Sebastien,
We do not use these codes (generalized_cholesky and generalized_cholesky2) since years. These routines were called in Dynare 3 when (minus) the hessian matrix computed after the optimization (for the posterior mode) was not positive definite. I think we can remove these routines...
Best, Stéphane.
Sébastien Villemot sebastien.villemot@ens.fr writes:
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,