Continuous-Time DTA

Transportation Research Part B 68 (2014) 98–122
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Transportation Research Part B

journal homepage: www.elsevier.com/locate/trb
Continuous-time dynamic system optimum

for single-destination traffic networks with queue
spillbacks
Rui Ma a, Xuegang (Jeff) Ban b,⇑, Jong-Shi Pang c
a
Department of Civil and Environmental Engineering, University of California, 1001 Ghausi Hall, One Shields Avenue, Davis, CA 95616, United States
b
Department of Civil and Environmental Engineering, Rensselaer Polytechnic Institute (RPI), 110 Eighth Street, Room JEC 4034, Troy, NY 12180-3590, United States
c
Department of Industrial and Systems Engineering, University of Southern California, University Park, Los Angeles, CA 90089-1450, United States
a r t i c l e i n f o a b s t r a c t
Article history: Dynamic system optimum (DSO) is a special case of the general dynamic traffic assignment
Received 14 April 2013 (DTA). It predicts the optimal traffic states of a network under time-dependent traffic con-
Received in revised form 11 May 2014 ditions from the perspective of the entire system. An optimal control framework is pro-
Accepted 4 June 2014
posed in this paper for the continuous-time DSO problem for single-destination traffic
networks. Departure time choice is part of this DSO model. Double-queue model is applied
to capture the impact of downstream congestion and possible queue spillbacks. Feasibility
Keywords:
conditions and model properties are discussed. A constructive procedure to compute a
Dynamic system optimum
Optimal control
free-flow DSO solution is also proposed. A discretization method is described to the contin-
Double-queue model uous-time systems and numerical results on two test networks are shown.
Queue spillbacks Ó 2014 Elsevier Ltd. All rights reserved.
Free flow
Operational network capacity
1. Introduction
Dynamic system optimum (DSO) or system optimal dynamic traffic assignment (SO-DTA) is a special case of the general
dynamic traffic assignment (DTA). Compared to its counterpart of dynamic user equilibrium (DUE), which is also a special
case of DTA and a dynamic extension of the static user equilibrium based on Wardrop’s principle, DSO predicts the optimal
traffic states of a network under time-dependent traffic conditions from the perspective of the entire system, usually con-
cerned with minimizing the total system travel time spent by all users in the network. Although it is commonly agreed that
real-world traffic would not follow DSO (DUE is often assumed for this purpose), DSO can still give insights into the optimal
performance that a traffic system can achieve. It can further provide a benchmark for controlling and managing dynamic
traffic networks.
The earliest DSO model was proposed in Merchant and Nemhauser (1978a,b), which is a discrete-time DSO problem with
an exit-flow function as the link flow model. It has been subsequently studied in Ziliaskopoulos (2000), Muñoz and Laval
(2006), Shen et al. (2007), Shen and Zhang (2008), Chow (2009), Zheng and Chiu (2011), Nie (2011), Shen and Zhang
(2014), to name just a few. DSO has been recently applied in the operational strategies for the daily traffic management
and emergency evacuations (Shen et al., 2007; Liu et al., 2007), which require an overall minimum of the total system travel
time/cost. Generally a traffic network may have multiple origin–destination (OD) pairs and multiple destinations may be
⇑ Corresponding author. Tel.: +1 (518) 276 8043; fax: +1 (518) 276 4833.
E-mail addresses: drma@ucdavis.edu (R. Ma), banx@rpi.edu (Xuegang (Jeff) Ban), jongship@usc.edu (J.-S. Pang).
http://dx.doi.org/10.1016/j.trb.2014.06.003
0191-2615/Ó 2014 Elsevier Ltd. All rights reserved.
R. Ma et al. / Transportation Research Part B 68 (2014) 98–122 99
present. However, Baumann and Skutella (2009) concluded that earliest arrival flows in general do not exist in networks
with more than one destination. Moreover for emergency evacuation among other applications, it is essential to minimize
the total travel time for the users traveling to the safe places. It is not necessary in this case to specify the exact destinations
for the users so that all destination nodes can be combined as a single ‘‘super-zone’’ with an infinite receiving capacity. This
can simplify the DSO analysis as shown in Chiu et al. (2005). In this paper, therefore, we focus on DSO for traffic networks
with a single destination. We expect that even when multiple destinations would have to be considered for DSO, the mod-
eling and solution techniques for single-destination DSO problems, as we study in this paper, will still play an important role.
DSO models can be formulated in either continuous time or discrete time. For the continuous-time DSO, all the flow vari-
ables are functions of time, and the objective function of the total system cost becomes a functional. Because of this, the con-
tinuous-time DSO may be formulated as an optimal control problem. For the discrete-time DSO, at each time step there is a
set of discretized flow variables, so the problem can be formulated as a finite-dimensional mathematical program, e.g., a lin-
ear program if the objective function and all the constraints are linear. Most existing DSO models are analyzed and solved in
discrete time with some exceptions1. There are several reasons why modeling and solving the continuous-time DSO problems
are important. First, time is continuous by nature and it is natural to formulate DSO in continuous time. In fact, many DSO mod-
els start in continuous time, but they are quickly converted to their discrete-time counterparts. The focus is then on discrete-
time models, and there is usually no discussion about how the discrete-time models/solutions connect to the continuous-time
models/solutions. Second, to connect the discrete-time DSO models back to their original continuous-time counterparts, there is
a critical question to ask: does the discrete-time solution converge, in some sense, to the solution of the continuous-time
model? In other words, if the discrete-time step becomes infinitely small, will the obtained discrete-time solutions converge
to some stable solutions? Answering such questions will require a formal and rigorous treatment of the continuous-time
DSO problem. Third, direct investigation of the continuous-time DSO model may also provide new directions on other crucial
issues related to DSO, such as free-flow DSO solutions as we show later in this paper.
Most DSO models use the total system cost (travel time is usually used) as the objective function. However, there are at
least two ways to define the total system cost. It can be defined as either (a) the total system travel time for all the flow in the
network, or (b) the total system travel time for all the flow in the network plus the waiting time at the origins before the flow
entering the network. Definition (a) applies to applications such as evacuation with notice, e.g., hurricane evacuation, for
which a time-dependent demand profile may be obtained or estimated for each origin. For a DSO with a pre-defined demand
profile, the waiting time, i.e., the total time spent by all the flow at the origins before the flow entering the network, is a
constant that is independent of the DSO results (Shen and Zhang, 2008, 2014), meaning these two definitions are equivalent
to each other under a pre-defined demand profile. Definition (b) applies to applications such as real-time evacuation man-
agement, e.g., flooding or terrorist attacks (Liu et al., 2007), for which a pre-defined demand profile is hard to obtain. In this
case, the main objective is to evacuate people as soon as possible, which is restricted by the overall capacity of the network
(defined as the ‘‘operational network capacity’’ later in this paper). Therefore, the departure-time choice at each origin has to
be introduced to ensure orderly traffic flow. As a result, the waiting time at the origins can vary and affects the performance
of the system. Under the definition of the DSO objective (b), an arbitrarily pre-defined demand profile may lead to a subop-
timal DSO solution since the pre-defined demand profile adds extra constraints to the demand rates. In this case, the network
may be under-utilized if the pre-defined demand rates are lower than the receiving capacities of the network for some time
periods; see Fig. 8 in Section 5 for an illustrative example on this. Moreover, for a network with possible queue spillbacks,
one cannot arbitrarily pre-define a time-dependent demand profile without necessary network modifications, because the
pre-defined demand rates could be high, and the profile may violate the queue storage capacities of some links. Indeed, if
definition (b) is used to formulate the DSO objective, it is reasonable to assume a total demand given for each origin. The
departure time choice from the origin nodes should be endogenously determined by the model to achieve the desired
DSO departure rate at each origin. We show how this can be done in Section 2.
The types of traffic flow models used are crucial to the formulation and computation of DSO. Several traffic flow models
have been utilized for traffic dynamics in DSO problems, such as the exit-flow function based traffic model (Merchant and
Nemhauser, 1978a), the delay-function based model (Friesz et al., 1989), and point-queue (PQ) model (Chow, 2009). These
flow models are easy to implement. On the other hand, the storage capacity of a network link is unlimited. As a result, they
cannot capture realistic congestion effects such as the queue spillback phenomena, which is a major drawback of these traffic
flow models. Here ‘‘spillback’’ refers to the situation when downstream congestion in a link propagates backwards and
reaches the entrance of the link, and hence possibly restricts the inflow to the link (and subsequently to restrict the exit flow
from adjacent upstream links). The cell-transmission model (CTM), which was used in Ziliaskopoulos (2000), Zheng and Chiu
(2011), can properly capture spillbacks. However, the CTM requires links to be decomposed into cells both in space and time.
As a result, the dimension of the DSO problem is much larger than that of the DSO models based on the exit-flow function, the
delay function or point-queue. There are some explorations on balancing the ease of the implementation and the modeling of
spillbacks, such as the extension of PQ to a spatial queue (SQ) that considers queue storage capacity of a link (Nie and Zhang,
2002). Shen and Zhang (2008) discussed the DSO formulation based on PQ, SQ and CTM. However, since the solutions are all
free-flow solutions because of the pre-defined demand profile, the congestion effect especially the spillback phenomena is not
1
For example, in Chow (2009) a continuous-time path-based DSO model was formulated as a state-dependent optimal control problem. Discretization by
different time steps was applied to obtain numerical solutions.
100 R. Ma et al. / Transportation Research Part B 68 (2014) 98–122
fully discussed. Qian et al. (2012) compared path-based SO-DTA with and without spillbacks, by using PQ and LWR models,
and found that they can achieve the same total system cost under the system-optimal conditions. A recent discussion of the
differences with traffic models in DTA is contained in Zhang et al. (2013). Recently a traffic flow model, named the link trans-
mission model (LTM), was proposed by Yperman (2007). Similar to CTM, LTM is a discrete-time model and derived from the
kinematic wave theory. However, LTM does not require the space to be decomposed into cells for each link. LTM can capture
spillbacks by incorporating the receiving constraints for the congested links and the sending constraints for the free-flow
links. Osorio et al. (2011) and Osorio and Flötteröd (forthcoming) proposed a similar discrete-time link model for stochastic
dynamic network loading, in which each link is treated as a set of two queues, referred to as the upstream queue and the down-
stream queue. This ‘‘double-queue’’ model can properly capture the free-flow travel time delay when the link is in a free-flow
state and the backward shockwave time delay when the link is in a congested state, which make it possible to capture queue
spillbacks. More importantly, as we show later in the paper, this double-queue concept simplifies the mathematical expres-
sion of the link flow dynamics from a partial differential equation (PDE) to an ordinary differential equation (ODE), easier to be
applied to dynamic network modeling problems. In this paper, therefore, the double-queue model is applied to the proposed
DSO model.
We propose an optimal control framework for the continuous-time DSO problem for single-destination traffic networks.
Departure time choice is part of the DSO model, i.e., the time-dependent demand profile for each origin is not pre-defined.
The objective function is defined as the total system travel time plus the waiting time at the origins. It can be proved ana-
lytically that for the continuous-time DSO, the objective can be minimized in a single-destination network by encouraging
early arrival to the destination. A continuous-time version of the double-queue model is incorporated into the DSO formu-
lation. The receiving constraints for congested links and the sending constraints for free-flow links are particularly modeled
so that realistic congestion effects such as the spillback phenomena can be captured. By a proper discretization, the optimal
control problem can be discretized into a linear programming problem. We show the feasibility of both the continuous-time
and discrete-time DSO problems by constructive proofs.
As has been shown recently (Shen and Zhang, 2014), DSO may have multiple solutions. All the solutions share the same
DSO objective and the difference is where the vehicles are waiting, i.e., where the queues are formed in the network. There
are two types of special DSO solutions: the holding-free solutions and the free-flow solutions. Holding-free solutions require
the system to discharge flow as much as it can and have been widely discussed before in the literature; see Shen et al. (2007).
The free-flow solutions however have not been fully discussed. Although different DSO solutions share the same congestion-
related objective, they may have very different implications when other criteria are considered such as emissions. Free-flow
DSO solutions may be very beneficial from the perspective of emission control since no vehicle is waiting in the queue in the
network under free-flow DSO solutions. In this paper, we present a reformulation of the original DSO problem by adding a
second term to the objective. We show that by solving the original DSO problem and the reformulated problem, the exis-
tence of a free-flow optimal solution can be identified; if such a solution exists, it can be found by solving the reformulated
optimal control problem.
The rest of this paper is organized as follows. Section 2 presents the continuous-time DSO model. The model properties are
also discussed in this section. We show how to select the model parameters so that a feasible solution always exists. Section 3
presents the discretization of the DSO model. In Section 4, we present a reformulation of the objective function to achieve free-
flow DSO solutions. Section 5 shows the numerical results based on two test networks. We conclude the paper in Section 6.
2. The continuous-time DSO model and its properties
We introduce the continuous-time DSO model by first describing the traffic network, followed by the double-queue
model in continuous time, and ending with the complete formulation and properties of the optimal control model for the
DSO problem.
2.1. The traffic network
We denote a traffic network GðN; LÞ, where N is the set of nodes and L is the set of links; the cardinality of L is denoted by
m. As aforementioned, we consider a traffic network with multiple origins and a single destination (denoted as bs ), i.e., a
many-to-one network. All the origins and the destination are nodes in N. For origin o the total demand is Do . We denote
the number of origins by n. A dummy node and a dummy link (connecting the dummy node to its corresponding origin node)
for each of the origin nodes are constructed. This is similar to the construction in Nie and Zhang (2002). The difference is that
there is no need to construct the dummy link for the destination since it is the only destination. The distinction between a
dummy node o ~ and the origin node o it represents is that while there may be incoming links to o with o as the ending node,
there is no such incoming link into o ~. Moreover, there is a unique outgoing link starting at o ~, namely, the corresponding
dummy link. We denote the set of dummy nodes by Od and the set of dummy links by Ld ; thus, jOd j ¼ jLd j ¼ n. The free flow
and shockwave travel times are both zero for the dummy links; the exit capacity and queue capacity on these links are infi-
nite. The dummy nodes and links for the origins are created so that the actual demand from an origin node is moved to the
end of its corresponding dummy links as the initial queues. We assume there is at least one path from each dummy node to
the destination; such a path, joining the dummy node o ~ to the destination bs , is a set of consecutive links starting from o
~ and
ending at the destination bs : o
~ , i0 ! i1 ! ! i‘1 ! i‘ , bs for some positive integer ‘, where each im ! imþ1 ; 1 6 m 6 ‘ 1 is
a link in L. Note that the first link o ~ ¼ i0 ! i1 , o in such a path is the dummy link. We call the original network G the ‘‘reg-
ular’’ network while the one with the dummy nodes/links added the ‘‘expanded’’ network.
For a link ði; jÞ 2 L , L [ Ld , we define:
(constant) parameters: all positive scalars.
Q ij upper bound of upstream queue length

C pij upper bound of inflow rate
C vij upper bound of exit flow rate
0
s ij free flow travel time
sxij shockwave travel time (congested); in general s0ij 6 sxij .
(time-dependent) trajectories: all nonnegative.
pij ðtÞ inflow rate at time t

v ij ðtÞ exit flow rate at time t
quij ðtÞ upstream queue length at time t
qdij ðtÞ downstream queue length at time t;
2.2. The double-queue model
Based on Osorio et al. (2011) and Osorio and Flötteröd (forthcoming), the double-queue model in continuous time can be
derived as the following two ODEs:
q_ uij ðtÞ ¼ pij ðtÞ v ij ðt sx
ij Þ
ð1Þ
q_ dij ðtÞ ¼ pij ðt s0ij Þ v ij ðtÞ;
where the dot operator denotes the derivative with respect to time. In Appendix A, we show how this continuous-time double-
queue model can also be directly derived from the link transmission model (LTM), which was first proposed in Yperman (2007).
Rigorous proofs of the properties of the continuous-time double-queue model, e.g. the boundedness of flow rates and the
queues, are also available in Appendix A, which were not discussed in Osorio et al. (2011) or Osorio and Flötteröd (forthcoming).
It is well known that the point-queue model cannot properly capture the effect of the downstream congestion on the
upstream flow, such as the spillback phenomenon, because there is no upper bound of the queue length in a link. By applying
the double-queue concept in (1), the shockwave generated at the exit of a link is considered as a potential constraint restrict-
ing the inflow rate into the link. Therefore, the continuous-time double-queue model can capture queue discharging and
spillback phenomena. To illustrate this, a numerical test on a chain network is shown in Section 5.1.
We define the number of vehicles on link ði; jÞ at time t as the cumulative inflow minus the cumulative exit flow:
Z t
xij ðtÞ ¼ pij ðnÞ v ij ðnÞ dn: ð2Þ
0
The double-queue dynamics guarantee that 0 6 qdij ðtÞ 6 xij ðtÞ 6 quij ðtÞ 6 Q ij ; see the detailed proof in Appendix A. It indicates
that for a link, the upstream queue is an upper bound of the number of vehicles, and the downstream queue is a lower bound
of the number of vehicles. The downstream and upstream queues are further bounded by zero and the queue capacity Q ij .
While the number of vehicles on the link, xij ðtÞ, is usually referred to as the ‘‘state’’ of the link, the two queues quij ðtÞ and qdij ðtÞ
may be considered as the ‘‘hidden states’’ of link ði; jÞ. Q ij quij ðtÞ is the available number of vehicles that link ði; jÞ can accom-
modate at the entrance of the link. Q ij quij ðtÞ > 0 indicates for the time t, link ði; jÞ is able to accommodate inflow without
any restriction from downstream conditions. Q ij ¼ quij ðtÞ indicates the link is congested and the inflow rate to the link at time
t may be restricted by downstream conditions, e.g., the exit flow rate from the link (but at t sx ij , an earlier time due to prop-
agation of the shockwave from the exit to the entrance of the link). On the other hand, qdij ðtÞ can be considered as the queue at
the exit of the link which are ready to be discharged. qdij ðtÞ ¼ 0 indicates the link is in a ‘‘free-flow’’ condition, and the exit
flow will be determined by the upstream conditions, e.g., the inflow rate to the link (but at t s0ij , an earlier time due to the
travel time from the entrance to the exit of the link). However, none of the hidden states or state (xij ðtÞ) can uniquely deter-
mine the exact state of the link at a single time instance t. This indicates using only xij ðtÞ to capture the travel time of the link
at time t, although widely used in the DTA literature, is probably problematic. However, using the two queues and xij ðtÞ, as
well as the inflow and exit flow rates of a link, one can properly capture the queuing state of the link. Notice that from Eqs.
(1) and (2), the inflow rate and exit flow rate of a link are the independent variables, which can be used to derive the
upstream queue, downstream queue, and the number of vehicles on the link. The drawback of the double-queue model is
that the detailed states within the link can only be approximated by the state at the entrance (if free flowing) or the state
at the exit (for congestion) with some time shift. The model thus assumes the network links are homogeneous (Osorio and
Flötteröd, forthcoming). As a result, the model cannot be used to directly model bottlenecks within a link. In this case, one
needs to break the link into multiple (shorter) homogeneous links.
2.3. The optimal control formulation for continuous-time DSO
The DSO objective can be formulated as to minimize the summation of the total travel time and waiting time. The travel
time refers to the time spent by the flow in the regular network, which is the integral of the difference between the cumu-
lative inflow and the cumulative exit flow from the regular network for the entire time span. The waiting time refers to the
time spent by the flow queued on the dummy links, which is the integral of queues on the dummy links for the entire time
span. The state variables, i.e., the upstream and downstream queues, are constrained by bounds and satisfy initial and
boundary conditions; the algebraic variables, i.e., the inflows and exit flows satisfy flow conservation and the given bounds.
The detailed formulation is as follows:
Objective function:
2 3
Z T X Z t X Z t Z T X
minimize TC , 4 v o~o ðnÞdn v i^s ðnÞdn 5 dt þ qdo~o ðtÞdt ð3Þ
ðp;v ;qu ;qd Þ 2 X 0 ~;oÞ2Ld 0 0 0 ~;oÞ2Ld
ðo i:ði;^sÞ2L ðo
Constraints: these define the feasible region X of tuples ðp; v ; qu ; qd Þ:
1. Flow conservation at each node except the destination node in the regular network: for node i 2 N n fbs g and t 2 ½0; T
X X
pij ðtÞ ¼ v ‘i ðtÞ; ð4Þ
j:ði;jÞ2L ‘:ð‘;iÞ2L
2. Upper bounds of the upstream queues: for link ði; jÞ 2 L and t 2 ½0; T
quij ðtÞ 6 Q ij ; ð5Þ
3. Capacitated exit flows: for link ði; jÞ 2 L; t 2 ½0; T
06 v ij ðtÞ 6 C vij ð6Þ
with C ov~o ¼ 1 for ðo

~; oÞ 2 Ld ;
4. Nonnegativity of the downstream queues: for link ði; jÞ 2 L and t 2 ½0; T
qdij ðtÞ P 0; ð7Þ
5. Upper and lower bounds of the inflows: for link ði; jÞ 2 L
0 6 pij ðtÞ 6 C pij ; t 2 ½0; T s0ij

ð8Þ
pij ðtÞ ¼ 0; t 2 ðT s0ij ; T;
6. Dynamics of the upstream queue and downstream queue: for link ði; jÞ 2 L and t 2 ½0; T
q_ uij ðtÞ ¼ pij ðtÞ v ij ðt sx

ij Þ
ð9Þ
q_ dij ðtÞ ¼ pij ðt s0ij Þ v ij ðtÞ:
Initial conditions at time t ¼ 0:
~; oÞ 2 Ld ,
1. For each dummy link ðo
quo~o ð0Þ ¼ qdo~o ð0Þ ¼ Do ; ð10Þ

2. For each upstream queue on link ði; jÞ 2 L,
quij ð0Þ ¼ 0; ð11Þ
3. For each downstream queue on link ði; jÞ 2 L,
qdij ð0Þ ¼ 0; ð12Þ
Other boundary conditions:
1. For inflow and outflow on link ði; jÞ 2 L and t 2 ð1; 0Þ; pij ðtÞ ¼ v ij ðtÞ ¼ 0;
2. The network should be cleared at the terminal time: for link ði; jÞ 2 L
quij ðTÞ ¼ 0 and qdij ðTÞ ¼ 0; ð13Þ

~; oÞ 2 Ld and all t 2 ½0; T.
Dummy links have zero inflows: po~o ðtÞ 0 for all ðo .
The above continuous-time DSO model is an optimal control problem and space is not explicitly modeled thanks to the
application of the double-queue model. It is formulated using two sets of variables for each link ði; jÞ: state variables quij ðtÞ and
qdij ðtÞ and algebraic (control) variables pij ðtÞ and v ij ðtÞ. It contains (i) constant time delays, e.g., in Eq. (9); and (ii) constraints in
state variables, e.g., in Eqs. (5) and (7). Rigorous analysis of such optimal control problem is very challenging. This is because
the optimal control model contains constant time delays (see Eq. (9)), constraints on state variables (see Eq. (5)), as well as
two point boundaries (i.e., at both the initial and terminal times; see Eqs. (10)–(13)). We thus focus on its feasibility and
numerical solutions hereafter in this paper.
2.4. Feasibility
We describe some relationships of the model parameters especially those among the link queue capacities and free flow
and shockwave speeds. Such relationships enable us to identify a proper terminal time T of the DSO model to ensure that at
least a feasible solution exists for the continuous-time DSO model.
(a) Upper bounds of the flow rates
For simplicity, homogeneity is assumed within each link, which implies that the upper-bound of the inflow rate and the
upper-bound of the exit flow rate of a link are treated as equal, i.e., for link ði; jÞ 2 L; C ijp ¼ C ijv ¼ C ij .
(b) Upper bounds of the upstream queues
Here we assume the triangular fundamental diagram for each network link. For a link ði; jÞ; Q ij ; C ij ; s0ij and sx
ij are not inde-
pendent. Assume the link length is Lij , the critical density is kc;ij , and the jam density is km;ij . The free flow part of the trian-
gular fundamental diagram implies:
kc;ij Lij ¼ C ij s0ij :
The congestion part of the triangular fundamental diagram implies:
ð km;ij kc;ij Þ Lij ¼ C ij sx

ij :
The upper-bound of the upstream queue is then
Q ij ¼ km;ij Lij ¼ ð sx 0
ij þ sij Þ C ij :
(c) The terminal time

It is clear from the DSO model (3)–(13) that for a given network and given demand at each origin, the terminal time T
needs to be properly chosen to ensure that the problem is feasible. It shows in Proposition 1 that such a proper T is finite.
Proposition 1. In the above setting, there exists a finite terminal time T for which the continuous-time DSO model is feasible.
The detailed proof of Proposition 1 can be found in Appendix B, which is based on construction. The proof shows that
there exists a time tTOT , so that if the terminal time T is selected no less than t TOT , there is always a feasible solution for
the DSO problem. We note that this time t TOT grants enough margins for the terminal time selection. Practically the terminal
time T could be much shorter, because the exit flow from the dummy links can be larger than the minimum flow capacity of
the network, multiple routes can be chosen to discharge the flow, and multiple dummy links can discharge the queues
simultaneously.
Remark. In the literature, the terminal time T is usually selected as ‘‘large enough’’ to ensure feasibility. Proposition 1 here
gives an explicit estimate of how large T should be.
2.5. Properties of the DSO model
Before discussing the numerical solution of the DSO model, we derive several properties of its solutions, including con-
servations of the total demand, total cumulative inflow and exit flow, and equivalence between the original and a simplified
objective functions.
(a) Given a large enough but finite terminal time T according to Proposition 1, all the flow initially queued at the origin
dummy links (demand) in Ld should be cleared before the terminal time T. For a dummy link ðo ~; oÞ 2 Ld , the dynamics of the
Rt
downstream queue gives q_ do~o ðtÞ ¼ v o~o ðtÞ, which implies qdo~o ðtÞ ¼ qdo~o ð0Þ 0 v o~o ðnÞdn. Combined with the terminal condition
RT
qo~o ðTÞ ¼ 0, we have qdo~o ð0Þ ¼ 0 v o~o ðnÞdn and
Z T Z t Z T
qdo~o ðtÞ ¼ v o~o ðnÞ dn v o~o ðnÞ dn ¼ v o~o ðnÞ dn:
0 0 t
(b) The total cumulative inflow equals to the total cumulative exit flow for each link in the original network, i.e. for ði; jÞ 2 L,
Z T Z T
pij ðtÞdt ¼ v ij ðtÞdt:
0 0
To show that, we note that from the boundary condition at the terminal time (13), the downstream queue dynamics (9), the
initial condition of downstream queues (12), and the upper bounds of the inflows in the last free-flow time span: for ði; jÞ 2 L
Z T
0 ¼ qdij ðTÞ ¼ q_ dij ðtÞdt þ qdij ð0Þ
0
Z T h i
¼ pij ðt s0ij Þ v ij ðtÞ dt
0
Z T Z T Z T ð14Þ
¼ pij ðt s0ij Þdt þ pij ðtÞdt v ij ðtÞdt
0 Ts0ij 0
Z T Z T
¼ pij ðtÞdt v ij ðtÞdt:
0 0
(c) Given a large enough terminal time T, the cumulative exit flow arriving at the destination should equal to the total
demand: all the flow should be discharged from the network before the terminal time T, which is an interpretation of prop-
erties (a) and (b) and the flow conservation (4):
X Z T X
v ibs ðtÞdt ¼ qdo~o ð0Þ:
0
i:ði;b
~;oÞ2Ld
ðo
sÞ2L
To show this, for each node except the destination node i 2 N n fsg in the original network, the integration of each side of
flow conservation (4) on the entire time span ½0; T equals each other; i.e.,
X Z T X Z T
pij ðtÞdt ¼ v ‘i ðtÞdt: ð15Þ
j:ði;jÞ2L 0 ‘:ð‘;iÞ2L 0
Summing up the equations in (15) for all i 2 N n fbs g, we deduce

X X Z T X X Z T
pij ðtÞdt ¼ v ‘i ðtÞdt: ð16Þ
i2Nnf^sg j:ði;jÞ2L 0 i2Nnf^sg ‘:ð‘;iÞ2L 0
According to property (b), for all the links in the original network except the links connecting to the destination, i.e. for all
ði; jÞ 2 L with j – bs , the inflow on the left hand side and the exit flow on the right hand side cancel each other in (16), resulting
in
X Z T X Z T
pi^s ðtÞdt ¼ v o~o ðtÞdt: ð17Þ
i:ði;^sÞ2L 0 ~;oÞ2Ld
ðo 0
Applying property (b) to the links pointing to the destination, i.e. for all ði; bs Þ 2 L, and using property (a), we obtain
X Z T X Z T X
v i^s ðtÞdt ¼ v o~o ðtÞdt ¼ qdo~o ð0Þ: ð18Þ
i:ði;^sÞ2L 0 ~;oÞ2Ld
ðo 0 ~;oÞ2Ld
ðo
(d) Minimizing the total waiting and travel time is equivalent to encouraging early arrival at the destination. The original
objective is to minimize TC, the summation of travel time in the network and waiting time on the dummy links. Applying
properties (a) and (c) above, the objective becomes:
2 3
Z T X Z t X Z t Z T X
TC ¼ 4 v o~o ðnÞ dn v i^s ðnÞ dn 5 dt þ qdo~o ðtÞdt
0 ~;oÞ2Ld
ðo 0 i:ði;^sÞ2L 0 0 ~;oÞ2Ld
ðo
X Z T X Z T X Z T
¼ v o~o ðtÞðT tÞ dt v i^s ðtÞðT tÞ dt þ t v o~o ðtÞ dt
~;oÞ2Ld
ðo 0 i:ði;^sÞ2L 0 ~;oÞ2Ld
ðo 0
X Z T X Z T
¼ T v o~o ðtÞ dt v i^s ðtÞðT tÞ dt ð19Þ
~;oÞ2Ld
ðo 0 i:ði;^sÞ2L 0
2 3
X X Z T X Z T
¼ T4 qdo~o ð0Þ v i^s ðtÞ dt 5 þ t v i^s ðtÞ dt
~;oÞ2Ld
ðo i:ði;^sÞ2L 0 i:ði;^sÞ2L 0
X Z T
¼ t v i^s ðtÞ dt
i:ði;^sÞ2L 0
so that
min TC
ðp;v ;qu ;qd Þ 2 X
is equivalent to
X Z T
min t v i^s ðtÞ dt: ð20Þ
ðp;v ;qu ;qd Þ 2 X 0
i:ði;^sÞ2L
This shows that DSO encourages early arrivals and tries to push flow to the destination as early as possible.
Similar results are shown previously for DSO with a pre-defined demand profile; see Zheng and Chiu (2011), Shen and
Zhang (2014). However there is a minor difference between the objective in (20) and that in Shen and Zhang (2014). This
difference accounts for the waiting time of the demands at the origins, which is a constant in Shen and Zhang (2014) since
the demand rate from each origin is pre-defined. This constant of course can be dropped from an optimization point of view.
In addition, there are some differences between the constraints for the DSO model introduced in this paper and those with
pre-defined demand rates. In our DSO model, the total demand and the flow conservation are the only constraints for the
demand rate for each origin. In a DSO model with pre-defined demand rates (Shen and Zhang, 2014), the flow conservation
is maintained, and at the same time the demand rate at each time step is fixed, which brings more restriction to the problem
and further to the solution set. We will illustrate in Section 5 that under certain types of pre-defined demand profile (when
the network capacity is not fully utilized), the objective value would increase compared to the optimal solution of the DSO
model without pre-defined demand rates.
3. Discretization of the DSO model
The continuous-time DSO model with double queues for a single destination is an optimal control problem with constant
time delays in the queue dynamics (see Eq. (1), especially the terms v ij ðt sxij Þ and pij ðt sij Þ) and with bound constraints on
0
the state variables. As such, the optimality conditions for the problem are somewhat complicated; it is not particularly easy
to provide a succinct and rigorous statement for such conditions. While traditional analytical solution methods, such as the
slack-variable or Lagrange multiplier method, can hardly be applied to state-constrained optimal control problems with time
delay, a proper time-discretization scheme can be applied so that the continuous-time optimal control problem can be con-
verted into a finite-dimensional optimization problem, from which a numerical solution can be derived. Convergence of such
discretization scheme is seldom addressed in the transportation literature. In what follows, we present the numerical
method but omit the convergence proof.
Among the major concerns in the discretization of the optimal control DSO problem is the proper selection of the time
step. Since the continuous-time model contains time-delay terms, it is wise that the step length should be small enough
so that all the time delays are multiples of the time step length. We employ the implicit backward-Euler difference method
with time step h > 0. The total number of the time steps is an integer denoted N h . We also define, for ði; jÞ 2 L; n0;h ij , sij =h and
0
nxij
;h
, sx =h, which we also assume to be integers. We have n0;h 6 nx;h . [Since s0 ¼ sx ¼ 0, we have n0 ¼ nx ¼ 0 for
ij ij ij ~o
o ~o
o ~o
o ~o
o
~; oÞ 2 Ld .] After the discretization, the optimal control problem for the original DSO model (3)–(13) reduces to a linear pro-
ðo
gramming problem in the discrete-time iterates:
n oN h
v h;r h;r u;h;r
ij ; pij ; qij ; qd;h;r
ij ;
r¼1 ði;jÞ2L
Objective:
Nh
X X
minimize r v h;r
i^s
ð21Þ
i:ði;^sÞ2L r¼1
Constraints:
For node i 2 N n f^sg; r ¼ 1; ; N h ,

X X
ph;r
ij ¼ v h;r
‘i ; ð22Þ
j:ði;jÞ2L ‘:ð‘;iÞ2L
For link ði; jÞ 2 L; r ¼ 1; ; N h ,
qu;h;r
ij 6 Q ij and qd;h;r
ij P 0; ð23Þ
For link ði; jÞ 2 L,
0 6 ph;r
ij 6 C ij for r ¼ 1; ; Nh n0;h
ij
h;r
ð24Þ
06 v ij 6 C ij for r ¼ n0;h
ij þ 1; ; N h
~; oÞ 2 Ld ; r ¼ 1; ; N h ,
For link ðo
qd;h;r
~o
o P 0 and v h;r
~o
o P 0; ð25Þ
For link ði; jÞ 2 L; r ¼ 1; ; N h ,
h;rnx ;h
1
h qu;h;r
ij qu;h;r1
ij ¼ ph;r
ij v ij
ij
ð26Þ
x;h
rnij
with ph;r 0;h
ij ¼ 0 for r ¼ N h nij þ 1; ; N h , and v ij ¼ 0 for r ¼ 1; ; nx ;h
ij ;
0;h
For link ði; jÞ 2 L; r ¼ nij þ 1; . . . ; N h ,
h;rn0;h
1
h qd;h;r
ij qd;h;r1
ij ¼ pij ij
v h;r
ij ; ð27Þ
~; oÞ 2 Ld ; r ¼ 1; . . . ; N h ,
For link ðo

1 1
h qou;h;r u;h;r1
~ o qo
~o ¼ v h;r
~o ¼ h
o qod;h;r d;h;r1
~ o qo
~o ; ð28Þ
Initial queues for link ði; jÞ 2 L,
qu;h;0
ij ¼ 0; ð29Þ
~; oÞ 2 Ld ,
Initial queues for dummy link ðo
qu;h;0
~o
o ¼ qd;h;0
~o
o ¼ Do ð30Þ
Initial queues and exit flows for link ði; jÞ 2 L; r ¼ 0; ; n0;h
ij ,
qd;h;r
ij ¼0¼ v h;r
ij ; ð31Þ
Cleared network at terminal time, for link ði; jÞ 2 L,

u;h;N h d;h;N h
qij ¼ qij ¼ 0: ð32Þ
~; oÞ 2 Ld ; ph;r
For link ðo ~o ¼ 0 for r ¼ 0; ; N h .
o
We further simplify the constraints, retaining only the essential ones in terms of the key variables of the model. We begin
by using (26)–(32) to eliminate the queue variables. Summing up (26) using the initial condition (29) and terminal con-
dition (32), and recalling ph;r 0;h
ij ¼ 0 for link ði; jÞ 2 L and r ¼ N h nij þ 1; ; N h , we deduce.
For link ði; jÞ 2 L; r ¼ 1; ; N h 1,

2 3
minðr;N h n0;h Þ
6 X ij X
r
h;snx ;h
7
qu;h;r
ij ¼ h4 ph;s
ij v ij ij
5 6 Q ij ; ð33Þ
s¼1 x;h
s¼nij þn0;h
ij
þ1
where the second sum is vacuous for r 6 nx

ij
;h
þ n0;h
ij ;
N h n0;h Nh
X ij X h;snx ;h
0¼ ph;s
ij v ij ij
:
s¼1 s¼nx
ij
;h
þn0;h
ij
þ1
Summing up (28) and using the initial condition (30) and terminal condition (32), we deduce
~; oÞ 2 Ld ; r ¼ 1; . . . ; N h 1,
For link ðo
X
r
qu;h;r
~o
o ¼ Do h v oh;s
~o ¼ qd;h;r
~o
o ð34Þ
s¼1
~; oÞ 2 Ld ,
For link ðo
Nh
X
D0 ¼ h v oh;s
~o : ð35Þ
s¼1
Since the only restriction on the dummy queues is their nonnegativity, (34) can be used as the definition for qu;h;r
~o
o ¼ qd;h;r
~o
o for
all r and need not be included in the constraints in the DSO; it suffices to impose the Eq. (35).
Similarly, summing up (27) for link ði; jÞ 2 L and using the initial condition (31) and terminal condition (32), we deduce.
For link ði; jÞ 2 L; r ¼ n0;h

ij þ 1; . . . ; N h 1,
X
r
h;sn0;h
qd;h;r
ij ¼h pij ij
v h;s
ij P 0; ð36Þ
s¼n0;h
ij
þ1

Nh
X
h;sn0;h
0¼ pij ij
v h;s
ij :
s¼n0;h
ij
þ1
Summarizing, we may state the discrete-time DSO as a linear program in the essential entry and exit flow variables only; the
queue variables can easily be recovered using the expressions derived above. The complete discrete-time DSO model is
shown below:
The discrete-time DSO problem as a linear program
Variables:
n oNh n oNh n0;h
v h;r
‘i and pijh;r
ij
ð37Þ
r¼n0;h þ1 r¼1 ði;jÞ2L
‘i ð‘;iÞ2L
Objective:
X Nh
X
minimize r v h;r
ij ð38Þ
i:ði;^sÞ2L r¼n0;h þ1
ij
Constraints:
X X
pijh;r v h;r ^
‘i ¼ 0 for i 2 N n fsg and r ¼ 1; ; Nh
j : ði; jÞ 2 L ‘ : ð‘; iÞ 2 L
r 6 Nh n0;h ij r P n0;h
‘i þ 1
2 0;h
3
minðr;N h nij Þ
6 X Xr x;h
v ij ij 75 6 Q ij for ði; jÞ 2 L and r ¼ 1; ; Nh 1
h;sn
h4 ph;s
ij
s¼1 s¼nx
ij
;h
þn0;h
ij
þ1
N h n0;h Nh
X ij X h;snx ;h
ph;s
ij v ij ij
¼ 0 for ði; jÞ 2 L
s¼1 s¼nx
ij
;h
þn0;h
ij
þ1
Nh
X
h v h;s
~ o ¼ D0
o
~; oÞ 2 Ld
for ðo
s¼1
Xr
h;sn0;h
pij ij
v h;s
ij P 0 for ði; jÞ 2 L and r ¼ n0;h
ij þ 1; . . . ; N h 1
s¼n0;h
ij
þ1
Nh
X
h;sn0;h
pij ij
v h;s
ij ¼ 0 for ði; jÞ 2 L
s¼n0;h
ij
þ1
06 v ijh;r 6 C ij for ði; jÞ 2 L and r ¼ n0;h

ij þ 1; ; N h
0 6 ph;r
ij 6 C ij for ði; jÞ 2 L and r ¼ 1; ; Nh n0;h
ij
v h;r
~o
o
~; oÞ 2 Ld and r ¼ 1; ; Nh :
P 0 for ðo
Feasibility of the discrete-time DSO model

To show that the above discrete-time linear program is solvable, it suffices to show that it is feasible. It is clear from the
discrete-time DSO model that for a given network and given demand at each origin, the number of total time steps N h needs
to be large enough to ensure that the problem is feasible. As the terminal time T in the continuous-time model is chosen to
satisfy T P t TOT , we can show that the number of total time steps N h , dT=heguarantees feasibility of the discrete-time DSO
model. A feasible discrete-time solution can be constructed with the same idea in the continuous-time model; details can be
found in Appendix C of the paper.
4. Multiple DSO solutions and computation of free-flow DSO solutions
The DSO model (3)–(13) may have multiple optimal solutions with the same optimal objective value. The only difference
among these solutions is where the vehicles are waiting, in other words, where the queues are built up: either at the origins,
i.e., on the dummy links, or on the regular network links. Among the optimal solutions, at least two different ‘‘extreme’’ opti-
mal solutions are worth mentioning: the ‘‘free-flow’’ optimal solution and the ‘‘holding-free’’ optimal solution. Of course
there may be other optimal solutions besides these two extreme cases but they all share the same optimal objective value.
Traffic holding is a phenomenon in DSO solutions described by the fact that the exit flow from a link cannot reach its exit
capacity when downstream links are not fully congested; see Ziliaskopoulos (2000). Traffic holding has been generally rec-
ognized as unrealistic for DSO solutions and among the major concerns of recent DSO studies. Nie (2011) redefined ordered
solution property constraint and proposed a post-processing algorithm to remove unnecessary traffic holding without
increasing the objective value. Shen et al. (2007) and Zheng and Chiu (2011) both gave definitions on traffic holding and
holding-free in CTM-based single-commodity-single-destination problems. However, to the authors’ best knowledge, the
definitions on holding-free DSO solution are highly nonlinear, which makes it difficult to find a global solution. On the other
hand, as argued in Ziliaskopoulos (2000), traffic holding may happen if certain traffic control (or pricing) strategy is intro-
duced, which should be the case if DSO is considered. In practice, traffic control (manually) does happen for special situa-
tions, e.g., when vehicles leaving the parking lot after a major event (such as a football game). In this case, the manual
control regulates (holds) the demand at the origin (i.e., the parking lot) to ensure smooth traffic flow. The extreme case is
to control the demand so that traffic in the network is in a free-flow state.
Formally, a free-flow optimal DSO solution is defined as an optimal DSO solution with no downstream queue on any of
the regular network links. In a free-flow optimal DSO solution, the exit flow from each dummy link is constrained by some
bottleneck capacity in the regular network, which may be defined as the ‘‘operational capacity’’ of the network 2. A free-flow
optimal solution holds the flow as queues on the dummy links to prevent forming any downstream queues on the regular net-
work links. Free-flow optimal solution is receiving more attention with the perspectives of emission control and road pricing
theory. Zhang et al. (2011) studied pollutant emission and fuel consumption rates under free-flow, work zone and rush hour
congestion conditions using a microscopic approach, and found that given similar dispersion conditions, the emission is
expected to nearly double during rush hour periods as compared to free-flow periods. Johansson (1997) proposed that optimal
road charges could be collected from road-users for their own emissions as well as the increased emission and fuel consumption
of other road-users, which is the scenario of non-free-flow traffic condition.
It turns out that a free-flow optimal DSO solution can be obtained by reformulating the objective of the original DSO
model. Denote the tuple ðp; v ; qu ; qd Þ by X. By solving the original optimal control formulation (20), we have a solution
P RT
X 2 X and the optimal objective value of (20) is denoted as F ¼ f ðXÞ, where f ðXÞ , i:ði;^sÞ2L 0 t v i^s ðtÞdt is the original objective
function. Consider an augmented objective as follows:
min ½f ðXÞ þ gðXÞ ð39Þ
ðp;v ;qu ;qd Þ2X
where
Z T
1 X
gðXÞ , qd ðtÞdt;
T i:ði;jÞ2L 0 ij
is the average downstream queues of all the links except the dummy links. By definition, a free-flow optimal condition
satisfies:
gðXÞ ¼ 0 ; f ðXÞ ¼ F ; and X 2 X: ð40Þ
Then we have the following Corollary.
Corollary 1. The following two statements hold:
(a) If there exists a free-flow optimal solution of the original optimal control formulation (20), then that solution must be opti-
mal for (39); moreover, in this case, any optimal solution of (39) must satisfy (40).
(b) Conversely, any optimal solution of (39) satisfying (40) must be a free-flow optimal solution of (20).
b for the original optimal control formulation (20).

Proof. To prove (a), suppose there exists a free-flow optimal solution X
Clearly,
b 2 X; f ð X
X b Þ ¼ F and gð X
b Þ ¼ 0:
2
This operational network capacity is for operational purposes, which is in contrast to the ‘‘transportation network capacity’’ defined to model demand
increase in future urban development scenarios; see Yang et al. (2000).
For any X 2 X, since gðXÞ P 0 because of nonnegativity of the downstream queues (see (7)), and since F is the optimal objec-
tive value of (20), we have
b Þ þ gð X
f ðXÞ þ gðXÞ P f ðXÞ P F ¼ f ð X b Þ:
b is an optimal solution of (39) and satisfies (40). If X
establishing that X e is any optimal solution of (39), we have
e 6 f ð XÞ
f ð XÞ e þ gð X
e Þ ¼ f ðX
b Þ þ gð XÞ
b ¼ f ðX
b Þ 6 f ðX
e Þ:
Thus we must have gð XÞe ¼ 0 and f ð X

e Þ ¼ f ð XÞ
b ¼ F.
e satisfying gð XÞ
The proof of (b) is easy. Assume (39) has an optimal solution X e ¼ 0 and f ð X
e Þ ¼ F . By definition, X
e is a free-
flow optimal solution of (20). h
Corollary 1 suggests a constructive way to check whether a free-flow optimal solution exists, and obtain one if it does, by
following the steps below.
Step 1: Solve the original optimal control formulation (20) and record the optimal value F .
e Check if X
Step 2: Solve the problem (39) and get an optimal solution X. e satisfies the free-flow optimal condition (40). If so,
go to Step 3a; otherwise, go to Step 3b.
e is a free-flow optimal solution of (20).
Step 3a: X
Step 3b: There is no free-flow optimal solution for (20).
If there are multiple free-flow optimal solutions, using the steps above we can only find one of them. However, the solu-
tion set derived from (39) is exactly the set of free-flow optimal solutions, and this set is in general a proper subset of the
solution set of the original DSO problem (20).
The free-flow objectives can be discretized by a similar discretization process as for original DSO optimal control problem.
The discrete version of the reformulated free-flow objective (39) is:
XX Nh Nh
2 h XX
min h r v ri^s þ qd;r ð41Þ
i:ði;^sÞ2L r¼1
Nh h i:ði;jÞ2L r¼1 ij
or
Nh
XX Nh
XX
1
min r v ri^s þ 2
qd;r
ij ð42Þ
i:ði;^sÞ2L r¼1 Nh h i:ði;jÞ2L r¼1
Remark. An alternative reformulation of (39) to obtain the free flow solution is to add gðXÞ to the constraints instead of the
objective. Corollary 1 actually holds (with proper revisions) for such an alternative reformulation. In fact, when solving the
discrete-time problem, adding gðXÞ to the constraints may make it easier to solve using CPLEX.
5. Numerical results
We first show the double-queue dynamics can capture the queue discharging and spillback phenomena with a chain net-
work, then illustrate how the proposed DSO models and reformulation techniques can yield different DSO solutions using a
four-node network. We have also applied the proposed DSO model to the Sioux Falls network and to an emergency evacu-
ation application in the City of Troy, NY (Ma et al., 2014). The results confirmed that the model is able to deal with larger
networks with multiple origin nodes. Due to space limitation, we omit the details of the numerical tests on the Sioux Falls
network and the Troy network in this paper.
5.1. Results of the chain network
The first network is a chain of 9 nodes and 8 links. The only OD pair is (9,8). A dummy link with infinite flow and
queue capacity and a dummy node are added connecting to the origin node 9. For all regular links, the free-flow and
shockwave speeds are set as s0 ¼ 60 mph and sx ¼ 20 mph, respectively, which means the shockwave travel time is
triple of the free-flow travel time for each regular link. The link lengths and capacities are shown in Fig. 1. The total
demand, initially on the dummy link, is 2100 vehicles. In addition, we fix the exit flow rate from the dummy link as
4200 vph until the total demand is fully discharged from the dummy link (which takes 0.5 h). Since the bottleneck of
the path has a capacity of 4200 vph, fixing the exit flow rate from the dummy link can still lead to a DSO optimal
solution, which is verified in the numerical results. The total time span is set to 0.8 h and the discretization time step
is chosen as 12 s.
Fig. 1. The chain network.
Fig. 2. Fundamental diagram of links in the chain network.
Fig. 2 shows the fundamental diagram for the regular links except link ð7; 8Þ in the chain network, which is assumed to be
triangular. For each regular link, the flow capacity C ¼ 8400 mph, the critical density kc ¼ C=s0 ¼ 140 veh=mile, and the jam
density kmax ¼ C=s0 þ C=sx ¼ 560 veh=mile.
Solving the DSO models proposed in this paper for the chain network generates results similar to those presented in Sec-
tion 5.2. Here we only show how the queue discharging and spillback may happen and propagate in the network. For this, we
define the downstream queue occupancy for regular link ði; jÞ as ðqdij =Q ij 100%Þ, and for dummy link ðo ~; oÞ it is defined as
ðqdo~o =Do 100%Þ. In the network the spillback wave travels at the shockwave speed from the downstream links back to
upstream links.
The inflow rate capacity of link (7,8) is initially set as 4200 vph, and decreased to 2100 vph for the period from the 30-th
to the 129-th time steps. During this time period, link (7,8) forms a bottleneck of this network. To form a discharging shock-
wave, the inflow rate capacity of link (7,8) is recovered to 4200 vph at the 130-th time step, i.e., 26 min. Three different traffic
states are shown in Fig. 2. At state 1, which is a free-flow state, the flow rate is 4200 vph and the density is 70 veh/mile. At
state 2, the flow rate is 2100 vph and the density is 455 veh/mile. At state 3, the flow rate is 4200 vph and the density is
350 veh/mile. States 2 and 3 are congested states. The traffic state of a regular link (except link ð7; 8Þ) is expected to shift
from state 1 to state 2 when the effect of capacity reduction propagates to the link, and from state 2 to state 3 when the
effect of capacity restoration propagates to the link.
Fig. 3 depicts the downstream queue occupancies for the only path from node 9 to node 8. It shows how the spillback and
discharging shockwave propagate through this path. The vehicle flow travels upward, and the vertical heights present the
lengths of the links. The horizontal direction presents the time steps, which starts from 0 to the 240-th time step. We can
see when the queue starts to build up, from the 30-th time step, at the downstream link (6,7), the spillback travels in a slow
shockwave speed around 5.5 mph back to the upstream links until it reaches link (1,2). From Fig. 2, we can calculate the
propagation speed of such shockwave from state 1 to state 2 as 2100420045570
5:5 mph, which is the same with the spillback
shockwave speed shown in Fig. 3. Note that the minus sign indicates the propagation direction of this shockwave is opposite
to the direction of vehicular travel. When the inflow rate capacity of link (7,8) is restored to 4200 vph at the 130-th time step,
i.e., at 26 min, downstream queue on link (6,7) starts to discharge. The discharging shockwave travels to the upstream links
(5,6), (4,5), and (3,4) in the discharging shockwave speed 20 mph. From Fig. 2, we can also calculate the propagation speed of
the queue discharging shockwave from state 2 to state 3 as 42002100350455
¼ 20 mph, which is the same with the discharging
shockwave speed shown in Fig. 3.
The results show that the double-queue model can capture the queue discharging phenomena; it can also capture spill-
backs, i.e., the downstream congestion in a link can restrict the inflow to the link after a period of spillback shockwave travel
time. In this example, the speed of the spillback shockwave is about 5.5 mph, which as expected is slower than the discharg-
ing shockwave speed (20 mph).
Fig. 3. Downstream queue occupancies.
Fig. 4. Four-node network and parameters.
5.2. Results of the four-node network
A small Four-Node network is depicted in Fig. 4. The example has four links and four nodes. Node 1 is the only origin and
node 4 is the only destination. The total demand is 100. The free-flow travel times, flow capacities and queue capacities of
links in the network are shown in the figure. The shockwave travel time of each link is twice as the free-flow travel time. We
also add a dummy node 5 and a dummy link 5 to 1.
Since the minimum time delay is 1 min and all the time delays are integers, the time step may be chosen as 0.1, 0.2, 0.5,
1 min or other smaller time steps, so that 1 min is a multiple of the time step. It turns out that for each time step, there are
multiple solutions of the discrete-time models. For the time step h ¼ 1, the LP solver can find a solution, as shown in Fig. 5.
Queue lengths and exit flow rate of the dummy link are shown in Fig. 5 (a). The summation of the exit flow rates (from links
(2,4) and (3,4)) to the destination node 4, i.e., the total arrival flow rate, is shown in Fig. 5 (b). The inflow and exit flow rates
as well as the queues and the number of vehicles of links (1,2) and (1,3) are shown in Fig. 5 (c) and (d). It can be observed that
the number of vehicles on each link is always bounded by the upstream queue and downstream queue, which is proved in
Appendix A. The obtained solution is neither a ‘‘holding-free’’ nor a ‘‘free-flow’’ optimal solution, with an optimal objective
value 1207. The figure also shows that the inflow/exit flow capacities as well as the upper bound of the upstream queues are
all satisfied for these two links, as well as for all other network links which are not shown here. Note that the exit flow rate
from the dummy link (5,1) is exactly the departure rate (or demand rate profile) from the origin. Fig. 5 (e) shows the flow
splitting ratios at the diverging node 1, which is defined as the ratio of the inflow rate of the upstream link (1,2) (or (1,3)) and
the exit flow rate of link (5,1). It is observed that the ratios are not constants over time. For example, for the first minute, the
flow ratio of link (1,2) is more than 0.6, but the ratio drops to about 0.25 at 3 min, then increased to 0.5 at 5 and 6 min. As
discussed in Nie et al. (2008) and Nie and Zhang (2010), rather than a constant, the flow splitting ratio can vary with time and
the demand pattern, which is supported by the numerical result in Fig. 5 (e), although Nie and Zhang (2010) focused on DUE
instead of DSO.
By using the discrete free-flow objective (42), a free-flow optimal solution of the discrete-time model can be found. This is
shown in Fig. 6. We can see that this solution shares the same optimal objective value (1207) as the solution shown in Fig. 5
and the downstream queues of all regular links are zero. By Corollary 1, we know it is a free flow optimal solution. The total
arrival rate to the destination node 4 is shown in Fig. 6 (b), which is the same as that in the general solution in Fig. 5. The free-
flow optimal solution has no downstream queue on any regular link in the original network: in Fig. 6 (c) and (d), the down-
stream queue lengths for link ð1; 2Þ and ð1; 3Þ are zero. However, the actual number of vehicles on the free-flow links are not
zero. Similar to the optimal solution shown in Fig. 5, it is observed that for a link, the zero downstream queue is a lower
bound of the number of vehicles, and the upstream queue is an upper bound of the number of vehicles. The departure rate
from the origin, i.e., the exit flow rate from the dummy link, stays at 7 for most of the time. This flow rate is exactly the oper-
ational capacity of the regular network defined by links (2,4) and (3,4), which have inflow/exit flow capacities 4 and 3 respec-
tively. For each of the regular networks links, e.g., link (1,2) and (1,3) as shown in Fig. 6 (c) and (d), the exit flow rate is
exactly the inflow rate with a constant time shift. This confirms that the obtained solution is indeed a free-flow optimal solu-
tion. Fig. 6 (e) shows the flow splitting ratios at node 1. It is very obvious that the splitting ratios, as well as the inflow rates,
in the free-flow optimal solution, are more stable that those in the general solution shown in Figs. 5.
Link 5 to 1, obj=1207.0 Summation of the exit flow rates to node 4

22
Exit flow v of link 5−1 Downstream queue of link 5−1 Arrival flow
20
20 100
18
16
80
15 14
Queue length
Flow rate
Flow rate
12
60
10 10
40 8
6
5
20 4
0 0 0
2 4 6 8 10 12 14 16 18 20 0 5 10 15 20
minute, time step =1.00 minute minute, time step =1.00 minute
(a) Queue and exit flow rate of dummy link 5-1 (b) Arrival rate to node 4
Link 1 to 2, obj=1207.0 Link 1 to 3, obj=1207.0

35 35
inflow p of link 1−2 Upstream queue of link 1−2 inflow p of link 1−3 Upstream queue of link 1−3
exit flow v of link 1−2 Number of vehicles on link 1−2 exit flow v of link 1−3 Number of vehicles on link 1−3
20 Downstream queue of link 1−2 20 Downstream queue of link 1−3
30 30
25 25
15 15
Queue length
Queue length
Flow rate
Flow rate
20 20
10 15 10 15
10 10
5 5
5 5
0 0 0 0
2 4 6 8 10 12 14 16 18 20 2 4 6 8 10 12 14 16 18 20
(c) Queues and flow rates of link 1-2 (d) Queues and flow rates of link 1-3
Splitting ratio of link (1,2)

1
0.8
0.6
0.4
0.2
0
2 4 6 8 10 12 14 16 18 20
(e) Flow splitting ratios at the diverge node 1

Fig. 5. A solution of discrete model with time step h ¼ 1.
The operational network capacity merits further discussions. In this simple network, this operational capacity is due to
the two bottlenecks link (2,4) and link (3,4). For a larger general network, such bottlenecks are not easy to identify, implying
that obtaining the operational network capacity directly is not a trivial task. However, if time-dependent demand profiles are
Link 5 to 1, obj=1207.0 Summation of the exit flow rates to node 4

22
Exit flow v of link 5−1 Downstream queue of link 5−1 Arrival flow
20
20 100
18
16
80
15 14
Queue length
Flow rate
Flow rate
12
60
10 10
40 8
6
5
20 4
0 0 0
2 4 6 8 10 12 14 16 18 20 0 5 10 15 20
(a) Queue and exit flow rate of dummy link 5-1 (b) Arrival rate to node 4
Link 1 to 2, obj=1207.0 Link 1 to 3, obj=1207.0

35 35
inflow p of link 1−2 Upstream queue of link 1−2 inflow p of link 1−3 Upstream queue of link 1−3
exit flow v of link 1−2 Number of vehicles on link 1−2 exit flow v of link 1−3 Number of vehicles on link 1−3
20 Downstream queue of link 1−2 20 Downstream queue of link 1−3
30 30
25 25
15 15
Queue length
Queue length
Flow rate
Flow rate
20 20
10 15 10 15
10 10
5 5
5 5
0 0 0 0
2 4 6 8 10 12 14 16 18 20 2 4 6 8 10 12 14 16 18 20
(c) Queues and flow rates of link 1-2 (d) Queues and flow rates of link 1-3

1 Splitting ratio of link (1,3)
0.8
0.6
0.4
0.2
0
2 4 6 8 10 12 14 16 18 20
(e) Flow splitting ratios at the diverge node 1

Fig. 6. A free-flow optimal solution of discrete model with time step h ¼ 1
not specified for the DSO problem (as shown in Figs. 5 and 6), the maximum arrival rate (over time) to the destination of the
network (7 vehicles per minute as shown in Figs. 5 (b) and 6 (b)) can reveal the maximum flow that can be discharged by the
network system, i.e., the operational capacity of the traffic network. This operational network capacity may have important
implications when managing traffic flow, e.g., under emergency evacuation. For example, for an evacuation with notice, the
operational network capacity can be used to design/broadcast evacuation orders so that the generated demand profiles of the
origins will not exceed the network capacity. This may help prevent extremely heavy congestion during such evacuation (as
we often saw for past evacuations with notice). For no-notice evacuations, the operational network capacity can be used to
estimate the minimum time that is required to evacuate all the flow. This minimum time provides a lower bound of the net-
work evacuation time, which can be calculated by simply dividing the total demands (from all origins) by the operational
capacity of the network. Such a lower bound can help design better evacuation strategies, e.g., whether other modes of evac-
uation are needed such as walking, helicopters, among others. For the four-node network here, this lower bound is
100=7 15; notice that Fig. 5(b) shows the actual evacuation time as about 20. Knowing the operational network capacity
can also help if there are variations or uncertainties about the demand estimation (which is usually one of the most chal-
lenging tasks). For example, if the estimated demand for the four-node network is 100–150, then the lower bound will vary
Downstream queue of link 5−1 Downstream queue of link 5−1 Downstream queue of link 5−1 Downstream queue of link 5−1
100 100 100 100
80 80 80 80
60 60 60 60
40 40 40 40
20 20 20 20
0 0 0
0 2 4 6 8 10 12 14 16 18 20 0 2 4 6 8 10 12 14 16 18 20 0 0 2 4 6 8 10 12 14 16 18 20 0 2 4 6 8 10 12 14 16 18 20
minute, time step =1.00 minute minute, time step =0.50 minute minute, time step =0.20 minute minute, time step =0.10 minute
(a) Queue of dummy link (b) Queue of dummy link (c) Queue of dummy link (d) Queue of dummy link
5-1, h=1 5-1, h=0.5 5-1, h=0.2 5-1, h=0.1
Downstream queue of link 5−1 Downstream queue of link 5−1 Downstream queue of link 5−1 Downstream queue of link 5−1
100 100 100 100
80 80 80 80
60 60 60 60
40 40 40 40
20 20 20 20
0 0 0 0
0 2 4 6 8 10 12 14 16 18 20 0 2 4 6 8 10 12 14 16 18 20 0 2 4 6 8 10 12 14 16 18 20 0 2 4 6 8 10 12 14 16 18 20
(e) Queue of dummy link (f) Queue of dummy link (g) Queue of dummy link (h) Queue of dummy link
5-1, h=0.05 5-1, h=0.04 5-1, h=0.02 5-1, h=0.01
Exit flow rate v of link 5−1 Exit flow rate v of link 5−1 Exit flow rate v of link 5−1 Exit flow rate v of link 5−1
20 20 20 20
15 15 15 15
10 10 10 10
5 5 5 5
0 0 0 0
0 2 4 6 8 10 12 14 16 18 20 0 2 4 6 8 10 12 14 16 18 20 0 2 4 6 8 10 12 14 16 18 20 0 2 4 6 8 10 12 14 16 18 20
(i) Exit flow rate of (j) Exit flow rate of (k) Exit flow rate of (l) Exit flow rate of
dummy link 5-1, h=1 dummy link 5-1, h=0.5 dummy link 5-1, h=0.2 dummy link 5-1, h=0.1
Exit flow rate v of link 5−1 Exit flow rate v of link 5−1 Exit flow rate v of link 5−1 Exit flow rate v of link 5−1
20 20 20 20
15 15 15 15
10 10 10 10
5 5 5 5
0 0 0
0 0 2 4 6 8 10 12 14 16 18 20 0 2 4 6 8 10 12 14 16 18 20 0 2 4 6 8 10 12 14 16 18 20 0 2 4 6 8 10 12 14 16 18 20
(m) Exit flow rate of (n) Exit flow rate of (o) Exit flow rate of (p) Exit flow rate of
dummy link 5-1, h=0.05 dummy link 5-1, h=0.04 dummy link 5-1, h=0.02 dummy link 5-1, h=0.01
Fig. 7. LP Solutions of discrete model with different time steps.
Link 5 to 1, obj=1787.0
Exit flow v of link 5−1 Downstream queue of link 5−1
20 100
80
15
Queue length
Flow rate
60
10
40
5
20
0 0
5 10 15 20 25 30
minute, time step =1.00 minute
Fig. 8. Solutions of discrete model with pre-defined demand profiles.
from roughly 15 to about 22. Obviously, the lower bound can be easily calculated without solving the DSO problem again,
which is a major advantage of knowing the operational network capacity.
Fig. 7 shows the solutions of the LP solver using the discrete objective (21) with different time steps h ¼1, 0.5, 0.2, 0.1,
0.05, 0.04, 0.02, and 0.01. We can see that the solver tends to find solutions with the exit flow rate in each time step as either
the maximum or the minimum it can possibly reach. It is similar to the pattern of a ‘bang-bang’ control, where control vari-
ables are only selected from two extreme values. It is also observed that this pattern is more obvious for smaller time steps.
Since DSO usually has multiple solutions, different solutions may be found by the solver for different discrete time steps,
resulting in the oscillations in Fig. 7. In theory, one may select a subsequence of the solutions from all time steps, which con-
verges to a continuous-time solution as time step goes to zero. In future research, it merits more investigation to study
whether such a subsequence of solutions exists and if so how to construct the subsequence.
Two types of definitions for the DSO objective are given in the Introduction Section, together with their possible appli-
cations. If the objective definition is not properly selected, the obtained DSO solution may not be desirable. We show this
here using the test network that requires the network demand to be discharged as soon as possible (e.g., for no-notice eval-
uation due to terrorist attacks), but a pre-defined demand profile is used for the origin. Here the time step is chosen as h ¼ 1.
If there is no pre-defined demand profile, as shown in Figs. 5 (a) and 6 (a), the objective value of the system is 1207. As shown
in Fig. 8, if the demand rate is pre-defined as 2 when t 6 10 min and then fluctuates later as shown in Fig. 8, the objective
value is 1787, which is much larger than the optimal value with no pre-defined demand profile. The reason this happens is
that while the constructed DSO problem prefers the demand being discharged as early as possible, the pre-defined demand
rate at the beginning 10 min is lower than the operational network capacity (which is 7 as shown before). This results in
under-utilization of the network capacity for this particular case. Although the operational network capacity can be deter-
mined by solving the DSO problem, due to the complexity of network geometry, it may not be trivial to pre-define the
demand profiles of the origins so that the operational network capacity can be fully utilized. One can certainly set the
demand profile ‘‘large enough’’ for each origin to ensure full utilization of the operational capacity. However, if the demand
is too high, heavy congestion may occur which is also not desirable from a DSO point of view. As a result, the under-utili-
zation problem as demonstrated in Fig. 8 may occur for DSO with pre-defined demand profiles. For DSO with departure-time
choice as we study in this paper, however, this will never happen. Notice that the example illustrated here does not imply
that the DSO without pre-defined demand profile is always better, because which DSO model to use should depend on the
actual application. It does show however that under certain pre-defined demand profile, the operational network capacity
may be under-utilized and thus may produce larger DSO objective as compared with that without pre-defined demand
profile.
6. Conclusion
This paper proposed an optimal control framework for continuous-time DSO that can consider downstream congestion
effects on upstream flow especially queue spillbacks, for single-destination traffic networks. The double-queue model was
applied to properly capture queue spillbacks. Below are some major findings.
For a single-destination DSO with departure-time choice, minimizing the total waiting and travel time is equivalent to
encouraging early arrival to the destination. This was proved with the knowledge that all the initial queues at origins,
i.e., the total demand, should be cleared by the terminal time, and that the cumulative exit flow from the network equals
to the total demand.
DSO may have multiple solutions sharing the same objective value. The difference among those solutions is where the
flow is waiting (i.e., where the queues are built up), which does not affect the total cost (the summation of the travel time
and waiting time spent in the system). In these solutions, some are free-flow solutions in which there are no downstream
queues in the network except on the dummy links. Reformulation of the original DSO objective was proposed to generate
free-flow solutions. The reformulation provides a simple way to prove the existence of free-flow DSO optimal solutions,
and to further obtain a free-flow DSO solution if such solutions do exist.
Since the optimal control problem in this paper contains multiple time-delay terms on control variables, and con-
straints are placed on state variables, it is far from a trivial task to solve it analytically. So discretization is applied
to solve the continuous-time model numerically. It should be noticed that small-enough time step lengths should be
selected so that all free-flow travel times and shockwave travel times are multiples of the length of the discrete time
step.
The operational network capacity can be defined for a single-destination traffic network. This capacity can be calculated
by solving a DSO problem. It can be used to calculate a lower bound of the time to clear the demands from all origins of
the network.
The (continuous-time) double-queue model can properly capture congestion effect and possible queue spillbacks due to
downstream congestion. More importantly, the model only requires five variables for a link: two at the entrance of the
link (i.e., inflow rate and upstream queue), two at the exit of the link (i.e., exit flow rate and downstream queue), and
one for the entire link (i.e, the number of vehicles in the link). The model thus simplify the representation of the traffic
flow model for a network link, which is more suitable to be applied at a network level. In particular, traffic dynamics
for a link can be described as an ODE in the double-queue model, instead of a PDE if the original traffic flow model (e.g.,
the LWR model) is applied. This will much simplify the analysis and computation of dynamic network modeling
problems.
For future research, first the convergence of the discretization scheme needs to be established. This is expected to be chal-
lenging due to the time delays and constraints on the state variables. This might be possible by developing specialized tech-
niques for these types of optimal control problems. Second, the proposed continuous-time DSO model and its reformulation
need to be tested on larger networks. (The authors did test them on the Sioux Falls network with similar results as reported
in this paper.) The authors plan to apply the proposed continuous-time DSO model to some critical applications such as real
time traffic management during emergency evacuation. In particular, the DSO model may be integrated into the control
based real time management framework for evacuation as studied in Liu et al. (2007). This may result in better evacuation
performances and merit further investigations. Third, the applications of different DSO solutions can be further studied. For
example, it is interesting to study how different DSO solutions may impact the emissions or fuel consumption in the net-
work, in addition to congestion. Fourth, the operational network capacity defined in this paper deserves further investiga-
tion. This capacity is related to network bottlenecks that intuitively depend on the geometry of the network and the link
characteristics such as capacities. In this paper, we show that the operational capacity can be calculated by solving a DSO
problem. It is an interesting question to ask whether one can directly obtain the operational capacity of a given network
without solving the DSO. In addition, the operational capacity is defined for a network with a single destination. It is unclear
whether such a capacity exists for a network with multiple destinations. Last but not least, because the continuous-time
double-queue model can capture realistic traffic dynamics (such as spillbacks) in a simple way, we will study how it may
be applied to continuous-time DUE problems to capture congestion and spillbacks therein in continuous-time. The key chal-
lenge in that case is how to simultaneously capture drivers’ choice behaviors (e.g., route and departure-time choices) and
traffic dynamics with possible spillbacks.
Acknowledgments
The work of Rui Ma and Xuegang (Jeff) Ban is based on research supported by the National Science Foundation under
Grants EFRI-1024647 and CMMI-1055555. The work of Jong-Shi Pang is based on research supported by the National Science
Foundation under Grant EFRI-1024984. Any opinions, findings, and conclusions or recommendations expressed in this paper
are those of the authors and do not necessarily reflect the views of the National Science Foundation.
Appendix A. The continuous-time double-queue model
This appendix shows how the continuous-time double-queue model can be derived directly from LTM. Some important
properties of the model, such as the boundedness of the inflow/exit flow rates and the downstream/upstream queues in con-
tinuous-time, are also presented. First, based on notations and Eqs. (4.29) and (4.33) in Yperman (2007), we can have the
following definitions for link (i; jÞ.
The free-flow travel time
Lij
s0ij ¼ ;
v f ;ij
The shockwave travel time

Lij
sxij ¼ ;
jwij j
The cumulative inflow at time t
Z t
Pij ðtÞ ¼ pij ðnÞdn ¼ Nðx0ij ; tÞ;
0
The cumulative exit flow at time t

Z t
V ij ðtÞ ¼ v ij ðnÞdn ¼ NðxLij ; tÞ;
0
The downstream queue at time t

Lij
qdij ðtÞ ¼ Nðx0ij ; t Þ NðxLij ; tÞ ¼ Pij ðt s0ij Þ V ij ðtÞ; ð43Þ
v f ;ij
The upstream queue at time t
Lij
quij ðtÞ ¼ Nðx0ij ; tÞ NðxLij ; t Þ ¼ Pij ðtÞ V ij ðt sx
ij Þ; ð44Þ
jwij j
A.1. Constraints on flow rates
In Yperman (2007), Eqs. (4.29) and (4.33) are limited in the free-flow traffic state and the congested traffic state, respec-
tively. We expand these equations to general traffic states in this section. With the assumption that the cumulative inflow
and exit flow are non-decreasing functions of time, we show that the inflow and exit flow rates are constrained.
According to (4.29) in Yperman (2007) and the non-decreasing property of the cumulative exit flow, for the free-flow traf-
fic state,
Pij ðt s0ij þ DtÞ V ij ðtÞ ¼ V ij ðt þ DtÞ V ij ðtÞ P 0: ð45Þ
However, a link may not always be in the free-flow traffic state, and it may take longer than the free-flow travel time for
vehicles to travel through a link, which derives for a general traffic state,
Pij ðt s0ij þ DtÞ ¼ V ij ðt þ Dt 1 Þ P V ij ðt þ DtÞ; ð46Þ
where Dt1 P Dt.

According to (4.33) in Yperman (2007) and the non-decreasing property of the cumulative inflow, for the congested traffic
state

Q ij Pij ðtÞ V ij ðt sx
ij þ DtÞ ¼ P ij ðt þ DtÞ P ij ðtÞ P 0: ð47Þ
Or equivalently,
Pij ðt þ DtÞ ¼ Pij ðt þ DtÞ , Q ij þ V ij ðt sx

ij þ DtÞ: ð48Þ
Pij ðt þ DtÞ is defined as the cumulative inflow that needed to maintain the link in a congested state at time t þ Dt, given the
cumulative exit flow V ij ðt sxij þ DtÞ. Given the same cumulative exit flow, if the link were not congested, the actual cumu-
lative inflow to the link would be no more than P ij ðt þ DtÞ. In this case, we can derive:
Pij ðt þ DtÞ 6 Q ij þ V ij ðt sx
ij þ DtÞ ð49Þ
In other words, Eq. (49) holds for both a congested and an un-congested link.
Within the time step ðt; t þ DtÞ, the sending flow Sij ðtÞ is constrained.

v ij ðtÞDt 6 Sij ðtÞ ¼ min V ij ðt þ DtÞ V ij ðtÞ; C vij Dt 6 min Pij ðt s0ij þ DtÞ V ij ðtÞ; C vij Dt ;
which shows that the exit flow rate v ij ðtÞ is bounded.

Within the time step ðt; t þ DtÞ, the receiving flow Rij ðtÞ is constrained.

pij ðtÞDt 6 Rij ðtÞ ¼ min Pij ðt þ DtÞ P ij ðtÞ; C pij Dt 6 min Q ij P ij ðtÞ V ij ðt sx p
ij þ DtÞ ; C ij Dt ;
which shows that the inflow rate pij ðtÞ is also bounded. As the inflow and exit flow rates are bounded, the cumulative inflow
and exit flow are continuous.
As the time step Dt goes to infinitesimal,
!
Sij ðtÞ Pij ðt s0ij þ DtÞ Pij ðt s0ij Þ Pij ðt s0ij Þ V ij ðtÞ v
v ij ðtÞ 6 Dlim 6 lim min þ ; C ij
t!0 Dt Dt!0 Dt Dt
!
Pij ðt s0ij þ DtÞ Pij ðt s0ij Þ qdij ðtÞ v
¼ lim min þ ; C ij ð50Þ
Dt!0 Dt Dt
( v
C ij ; qdij ðtÞ > 0;
¼
minðpij ðt s0ij Þ; C vij Þ; qdij ðtÞ ¼ 0:
Rij ðtÞ
p
pij ðtÞ 6 lim 6 lim min Q ij Pij ðtÞ V ij ðt sx ij þ DtÞ ; C ij
Dt!0 Dt Dt!0
!
V ij ðt sx
ij þ DtÞ V ij ðt sij Þ
x Q ij quij ðtÞ p
¼ lim min þ ; C ij ð51Þ
Dt!0 Dt Dt
( p
C ij ; quij ðtÞ < Q ij ;
¼ p
½7pt minðv ij ðt sx ij Þ; C ij Þ; quij ðtÞ ¼ Q ij :
A.2. Double-queue dynamics and boundedness
The Fig. 4.8 in Yperman (2007) suggests that the initial values of cumulative inflow and exit flow are zero, i.e., for any link
ði; jÞ, P ij ðtÞ ¼ 0 and V ij ðtÞ ¼ 0 for t 6 0. By applying the properties found in the previous section, we show in this section that
under such initial conditions, the downstream queue is non-negative and the upstream queue is no more than the queue
capacity.
Other than the definitions by the cumulative flows by (43) and (44), the differential version of the double-queue dynam-
ics in continuous time can be given by (1).
We then show below the boundedness of the double-queue dynamics: 0 6 qdij ðtÞ 6 xij ðtÞ 6 quij ðtÞ 6 Q ij .
By considering Eqs. (50) and (51), it derives that
q_ uij ðtÞ 6 0; if quij ðtÞ ¼ Q ij ;

ð52Þ
q_ dij ðtÞ P 0; if qdij ðtÞ ¼ 0;
which shows that when the upstream queue reaches the queue capacity, the upstream queue is not increasing; when the
downstream queue is zero, the downstream queue is not decreasing. Since the initial upstream queue and downstream
queue are both zero, Eq. (52) indicates that the queue capacity is an upperbound of the upstream queue, and zero is a low-
erbound of the downstream queue, i.e.,
quij ðtÞ 6 Q ij ;
ð53Þ
qdij ðtÞ P 0:
To show qdij ðtÞ 6 xij ðtÞ, we note that from (1), (12), and (2):
Z t h i Z t Z t

xij ðtÞ qdij ðtÞ ¼ pij ðnÞ pij ðn s0ij Þ dn þ v ij ðnÞ v ij ðnÞ dn ¼ pij ðnÞ dn P 0:
0 0 ts0ij
To show xij ðtÞ 6 quij ðtÞ,we note that from (1), (11), and (2):
Z t Z t h i Z t

quij ðtÞ xij ðtÞ ¼ pij ðnÞ pij ðnÞ dn þ v ij ðnÞ v ij ðn sxij Þ dn ¼ v ij ðnÞ dn P 0:
0 0 tsx
ij
Appendix B. Proof of Proposition 1
Proof. We construct a feasible solution by the following two steps: (i) discharge the demands for all origins sequentially;
and (ii) set the discharged flow rate at each origin as the minimum exit capacity among all regular network links. Since the
total discharge time to release the demands at all origins is finite, the so-constructed solution trajectory satisfies all the
constraints of the DSO model (4)–(13). Details of the construction are given below.
Define the minimum flow capacity of the network C min , minði;jÞ2L C ij , the minimum link free-flow travel time
s0min , minði;jÞ2L s0ij , the maximum link free-flow travel time s0max , maxði;jÞ2L s0ij , and the maximum link shockwave travel time
sxmax , maxði;jÞ2L sxij . For each dummy node o~ 2 Od , let Po~ be a path going from o~ to the destination ^s. Let mo~ be the number of
links in this path; clearly, mo~ 6 m. We construct a feasible solution in the following steps.
(i) Arrange the dummy links as ðo ~1 ; o1 Þ; ðo

~2 ; o2 Þ; . . . ; ðo
~n ; on Þ. The ordering of these links can be arbitrary and would not
change the way how a feasible solution is constructed. Define the starting time t o~1 ;start , 0. Set k ¼ 1.
~k , i0 ! i1 ! i2 ! ! i‘1 ! i‘ , ^s be a path joining the dummy node o
(ii) Let P o~k : o ~k to the destination ^s. Keep all the
flows as zero for a time period sx x
max , which ensures qim1 im ðt þ smax Þ ¼ 0 according to its definition. After that, set the
u
exit flow on the link ðo ~k ; ok Þ to be C min until the initial queue Do~k on link ðo ~k ; ok Þ is cleared. The time spent to clear
Do~
~k ; ok Þ is the fraction
the queue from link ðo C min
k ~k ; ok Þ only travels through the path P e . Define
. The flow from link ðo ok
~
o ~
o
tijk as the time when the flow on path P o~k starts to enter link ði; jÞ; thus t i0ki1 ¼ t o~k ;start þ sx max ; inductively,
h Do~
i
~k
o ~k
o ~k o
o ~k
tim imþ1 ¼ tim1 im þ sim1 im for m ¼ 1; ; ‘ 1. Set v ij ðt þ sij Þ , pij ðtÞ ¼ C min 6 C ij for t 2 tij ; tij þ C min , which yields
0 0 k
h Do~
i
~
o ~
o
q_ dij ðtÞ ¼ 0 for all t 2 tijk ; t ijk þ C k . As qdij ðt o~k ;start þ sx
max Þ ¼ 0, the downstream queue of link ði; jÞ is always zero, i.e.
min
qdij ðtÞ ¼ 0, which means it takes the free flow travel time s0ij to travel through each link ði; jÞ on path P o~k . The total travel
P P
time on path Po~k is thus ði;jÞ2Po~ s0ij . As shown in Fig. 9, define t o~k ;end , t oek ;start þ sx
Do~
ði;jÞ2Po~ sij þ C min þ smin . The term
0 0
max þ
k
k k
s0min gives an extra short period of time budget and it will help the feasibility in discrete-time, which will be discussed
in Section 3. At time to~k ;end , the queues on all links ði; jÞ 2 L are zero and all the flows are zero.
Specifically, the constructed trajectories of inflows and exit flows during t 2 ½t oek ;start ; t o~k ;end are: for m ¼ 1; ; ‘
( h Do~
i
~
o ~
o
C min t2 t imk1 im ; t imk1 im þ C mink
pim1 im ðtÞ ¼
0 otherwise:
( h Do~
i ð54Þ
~
o ~
o
C min t 2 timk1 im þ s0im1 im ; t imk1 im þ C mink þ s0im1 im
v im 1 im
ðtÞ ¼
0 otherwise:
For link ði; jÞ not on the path Po~k ,
pij ðtÞ ¼ v ij ðtÞ ¼ 0: ð55Þ
~k ;start
o ~k1 ;end
o
(iii) If k < n, increase k by 1, set the starting time for dummy link ðf
ok ; ok Þ as t ,t and repeat Step (ii) above;
otherwise finish the construction of the solution.
The total clearing and travel time of all the origins is then:
!
X Do~ X X Do~
x
þ s0min þ 0
s þ smax 6
ij þ s0min þ mo~ s0max þ sx
max
~2Od
o
C min ði;jÞ2P ~2Od
o
C min
~
o
X
6 C 1
min Do~ þ ns0min þ nms0max þ nsx max , t TOT < 1: ð56Þ
~2Od
o
It can be shown that the solution constructed by the above steps is feasible. The DSO constraints (4), (7)–(9) and all initial
conditions and boundary conditions (10)–(13) are trivially satisfied. We show next that the constraints (5) regarding the
upper bound of the upstream queues are also satisfied by the solution constructed above.
~k and link ðim1 ; im Þ.

Fig. 9. Time allocation for dummy origin o
For each dummy origin o ~ and link ði; jÞ, it is obvious that t oij~ P t o~;start þ sx max , yielding t
~;start
o
6 toij~ sx
ij . Since pij ðtÞ ¼ C min
h i h i
Do~
only for t 2 t ij ; t ij þ C min , v ij ðtÞ has to be zero for t 2 t
~ o
o ~ ~;start o
o ~ 0
; t ij þ sij when the inflow pij ðtÞ has not arrived at the end of the
h i
link ði; jÞ. v ij ðtÞ ¼ C min for t 2 toij~ þ s0ij ; toij~ þ CDmin
~
o
þ s0ij .
h i
The upstream queue of link ði; jÞ for t 2 t oij~ ; t oij~ þ CDmin ~
o
is
Z t h i Z t Z t
quij ðtÞ ¼ pij ðnÞ v ij ðn sx
ij Þ dn ¼ C min dn v ij ðn sxij Þ dn: ð57Þ
t oij~ t oij~ t oij~
h i
Do~
On one hand, if C min
6 sx
ij þ sij , then since
0
v ij ðtÞ ¼ 0 for t 2 toij~ ; toij~ þ s0ij , it follows that
Z t
v ij ðn sxij Þ dn ¼ 0; and quij ðtÞ ¼ t toij~ C min 6 sx 0
ij þ sij C min 6 sxij þ s0ij C ij ¼ Q ij ð58Þ
t oij~
h i
for t 2 toij~ ; t oij~ þ CDo~ . On the other hand, if Do~
C min
> sx
ij þ sij , then
0
min
Z t
v ij ðn sxij Þ dn ¼ 0 and quij ðtÞ ¼ t t oij~ C min 6 sx 0
ij þ sij C min ¼ Q ij ; ð59Þ
t oij~
for t < toij~ þ sx 0 ~

o x
ij þ sij ; while for t P t ij þ sij þ sij ,
0
Z t oij~ þsx þs0ij Z t

ij
quij ðtÞ ¼ ð t t oij~ Þ C min v ij ðn sxij Þ dn v ij ð n sxij Þ dn
t oij~ t oij~ þsx
ij
þs0ij
ð60Þ
¼ ð t toij~ Þ C min ð t toij~ sx 0
ij sij ÞC min
¼ ð sx 0
ij þ sij Þ C min 6 Q ij :
h i
During toij~ þ CDo~ ; t oij~;end , there is no inflow entering link ði; jÞ, i.e. pij ðtÞ ¼ 0. During this period, the upstream queue of link ði; jÞ
min
does not increase. From (58)–(60), The upstream queue of link ði; jÞ has an upper-bound sx ij þ sij C min . The upstream queue
0
h i
of link ði; jÞ for t 2 t oij~ þ CDmin
~
~
o
; toij;end is not increasing thus

quij ðtÞ 6 sxij þ s0ij C min 6 sxij þ s0ij C ij ¼ Q ij : ð61Þ
The analysis shows that the constructed solution satisfies the upper-bound constraints of the upstream queues (5). Therefore
all constraints of the DSO model hold and the constructed solution is indeed feasible.
If the terminal time T is selected no less than t TOT , one can always find a feasible solution by following the above
construction.
Appendix C. Feasibility of the discrete-time DSO model
Define nx x
max , smax =h.
;h
(i) Arrange the dummy links as ðo ~1 ; o1 Þ; ðo

~2 ; o2 Þ; . . . ; ðo
~n ; on Þ. The ordering of these links can be arbitrary and would not
change the way how a feasible solution is constructed. Define the starting time step r o~1 ;start , 0. Set k ¼ 1.
~k , i0 ! i1 ! i2 ! ! i‘1 ! i‘ , ^s be a path joining the dummy node o
(ii) Let Po~k : o ~k to the destination ^s. Keep all the
flows as zero for nx ~
max time steps. After that, set the exit flow from the link ðok ; ok Þ to be C min for each time step until
the queue on link ðo ~k ; ok Þ is smaller than hC min . Then set the exit flow rate of the link ðo ~k ; ok Þ to be the residual of the
queue divided by the time step length. The number of time steps spent to clear the queue from link ðo ~k ; ok Þ is a ceiling
lD m
~
o
function of the fraction, i.e., hC min . The flow from link ðo
k ~k ; ok Þ only travels through the path P e . Define rijo~k as the num-
ok
~
o
ber of time steps when the flow on path P o~k starts to enter link ði; jÞ; thus ri0ki1 ¼ ro~k ;start þ nx max ; inductively,
h;rþn0ij
jD k
~k
o ~k
o h;r ~k
o ~k
o
rim imþ1 ¼ rim1 im þ nim1 im for m ¼ 1; ; ‘ 1. Set v ij
0 ~
o
, pij ¼ C min 6 C ij for r ¼ rij ; ; r ij þ hC min
k
1, and
h;rþn0ij
D
j D
k
1 ~
o 1
v ij , ph;r qd;h;r qd;h;r1
o~ ~
o
ij ¼ h Do~k bhC min cC min h 6 C ij for r ¼ r ijk þ hC min which yields h ¼ 0 for all
k k
ij ij
lD m ~ ;start
o x
~k
o ~k
o d;h;r k þnmax
¼ 0, the downstream queue of link ði; jÞ is always zero, i.e. qd;h;r
~
o
r ¼ r ij ; ; nij þ hC k
1. As qij ij ¼ 0, which
min
means it takes the free flow travel time n0ij to travel through each link ði; jÞ on path P o~k . The total travel time on path Po~k
P P lD m
n0 . Define ro~k ;end , r oek ;start þ nx þ
~
o
is thus ði;jÞ2Po~ ij n0 þ k
. At time ro~k ;end , the queues on all links ði; jÞ 2 L are
max ði;jÞ2Po~ ij hC min
k k
zero and all the flows are zero.

Specifically, the constructed iterates of inflows and exit flows during r ¼ t oek ;start ; ; to~k ;end are: for m ¼ 1; ; ‘
8 jD k
~
o o~
>
> C min
o~
r ¼ r imk1 im ; ; rimk1 im þ hC min
k
1
>
< jD k
ph;r
im1 im
D
¼ h1 D~ b o~k cC h ~
o
r ¼ rimk1 im þ hC k
~
o
>
> ok hC min min
>
:
min
0 otherwise:
8 jD k
~k
o ~k
o
>
> C r 2 r þ n0
; ; r þ
o~
k
þ n0im1 im 1
>
<
min i i
m1 m i m1 mi i i
m1 m hC min
j k
v h;r
im im
1
¼ h1 D~ b Do~k cC h
> ok min
~
o Do~
r ¼ r imk1 im þ hC min k
þ n0im1 im ð62Þ
>
> hC min
:
½0:2in0 otherwise:
For link ði; jÞ not on the path Po~k ,
pijh;r ¼ v h;r
ij ¼ 0: ð63Þ
(iii) If k < n, increase k by 1, set the starting time for dummy link ðf
ok ; ok Þ as r ~k ;start
o
,r ~k1 ;end
o
and repeat Step 2; otherwise
finish the construction of the solution.
Despite the difference between discrete-time and continuous-time notations, there are only two revisions from the
method to construct a feasible solution in continuous-time in Proposition 1. First, the number of time steps spent to clear
lD m
~k ; ok Þ is a ceiling function of the fraction, i.e., hCo~k . Second, the extra time budget s0min for each origin
the queue from link ðo
min
is not included in the discrete-time feasible solution.

The total clearing and travel time steps of all the origins in the discrete-time model is:
!
X Do~ X 0;h
eh ,
N þ x;h
nij þ nmax : ð64Þ
~2Od
o
hC min ði;jÞ2P ~
o
Eq. (56) shows the total clearing and travel time for the constructed feasible solution is no more than the terminal time T:
!
X Do~ X
þ s0min þ s0ij þ sxmax 6 T ð65Þ
~2Od
o
C min ði;jÞ2P ~
o
Divided by the time step length h on both side of (65), it derives

!
X Do~ s0 X 0;h T T
x;h
þ min þ nij þ nmax 6 6 , Nh ð66Þ
~2Od
o
h C min h ði;jÞ2P
h h
o~
Since all the time delays (free flow travel time and shockwave travel time) are multiples of the time step length h, it is
obvious that s0ij P s0min P h > 0. Therefore, for all o
~ 2 Od ,
Do~ Do~ Do~ s0

6 þ16 þ min ð67Þ
hC min hC min hC min h
From (66), (67) and (64), we obtain
e h 6 Nh :
N
Above it shows that with the feasibility of the continuous-time DSO model corresponding to a finite terminal time T, the
discrete-time DSO model is also feasible under the terminal number of time steps N h , dT=he.
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Transportation Research Part B 68 (2014) 98–122

Contents lists available at ScienceDirect

Transportation Research Part B

Continuous-time dynamic system optimum

2. The continuous-time DSO model and its properties

2.1. The trafﬁc network

(constant) parameters: all positive scalars.

Q ij upper bound of upstream queue length

(time-dependent) trajectories: all nonnegative.

pij ðtÞ inﬂow rate at time t

2.2. The double-queue model

Constraints: these deﬁne the feasible region X of tuples ðp; v ; qu ; qd Þ:

quij ðtÞ 6 Q ij ; ð5Þ

3. Capacitated exit ﬂows: for link ði; jÞ 2 L; t 2 ½0; T

06 v ij ðtÞ 6 C vij ð6Þ

with C ov~o ¼ 1 for ðo

qdij ðtÞ P 0; ð7Þ

5. Upper and lower bounds of the inﬂows: for link ði; jÞ 2 L

0 6 pij ðtÞ 6 C pij ; t 2 ½0; T s0ij

q_ uij ðtÞ ¼ pij ðtÞ v ij ðt sx

Initial conditions at time t ¼ 0:

quo~o ð0Þ ¼ qdo~o ð0Þ ¼ Do ; ð10Þ

3. For each downstream queue on link ði; jÞ 2 L,

qdij ð0Þ ¼ 0; ð12Þ

Other boundary conditions:

quij ðTÞ ¼ 0 and qdij ðTÞ ¼ 0; ð13Þ

kc;ij Lij ¼ C ij s0ij :

The congestion part of the triangular fundamental diagram implies:

ð km;ij kc;ij Þ Lij ¼ C ij sx

The upper-bound of the upstream queue is then

(c) The terminal time

2.5. Properties of the DSO model

Summing up the equations in (15) for all i 2 N n fbs g, we deduce

3. Discretization of the DSO model

 For node i 2 N n f^sg; r ¼ 1; ; N h ,

 For link ði; jÞ 2 L; r ¼ 1; ; N h ,

 For link ði; jÞ 2 L,

 Initial queues for link ði; jÞ 2 L,

 Cleared network at terminal time, for link ði; jÞ 2 L,

 For link ði; jÞ 2 L; r ¼ 1; ; N h 1,

where the second sum is vacuous for r 6 nx

 For link ði; jÞ 2 L; r ¼ n0;h

 For link ði; jÞ 2 L,

The discrete-time DSO problem as a linear program

06 v ijh;r 6 C ij for ði; jÞ 2 L and r ¼ n0;h

Feasibility of the discrete-time DSO model

4. Multiple DSO solutions and computation of free-ﬂow DSO solutions

Corollary 1. The following two statements hold:

b for the original optimal control formulation (20).

Thus we must have gð XÞe ¼ 0 and f ð X

5.1. Results of the chain network

Fig. 1. The chain network.

Fig. 2. Fundamental diagram of links in the chain network.

Fig. 3. Downstream queue occupancies.

Fig. 4. Four-node network and parameters.

5.2. Results of the four-node network

Link 5 to 1, obj=1207.0 Summation of the exit flow rates to node 4

Link 1 to 2, obj=1207.0 Link 1 to 3, obj=1207.0

For node i 2 N n f^sg; r ¼ 1; ; N h ,

For link ði; jÞ 2 L; r ¼ 1; ; N h ,

For link ði; jÞ 2 L,

Initial queues for link ði; jÞ 2 L,

Cleared network at terminal time, for link ði; jÞ 2 L,

For link ði; jÞ 2 L; r ¼ 1; ; N h 1,

For link ði; jÞ 2 L; r ¼ n0;h

For link ði; jÞ 2 L,