"would rather" is a set phrase used for expressing preference. "I would rather travel by train" is talking about a present or future preference. "I would rather have travelled by train" is talking about a past preference (usually one that wasn't satisfied).
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AnonymousGPY, can't "would rather" be used in conditional?If by this you mean can it be used in a pattern "If ... , (then) I would rather ...", then yes.