Searching for patterns in a noisy string/sequence
Fast Nearest Neighbours
The toolbox is distributed with my textbook and contains routines for inference and learning in graphical models and machine learning, more up to date than the routines below.
The toolbox contains all the routines below and also code for clique matrix decompositions.
If you're looking for the code for clique matrix decompositions, please see the BRMLtoolbox.
pPCA with missing data MATLAB software
A full and variational EM treatment of pPCA. The variational method can deal with large amounts of missing data. The method is a simple modification of EM for pPCA. See my lecture notes for an explanation.