MATLAB: Large scale generalized eigenvalue problem involving dense symmetric positive-definite matrices

lapwrapmw - matlab wrappers for lapacklarge scale generalized eigenvalue problemno compiler error- 64-bit

Hi all,
I need to solve a generalized eigenvalue problem [A][x]=[B][x][lambda]; where [A] and [B] are positive definite matrices and the resulting [x] should be normalised as [x'][B][x]=[I]; [I] = Identity matrix.
Uptil now, I was using the following commands to solve the problem on a 32-bit computer satisfactorily
          L  = chol(B);
          CL = (inv(L))*A*(inv(L))';
          make_mswindows
          [v1,r1]   = syev(CL,'qr');
          eigvector = (inv(L))'*v1;
          eigvalue  = sqrt(r1);
Here, syev is a function from the MATLAB wrapper for LAPACK (available at <ftp://ftp.netlib.org/lapack/lapwrapmw/index.html>).
But now that I have switched over to a 64-bit workstation, I am getting NO COMPILER error. I reckon that I have to make changes in the mex-code files which I am not able to do.
Is there any other way to this problem? Can we solve the generalized eigenvalue problem by any other method, efficiently. It should be noted that the size of matrices A and B is quite big (200-800 and even more).
Regards, N. Madani SYED

Best Answer

Perhaps the simple lapack wrapper would do, http://www.mathworks.com/matlabcentral/fileexchange/16777
This does require mex, which requires that you have installed appropriate compilers for your platform and MATLAB version, such as the ones listed at http://www.mathworks.com/support/compilers/R2011b/win64.html
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