BUG: Check complib values
Add check for complib when opening a HDFStore

closes #4582
closes #8874

Using multiple compressors, e.g. `blosc:zlib`, resulted in corruption for me - also not sure why. So it seems safer to just prevent them being used and to enforce what the docs say are supported compressors.
 ok that's fine, move to a class variable though `_compressors`? to make maintenance easier in the future
 ping when green. I am going to cut 0.16.2 soon, so this will be last one :)
 merged via https://github.com/pydata/pandas/commit/3cdd1df36bdd7a49d629aaae70b65616ea702771

thanks!
