1. Add unit testing for crazier things like random invertible matrices.

2. Try to eliminate the code in matrices.py.

3. Make it work on a cartesian product of cones in the correct order.

4. Make it work on a cartesian product of cones in the wrong order
   (apply a perm utation before/after).

5. Make sure we have the dimensions of the PSD cone correct.

6. Come up with a fast heuristic (like making nu huge and taking e1 as
   our point) that finds a primal feasible point.