A symmetric matrix A is completely positive (CP) if there exists an entrywise nonnegative matrix V such that A = V V T . In this paper, we study the CP-matrix approximation problem of projecting a matrix onto the intersection of a set of linear constraints and the cone of CP matrices. We formulate the problem as the linear optimization with the norm cone and the cone of moments. A semidefinite algorithm is presented for the problem. A CP-decomposition of the projection matrix can also be obtained if the problem is feasible.Both CP n and COP n are proper cones (i.e. closed, pointed, convex and fulldimensional). Moreover, they are dual to each other [17]. A variety of NP-hard problems can be formulated as optimization problems over the completely positive cone or the copositive cone. Interested readers are referred to [2,6,7,8,4,12,15] for the work in the field.The important applications of the CP cone motivate people to study whether a matrix is CP or not. However, checking the membership in CP n has been shown NPhard, while checking the membership in COP n co-NP-hard [13,26]. It is generally difficult to treat CP n (or COP n ) directly. A standard approach is to approximate 2000 Mathematics Subject Classification. Primary: 90C20, 90C22, 90C26.