st: Problem with Cholesky matrix function?

[Kaleb Michaud <kaleb@stanford.edu>]

(It's been 5 hours so I'm sending this one again - strange list behavior?)

I'm trying to produce for a Monte Carlo task 100K random vectors in 10-D 
space with N(0,S) distribution where the covariance matrix S is defined by:

symmetric S[10,10]
      r1   r2   r3   r4   r5   r6   r7   r8   r9  r10
 c1    1
 c2    2    2
 c3    3    3    3
 c4    4    4    4    4
 c5    5    5    5    5    5
 c6    6    6    6    6    6    6
 c7    7    7    7    7    7    7    7
 c8    8    8    8    8    8    8    8    8
 c9    9    9    9    9    9    9    9    9    9
c10   10   10   10   10   10   10   10   10   10   10

The problem is this:

. matrix C = cholesky(S)
matrix not positive definite
r(506);

Now, I've searched the list archives, the web and am pretty sure S is 
positive definite.  I discovered this problem using the -drawnorm- program 
(it passed of the internal tests as a covariance matrix until it reached 
the cholesky function).

Any ideas as to what I can do (assuming either my matrix isn't positive 
definite or this function isn't working right)?

Thanks!
Kaleb Michaud
Arthritis Research Center

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