Aimed at combination weighting in multiple attribute decision making, a new approach for combining different weighting vectors is proposed. The proposed approach considers the randomicity of weights themselves and the consistency among weighting vectors, constructs a constrained weighted relative entropy model. Aimed at the disadvantage in the TOPSIS based on Euclidean distance, the TOPSIS based on Mahalanobis distance is adopted to solve the coefficients of optimal weight vector. Finally, an example is conducted and the results show the proposed approach is effective and is more reasonable than three other combination approaches.