基于累积前景理论的动态随机多准则决策方法  

Dynamic Stochastic Multi-criteria Decision Making Method Based on Cumulative Prospect Theory

作　　者：胡军华[1] 杨柳[1] 刘咏梅[1] 

机构地区：[1]中南大学商学院,长沙410083

出　　处：《软科学》2012年第2期132-135,共4页Soft Science

基　　金：教育部人文社会科学研究规划基金项目(11YJA630031);国家自然科学基金项目(71071164)

摘　　要：针对准则权重完全未知、准则值为离散型随机变量的动态随机多准则决策问题,提出了一种基于累积前景理论和集对分析的决策方法。该方法引入决策者的风险态度,首先根据分布函数计算不同时期的前景值,然后由二项分布法确定时间序列权重,基于离差最大化思想构建优化模型,确定准则权重,并引入集对分析中的同一度、对立度和集对势的概念,利用综合集对势的大小对备选方案排序。最后通过一个风险投资问题验证了该方法的有效性。A method based on cumulative prospect theory is proposed for dynamic stochastic multi-criteria decision making problems,in which the information about criteria weight is unknown and criteria values are in the form of discrete random variables.Decision-maker＇s attitude towards risk is introduced into this paper.Firstly,the prospect value of alternatives is calculated on all criteria at different periods according to distribution function.Secondly,the time series weight is derived based on the binomial distribution probability density function.The criteria weight coefficients are ascertained by the algorithm of maximizing deviation.Then,the concepts of identity degree,contrary degree,and set pair potential are employed and thus the order of alternatives can be determined consequently.Finally,an example of risk investment illustrates the effectiveness of this method.

关 键 词：不确定性决策 动态随机多准则决策 累积前景理论 集对分析 

分 类 号：C934[经济管理—管理学]