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trunk: fixed copyright header of generalized_cholesky?.m files 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2119 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
sebastien 2008-09-26 16:55:26 +00:00
parent 2af294a5e6
commit 81ada88de2
2 changed files with 54 additions and 28 deletions
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27
matlab/generalized_cholesky.m
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@ -1,10 +1,25 @@
% proc gmchol(A);
% /* calculates the Gill-Murray generalized choleski decomposition */
% /* input matrix A must be non-singular and symmetric */
% /* Author: Jeff Gill. Part of the Hessian Project. */
% local i,j,k,n,sum,R,theta_j,norm_A,phi_j,delta,xi_j,gamm,E,beta_j;
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);

55
matlab/generalized_cholesky2.m
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@ -1,26 +1,37 @@
% /*
% ** By Jeff Gill, April 2002.
% **
% ** This procedure produces:
% **
% ** y = chol(A+E), where E is a diagonal matrix with each element as small
% ** as possible, and A and E are the same size. E diagonal values are
% ** constrained by iteravely updated Gerschgorin bounds.
% **
% ** REFERENCES:
% **
% ** Jeff Gill and Gary King. 1998. "`Hessian not Invertable.' Help!"
% ** manuscript in progress, Harvard University.
% **
% ** Robert B. Schnabel and Elizabeth Eskow. 1990. "A New Modified Cholesky
% ** Factorization," SIAM Journal of Scientific Statistical Computating,
% ** 11, 6: 1136-58.
% **
% **
% **
% ** Stéphane Adjemian (2003): translation from Gauss to Matlab.
% */
function AA = generalized_cholesky2(A)
%function AA = generalized_cholesky2(A)
%
% This procedure produces:
%
% y = chol(A+E), where E is a diagonal matrix with each element as small
% as possible, and A and E are the same size. E diagonal values are
% constrained by iteravely updated Gerschgorin bounds.
%
% REFERENCES:
%
% Jeff Gill and Gary King. 1998. "`Hessian not Invertable.' Help!"
% manuscript in progress, Harvard University.
%
% Robert B. Schnabel and Elizabeth Eskow. 1990. "A New Modified Cholesky
% Factorization," SIAM Journal of Scientific Statistical Computating,
% 11, 6: 1136-58.
% 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 = size(A,1);
L = zeros(n,n);