I know that to generate a block-diagonal matrix in Matlab the command blkdiag
generates such a matrix:
There is a submission on the File Exchange that can do this: (Block) tri-diagonal matrices.
You provide the function with three 3D-arrays, each layer of the 3D array represents a block of the main, sub- or superdiagonal. (Which means that the blocks will have to be of the same size.) The result will be a sparse matrix, so it should be rather efficient in terms of memory.
An example usage would be:
As = bsxfun(@times,ones(3),permute(1:3,[3,1,2]));
Bs = bsxfun(@times,ones(3),permute(10:11,[3,1,2]));
M = blktridiag(As, zeros(size(Bs)), Bs);
where full(M)
gives you:
1 1 1 10 10 10 0 0 0
1 1 1 10 10 10 0 0 0
1 1 1 10 10 10 0 0 0
0 0 0 2 2 2 11 11 11
0 0 0 2 2 2 11 11 11
0 0 0 2 2 2 11 11 11
0 0 0 0 0 0 3 3 3
0 0 0 0 0 0 3 3 3
0 0 0 0 0 0 3 3 3