Abstract: This paper proposes a method based on cumulative prospect theory to solve the multiple attribute decision making problems with decision maker’s dynamic aspiration. In this paper, the psychological behavioral factors of decision makers are considered firstly, and the dynamic aspiration of the decision maker with respect to each attribute at different periods is chosen as the reference point. Then, the decision matrix with normal random variables is transformed into the decision matrix of gains or losses relative to each reference point. Furthermore, considering the decision maker’s different psychological attitudes toward gains and losses in decision maker’s mind, the prospect value of each alternative at each phase is calculated based on cumulative prospect theory, and the comprehensive prospect value of each alternative throughout the whole period is calculated. Based on the obtained comprehensive prospect values, a ranking of alternatives is determined. Finally, a numerical example is used to illustrate the feasibility and validity of the proposed method.

Key words: theory of decision making, multiple attribute decision making, cumulative prospect theory, psychol-ogical behavior

摘要： 有限理性条件下针对带有决策者期望的多属性决策问题,提出一种基于累积前景理论的决策分析方法。在本文中,首先考虑了决策者的有限理性的心理行为特征,以决策者在不同时期对各属性的特定期望作为参照点,然后将具有正态分布信息形式的决策矩阵转化为相对于各参照点的益损决策矩阵,在此基础上,考虑决策者对待收益和损失的不同理性态度,依据累积前景理论计算各时期中每个方案的前景值,并计算关于整个时期的综合前景值,然后依据综合前景值的大小对所有方案进行排序。最后,通过一个算例说明了该方法的可行性和有效性。

关键词: 决策理论, 多属性决策, 累积前景理论, 心理行为