Hi Sebastian,
Thanks for your reply. I have a test case for a simple 4X4 matrix which shows the difference of output between the matlab chol() method and the generalized_cholesky2() method. The result matrix are so different from the two methods that I am inclined to believe that I am doing something wrong, or calling the method in an unexpected way.
I did go through the Dynare code and have a few comments. If you indeed think that there is problem in Dynare code, I will be happy to pass on the comments.
Please find the log attached.
Thanks.
-Samik

On 11/30/2011 3:17 AM, Sébastien Villemot wrote: 
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,