Provide disclyap_fast.m as a mex-file
Preliminary testing with the Matlab Coder in C++ indicated significant speed gains (factor 3 for a 54 by 54 matrix). Useful as there may be thousands of calls in the context of GMM.
We currently do not use the chol
-check anywhere. So may leave it out and only code the main loop.
Edited by Johannes Pfeifer