I'm trying to run the code, but I keep getting this warning :
'Warning: chol failed, algorithm abandoned';
because the cholcov(Sigma(:,:,j),0); line always fails at the 2nd iteration (bn_noise='T') or 3rd iteration (bn_noise='F').
FYI, I have no NaN values in my data, and I get coherent results with kmeans() and emgm() [the submission that inspired this one]. Actually, no matter what data I feed into the function (e.g. squre matrix, rand(m,n), ...) this step always fails.
Any insight on this?