Dear Samik, Samik Raychaudhuri <samikr@gmail.com> writes:
I was doing some research on generalized Cholesky decomposition (from the Schnabel and Eskow paper), and stumbled across your GPL'd code of Dynare at: https://www.dynare.org/trac/browser/matlab/ generalized_cholesky2.m While testing the code, it seemed that the code does not decompose properly for any symmetric positive definite matrix greater than 3X3. Are you aware of this problem, or am I missing something here?
Thanks for your feedback. We are not aware of any problem in our code, but of course we cannot rule out a bug. It would be very useful for us if you could provide us with an example to replicate the problem: which input matrix you used, which output you got and which output you were expecting. Best, -- Sébastien Villemot Researcher in Economics & Debian Maintainer http://www.dynare.org/sebastien Phone: +33-1-40-77-49-90 - GPG Key: 4096R/381A7594