SDLS: a Matlab package for solving conic least-squares problems SDLS is a Matlab freeware allowing to solve approximately convex conic least-squares problems. Geometrically, these problems amount to finding the projection of a point onto the intersection of a symmetric convex cone with an affine subspace. SDLS solves the dual problem with a quasi-Newton minimization algorithm, using an implementation of the BFGS algorithm. The other key numerical component is eigenvalue decomposition for symmetric matrices, achieved by Matlab’s built-in linear algebra functions. Note that SDLS may not be the most competitive implementation of this algorithm. Our first goal is to provide a simple, user-friendly software for solving and experimenting with general conic least-squares. Up to our knowledge, no such freeware existed when releasing the first version of SDLS.

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