考虑风险规避的秘书问题求解的一个启发式方法  

A heuristic for solving secretary problem with the consideration of risk aversion

作　　者：李梦豪 王刊良[1] LI Meng-hao;WANG Kan-liang(School of Business,Renmin University of China,Beijing 100872,China)

机构地区：[1]中国人民大学商学院,北京100872

出　　处：《管理科学学报》2019年第11期82-90,共9页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71331007).

摘　　要：秘书问题是一类序贯观察与选择问题,描述了动态的信息搜索与决策过程.针对现有的以寻找满意解为目标的启发式方法存在诸多局限,提出了新的启发式方法,该方法基于当前观测中侯选项在已观察侯选项中的相对排名、待观测侯选项数量以及决策者的抱负水平,决策者可以通过设定抱负水平灵活决定该启发式方法的结果导向.推导了该启发式方法的性能指标,并通过仿真的方法与已有启发式方法的性能进行了比较.结果发现,该启发式方法在最终选择的侯选项的期望排名和稳定性,以及风险解的避免上均优于已有的启发式方法.Secretary problem involves a sequential of observations and related selection,and describes a dynamic information search and decision-making process.To overcome the limitations of existing heuristics in finding satisfactory solutions,the paper proposes a new heuristic based on the relative ranking of the current option in the observed options,the number of subsequent options,and the decision makers*aspiration level which can be set flexibly to determine the result orientation of the heuristic.Deduced results and simulation evidence show that the proposed heuristic is superior to the existing heuristic methods in terms of the expected ranking,stability of the final selected option,and the avoidance of the risk solution.

关 键 词：秘书问题 截止阀策略 前景理论 风险规避 启发式方法 

分 类 号：C934[经济管理—管理学]