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In order to provide privacy pro-visioning for the secondary information,we propose an energy harvesting based se-cure transmission scheme for the cognitive multi-relay networks.In the proposed scheme,two secondary relays harvest energy to power the secondary transmitter and assist the sec-ondary secure transmission without interfere the secondary transmission.Specifically,the proposed secure transmission policy is imple-mented into two phases.In the first phase,the secondary transmitter transmits the secrecy information and jamming signal through the power split method.After harvesting energy from a fraction of received radio-frequency signals,one secondary relay adopts the ampli-fy-and-forward relay protocol to assist the sec-ondary secure transmission and the other sec-ondary relay just forwards the new designed jamming signal to protect the secondary privacy information and degrade the jamming interference at the secondary receiver.For the proposed scheme,we first analyze the average secrecy rate,the secondary secrecy outage probability,and the ergodic secrecy rate,and derive their closed-form expressions.Follow-ing the above results,we optimally allocate the transmission power such that the secrecy rate is maximized under the secrecy outage probability constraint.For the optimization problem,an AI based simulated annealing algorithm is proposed to allocate the transmit power.Numerical results are presented to val-idate the performance analytical results and show the performance superiority of the pro-posed scheme in terms of the average secrecy rate.