generalized_cholesky.m

function AA = generalized_cholesky(A);
%function AA = generalized_cholesky(A);
%
% Calculates the Gill-Murray generalized choleski decomposition
% Input matrix A must be non-singular and symmetric

% Copyright (C) 2003 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.

n = rows(A);
R = eye(n);
E = zeros(n,n);
norm_A = max(transpose(sum(abs(A))));
gamm   = max(abs(diag(A))); 
delta = max([eps*norm_A;eps]);

for j = 1:n; 
    theta_j = 0;
    for i=1:n;
        somme = 0;
        for k=1:i-1;	
	        somme = somme + R(k,i)*R(k,j);
        end;
        R(i,j) = (A(i,j) - somme)/R(i,i);
	    if (A(i,j) -somme) > theta_j;
	        theta_j = A(i,j) - somme;
        end;
	    if i > j;
	        R(i,j) = 0;
        end;
    end;
    somme = 0;
    for k=1:j-1;	
        somme = somme + R(k,j)^2;
    end;
    phi_j = A(j,j) - somme;
    if j+1 <= n;
        xi_j = max(abs(A((j+1):n,j)));
    else;
        xi_j = abs(A(n,j));
    end;
    beta_j = sqrt(max([gamm ; (xi_j/n) ; eps]));
    if all(delta >= [abs(phi_j);((theta_j^2)/(beta_j^2))]);
        E(j,j) = delta - phi_j;
    elseif all(abs(phi_j) >= [((delta^2)/(beta_j^2));delta]);
        E(j,j) = abs(phi_j) - phi_j;
    elseif all(((theta_j^2)/(beta_j^2)) >= [delta;abs(phi_j)]);
        E(j,j) = ((theta_j^2)/(beta_j^2)) - phi_j;
    end;
    R(j,j) = sqrt(A(j,j) - somme + E(j,j));
end;
AA = transpose(R)*R;