Unit test failure for inflation

[odunbar]

On a Mac, and Julia 1.6.6

line 522 of test/EnsembleKalmanProcesses/runtests.jl.

Causes Domain-error with eigmax, (as well as the desired warning)

co-authored with @anagha548

[eviatarbach]

Which test is failing specifically? Line 522 in test/EnsembleKalmanProcesses/runtests.jl in the latest version is not related to localization, nor eigendecomposition.

[odunbar]

Oh my apologies @eviatarbach, it's for inflation not localization, perhaps @ilopezgp knows. The test is indeed on those lines

EnsembleKalmanProcesses.jl/test/EnsembleKalmanProcess/runtests.jl

Line 522 in 7dcaa5c

@test_logs (:warn,) sample_empirical_gaussian(u, 2)

This calls

EnsembleKalmanProcesses.jl/src/EnsembleKalmanProcess.jl

Lines 294 to 310 in 7dcaa5c

	function sample_empirical_gaussian(
	u::AbstractMatrix{FT},
	n::IT;
	inflation::Union{FT, Nothing} = nothing,
	) where {FT <: Real, IT <: Int}
	cov_u_new = cov(u, u, dims = 2)
	if !isposdef(cov_u_new)
	@warn string("Sample covariance matrix over ensemble is singular.", "\n Appplying variance inflation.")
	if isnothing(inflation)
	# Reduce condition number to 1/sqrt(eps(FT))
	inflation = eigmax(cov_u_new) * sqrt(eps(FT))
	end
	cov_u_new = cov_u_new + inflation * I
	end
	mean_u_new = mean(u, dims = 2)
	return rand(MvNormal(mean_u_new[:], cov_u_new), n)
	end

The test is trying to get the warning for line 301, (which it does return) but then it also gives a DomainError in eigmax in line 304

[ilopezgp]

Based on the docs, I think the DomainError came from the floating point errors that made some of the eigenvalues complex. I will just cast it to Symmetric, since it is a covariance.