637

0.272

59

MXL for tourism destination choice (1)

Destination j Destination i

Range

Access route

2S

2L

Origin

Center

iii VU

iiii

error by facility (area)

error by access route

error by destination

Utility function

2var Sii S

iS

jSijS

2,cov Sijji S jL

iLijL 2var Lii L

2,cov Lijji L

20var i

0,cov ji

60

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MXL for tourism destination choice (2)

Covariance matrix

20

2

20

2

11

1111

20

,

1

1

LS

IIII

II

LSLS

LSLS

Σ

Choice probability

ddgf

V

VP

i iii

iiii

exp

exp

61

MXL for tourism destination choice (3)

Estimation result

Estimation using data of one day tourism destination choice in TokyoMetropolitan area of ten possible destinations

model type

explanatory value estimate t-value estimate t-value

generalized cost / ln(annual income) -0.0409 -6.82 -0.0415 -6.71attraction of destination 0.0738 6.75 -0.0755 6.63

γ --- --- 0.0111 0.570δ --- --- --- ---

number of observations

likelihood ratio

model typeexplanatory value estimate t-value estimate t-value

generalized cost / ln(annual income) -0.0426 -6.44 -0.0426 -6.46

attraction of destination 0.0735 6.70 0.0741 6.63γ --- --- 0.0138 0.188

δ 0.0286 0.674 0.0219 0.527number of observations

likelihood ratio

MXL(2) MXL(3)

269 269

0.118 0.119

MNL MXL(1)

269 269

0.117 0.118

62

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Importance of the research on choice set

• Appearance of non-IIA choice models

– Choice probability is easily affected the combination ofalternatives in choice set

• Unrealistic assumption of rationality

• Weak point in demand forecasting process

– Theoretical difficulty vs Practical convenience

– Large choice set problem (tourism destinations)

63

Criticism of rationality

• Assumptions in rational choice (Simon)– Decision maker knows all of the alternatives and their attributes

– Decision maker knows the probability distribution of uncertainty

– Decision maker chooses the alternative with maximum expectedutility

• Difference form realistic choice behaviors– Occasional choice, Habitual choice, Following choice, etc.

– Change of preference in long term

64

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Limitations of rationality – Allais’s paradox(1953)

Problem 1: Which lottery is better?A1: $100 (0.33), $90 (0.66), $0 (0.01)B1: $90 (1.00)

Problem 2: Which lottery is better?A2: $100 (0.33), $0 (0.67)B2: $90 (0.34), $0 (0.66)

Problem 1’: Which lottery is better?A1’: $90 (0.66), $0 (0.01), $100 (0.33)B1’: $90 (0.66), $90 (0.34)

Problem 2: Which lottery is better?A2’: $0 (0.66), $0 (0.01), $100 (0.33)B2’: $0 (0.66), $90 (0.34)

Same problem!

“Of course, B1”

“Of course, A2”

Whydifferent?

65

Limitations of rationality – Ellsberg’s paradox(1961)

66

90 ballsred=30, blue=?yellow=?bule+yellow=60

Draw one

Which game do you like?game 1: If red $100, If not red $0game 2: If blue $100, If not blue $0

Which game do you like?game 3: If red or yellow $100, If blue $0game 4: If blue or yellow $100, If red $0

If you prefer game 1…

The subjective probability you draw a blue ballshould be less than 0.333

You should prefer game 3 rather than game 4!

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Limitations of rationality – Framing effect(Tversky & Kahneman, 1981)

67

Suppose You are one of 600 people who have infectious disease…

Which countermeasure do you accept?by A: 200 people will surviveby B: All will survive with probability of 0.33 &

none will survive with probability of 0.66

Which countermeasure do you accept?by C: 400 people will dieby D: None will die with probability of 0.33 &

all will die with probability of 0.66

Win aspect leads to risk-aversive choiceLose aspect leads to risk-prone choice

Prospect theory

Betterresult

Worseresult

LowerValue

HigherValue

Reference point(準拠点)

Difference of framing

Risk-aversive

Risk-prone

68

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Bounded rationality (限定合理性) (Simon, 1987)

• Decision maker will take into account huge “cost” forobtaining full information of all possible alternatives.– Choice set generating process

– Heuristic decision making process

– Satisfactory maximization process

69

Proposed decision strategies (決定方略)

• Compensatory (補償型)– Weighted multi-attribute utility

– Maximum wining percentage

• Non-compensatory (非補償型)– Conjunctive (連結) (Minimum requirement for all attributes)

– Disjunctive (分離) (Minimum requirement for at least one attribute)

– Lexicographic (辞書編纂) (Ranking of attributes, choose best ones infocused attribute)

– Eliminate by aspect (EBA) (Attributes 0-1 aspect)

70