Cardinality. Number of absolute values of scaled  components of a vector exceeding some threshold

 

Syntax

cardn(w, matrix)

short call

cardn_name(w, matrix)

call with optional name

 
Parameters

matrix        is a PSG matrix:

 

where the header row contains names of variables. Other rows contain numerical data, , .

The 2-4-th numerical rows are optional. and define point for right cardinality “jump” for every variable. and define point for left cardinality “jump” for every variable.

If matrix includes only one numerical row, then, by default, the the second numerical row is assumed equal to the first one.

If the 3-th and 4-th rows are absent, then, they are assumed to be zero. If 4-th rows is absent, then, it is assumed to be equal to the 3-th one.

The scenario_benchmark column is optional.   If scenario_benchmark column is not present, then, by default, .

The coefficients are dummy and not used for calculation.

 

is a threshold value.

and define “jump steepness“.

 

 

Mathematical Definition

Cardinality function is calculated as follows

,

where

is small threshold value,

is an argument of Cardinality function.

for .

 

 

Remarks

It is recommended to select the multiplier (the second and the third) rows equal to the unit vectors and . For instance if decision variables are measured in thousands than .

 

Example

Calculation in Run-File Environment
Calculation in MATLAB Environment

 

Case Studies with Cardinality

Optimal Hedging of CDO Book
Logistic Regression and Regularized Logistics Regression Applied to Estimating  Probabilities

 

See also

Cardinality Positive, Cardinality Negative, Buyin Positive, Buyin Negative, Buyin, Fixed Charge Positive, Fixed Charge Negative, Fixed Charge