Warning for sigma that is not positive semi-definite

[asheshrambachan]

Warning for sigma that is not positive semi-definite

[mcaceresb]

@jonathandroth Sigma is also symmetric so I can just check the eigenvalues, right? The simple version is fairly quick to code. See PR #37.

[jonathandroth]

Well, it *should* be symmetric but I guess we can check that too. If the smallest eigenvalue is very small (e.g. from numerical precision errors), then things *might* run okay since we only run into problems if gamma' Sigma gamma <= 0. So maybe a warning is okay? Don't have a strong opinion. On the topic of checks, do we currently check that betahat, sigma, and l_vec all have conformable dimensions?

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[mcaceresb]

@jonathandroth

Well, it should be symmetric but I guess we can check that too. If the smallest eigenvalue is very small (e.g. from numerical precision errors), then things might run okay since we only run into problems if gamma' Sigma gamma <= 0. So maybe a warning is okay? Don't have a strong opinion.

How about

• Stop if not symmetric,
• Warn if not PSD or if any eigenvalue close to 0

On the topic of checks, do we currently check that betahat, sigma, and l_vec all have conformable dimensions?

Not sure; will have a look.

[mcaceresb]

@jonathandroth Added in #39