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There are two ways to install. It's simplest to use a pre-built package. If there isn't one, you'll need to install by building the source code. The source code builds and has been tested on Ubuntu 10.10, Fedora 10, Windows XP, and OS X 10.5 and 10.6 on both 32 and 64-bit machines. If a pre-built installer is available for your system, it will be found here.
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With the path properly adjusted, one can use the doc or help commands in Matlab to learn how to use these commands. These call mex functions which may need to be built for your system. See the buildmex.m script for guidance.