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Hesitant fuzzy set (HFS), which allows the membership degree of an element to a set represented by several possible values, is considered as a powerful tool to express uncertain information in the process of multi-attribute decision making (MADM) problems. In this paper, we develop a novel approach based on TOPSIS (Technique for Order Preference by Similarity to Ideal Solution) and the maximizing deviation method for solving MADM problems, in which the evaluation information provided by the decision maker is expressed in hesitant fuzzy elements and the information about attribute weights is incomplete. There are two key issues being addressed in this approach. The first one is to establish an optimization model based on the maximizing deviation method, which can be used to determine the attribute weights. According to the idea of the TOPSIS of Hwang and Yoon [1], the second one is to calculate the relative closeness coefficient of each alternative to the hesitant positive-ideal solution, based on which the considered alternatives are ranked and then the most desirable one is selected. An energy policy selection problem is used to illustrate the detailed implementation process of the proposed approach, and demonstrate its validity and applicability. Finally, the extended results in interval-valued hesitant fuzzy situations are also pointed out.