When running the script install_sedumi with Octave on Linux, it fails with the unhelpful error message "Compilation failed." To find out what was going on, I ran the manually the compilation command "mex -O2 -DOCTAVE -Wall -I/usr/include/openblas bwblkslv.c sdmauxFill.c sdmauxRdot.c", which then told me simply that I needed to install "liboctave-dev" in order to be able to build octofiles.

It would be nice if you would let this error message get through, as it is very easy to fix and then the compilation works. Perhaps it's worth remarking that I had done the default install of Octave, and it does not include liboctave-dev.