From Finance to ITS - Traffic Data Fusion based on Markowitz' Portfolio Theory

Abstract

Traffic data fusion has much to do with combining available or considered data sources in the best possible way. In this, it is very similar to optimizing a portfolio of financial assets in regard of return and risk. This article draws the analogy between these two mostly different scientific worlds, i.e. finance and engineering. Similarities and differences in context of weighted-mean data fusion based on numerical traffic flow measurements such as travel times or speeds are discussed. This, in particular, includes guessing the potential benefit of negative weights. Optimal weights are derived following a strict mathematical theory based on assumptions (parameters) about systematic bias and correlations of the considered data sources. Moreover, a specific way of reducing the systematic bias of the fusion results is proposed and compared to common methods. The whole approach is demonstrated based on position data from two independent vehicle fleets in Athens, Greece. In this context, the problem of parameter calibration is solved by applying an advanced tool for such floating car data systems, called "self-evaluation". The experiments show that the proposed methods reliably reduce the systematic bias and variance of the fusion results with regard to the original data as well as in comparison to the naive fusion approach that uses equal weights for all data sources.