Abstract: This paper proposes a decision analysis method based on cumulative prospect theory to solve multiple attribute risk decision making problems with different attribute aspiration-levels given by decision makers(DMs). In this paper, attribute aspiration-levels given by DMs are firstly regarded as reference points. Then, value matrices and decision weight matrices relative to the reference points are built. On the basis of the above matrices, the prospect decision matrices are constructed. Furthermore, the comprehensive prospect value of each alternative is calculated, and the ranking result of the alternatives is obtained according to the comprehensive prospect values. Finally, a numerical example is used to illustrate the feasibility and validity of the proposed method.

Key words: multiple attribute risk decision making, attribute aspiration-level, reference point, cumulative prospect theory

摘要： 针对考虑多个决策者给出不同的指标期望的多指标风险决策问题,提出一种基于累积前景理论的决策分析方法。在本文中,将决策者给出的指标期望视为参照点,通过构建基于参照点的价值矩阵和权重矩阵,进而构建前景决策矩阵,并基于前景决策矩阵来计算每个方案的综合前景值,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: 多指标风险决策, 指标期望, 参照点, 累积前景理论