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

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

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

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