[Help-gsl] Recovering from failed Cholesky decomp.

[Daniel Neilson]

Good afternoon,
 I have an application in which I'm using gsl_linalg_cholesky_decomp() 
to decompose a symmetric positive-definite matrix, A. However, the 
decomp fails in a very small percentage of the matrices that I feed to 
this function due to round-off error and all of that fun stuff.

 Does anyone happen to know of a good method that will still give me 
the L L^T decomposition for A when one of these errors is detected? For 
example, is there a method whereby I can add a small-magnitude diagonal 
matrix to A, Cholesky decomp that, and modify the result to obtain the 
decomp as though I'd done it with A instead of the modified A?

-Daniel