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distance_to_set for PSD constraint #2727

@blegat

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@blegat

I thought that #2314 added all the distances of https://github.com/matbesancon/MathOptSetDistances.jl but it is missing https://github.com/matbesancon/MathOptSetDistances.jl/blob/master/src/distance_sets.jl#L276-L287
Was there any reason not to include it ?
Checking the distance to the PSD set can be used to check if the dual solution of SDPLR is feasible and hence if SDPLR found the optimal solution. See

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