Very nice piece of software!
Have you tried to run it on Linux? Something seems to be wrong and I am not sure whether it is the compiler or something else. Basically sample_mvgm doesn't seem to work properly. The simple call
generates numbers in the range -10^10 to 10^10. Have you experienced something like that? Also the optimization runs much much slower (ca. 3x) than on Windows. According to the Matlab-profiler the bottleneck is in the last line of sample_gaussian_mixture when dirirnd is called.
I am running ubuntu 10.04 64bit on a i7 quad core
tried Matlab 2009b and 2010a
tried gcc-4.1 and gcc-4.4
always same behavior