Risk Based Weight Determination in Multiple Criteria Decision Making

The criterion weight (CW) is an important concept in multiple criterion decision making. Existing studies focus on determining CWs subjectively from the judgments of a decision maker or objectively from a decision matrix. Little attention is paid to determining CWs from the subjective judgments and the risk attitude of a decision maker (DM). To address this issue, this paper proposes a risk-based decision method. On the condition that the bounded constraints on CWs are provided by a DM, the constraints are updated in accordance with the risk attitude of the DM. Within the region formed by the bounded constraints on CWs, the differences between CWs and those associated with each alternative and the risk attitude of the DM are minimized. To guarantee the minimum differences, the minimum and maximum values of expected utility of each alternative are obtained to generate a solution. The effectiveness and applicability of the proposed method are verified by analyzing the control mode selection problem of an enterprise in Changzhou, Jiangsu Province of China.