基于效用风险熵的多情景混合型风险决策方法及应用  

Method and application for multi-scenario hybrid risk decision making based on utility-risk entropy

作　　者：宋之杰[1] 王浩[1] 赵红美 陈业华[1] SONG Zhijie;WANG Hao;ZHAO Hongmei;CHEN Yehua(Economic and Management College,Yanshan University,Qinhuangdao 066004,China)

机构地区：[1]燕山大学经济管理学院,河北秦皇岛066004

出　　处：《系统工程与电子技术》2018年第12期2751-2757,共7页Systems Engineering and Electronics

基　　金：国家自然科学基金(71171175;71301140;71171174);河北省研究生创新资助项目(CXZZBS2018060)资助课题

摘　　要：针对多情景混合型的风险决策问题,考虑决策者期望和心理行为特征,提出一种基于效用风险熵的决策分析方法。首先,分析并总结多情景混合型风险决策信息的结构特征;然后引入前景理论价值函数,将属性值与期望参照点对比,作为决策者所感知的"损益值",计算各结果情景下的综合效用价值;进一步综合考虑结果情景效用价值及发生概率的双因素作用,通过直接定义效用风险系数和效用风险函数,基于效用风险熵对方案的整体效用风险大小进行度量并排序;最后,通过算例分析,验证该方法的合理有效性。With respect to multi-scenario hybrid risk decision making problems,a risk decision making method based on utility-risk entropy is proposed considering decision makers＇ aspiration and psychological behavior.Firstly,the structure paradigms of decision information of the problem are summarized.Then,the value function of prospect theory is applied to obtain the＂profit and loss value＂by comparing the attribute values with the decision makers＇ aspirations concerning attributes and to integrate utility value of each scenarios.Further,considering the two factors＇ effect of scenario utility and occurrence probability and defining the utility risk factor and utility-risk function,the overall utility risk of the schemes is calculated based on utility-risk entropy.Finally,examples are given to verify the reasonability and effectiveness of the method.

关 键 词：风险决策 效用风险熵 多情景 期望参照点 

分 类 号：C934[经济管理—管理学] C945[自然科学总论—系统科学]