error message in using mvnrnd function??

i'm craeting a gibbs sampling algorithm and the fdollowing message appears when i'v used mvnrnd function :

??? Error using ==> mvnrnd SIGMA must be a symmetric positive semi-definite matrix.

note i'v used chol function befor using mvnrnd

nu02=chol(nu01); nu0=s*nu02; z = mvnrnd(mu0,nu0)'; what can i do to solve the problem?

[the cyclist]

It's pretty hard to say anything here without more details. Do you have a very small example of nu01 and s that you can provide, that exhibits the error?

Answer 1

[Tom Lane]

Using chol is a good idea, but chol does not actually check that the matrix is symmetric:

>> a = [2 1;1 3]
a =
     2     1
     1     3
>> chol(a)
ans =
    1.4142    0.7071
         0    1.5811
>> a(2,1) = 0;
>> chol(a)
ans =
    1.4142    0.7071
         0    1.5811|

You might want to look at nu01-nu01' to see if the matrix is not symmetric. If the lack of symmetry is just the result of roundoff error, consider

nu01 = (nu01 + nu01') / 2;