Bug in linalg jitchol!!!

GPy/testing/linalg_test.py

@@ -0,0 +1,35 @@
+import numpy as np
+import scipy as sp
+from ..util.linalg import jitchol
+
+class LinalgTests(np.testing.TestCase):
+    def setUp(self):
+        #Create PD matrix
+        A = np.random.randn(20,100)
+        self.A = A.dot(A.T)
+        #compute Eigdecomp
+        vals, vectors = np.linalg.eig(self.A)
+        #Set smallest eigenval to be negative with 5 rounds worth of jitter
+        vals[vals.argmin()] = 0
+        default_jitter = 1e-6*np.mean(vals)
+        vals[vals.argmin()] = -default_jitter*(10**3.5)
+        self.A_corrupt = (vectors * vals).dot(vectors.T)
+
+    def test_jitchol_success(self):
+        """
+        Expect 5 rounds of jitter to be added and for the recovered matrix to be
+        identical to the corrupted matrix apart from the jitter added to the diagonal
+        """
+        L = jitchol(self.A_corrupt, maxtries=5)
+        A_new = L.dot(L.T)
+        diff = A_new - self.A_corrupt
+        np.testing.assert_allclose(diff, np.eye(A_new.shape[0])*np.diag(diff).mean(), atol=1e-13)
+
+    def test_jitchol_failure(self):
+        try:
+            """ Expecting an exception to be thrown as we expect it to require
+            5 rounds of jitter to be added to enforce PDness"""
+            jitchol(self.A_corrupt, maxtries=4)
+            return False
+        except sp.linalg.LinAlgError:
+            return True