Under study is the problem of finding the nearest points from one ellipsoid to the other. Some new algorithms for solving this problem are constructed, using the theory of exact penalty functions and nonsmooth analysis. We propose two iterative methods of (steepest and hypodifferential) descent. The new algorithms (as compared with those previously known) have specific advantages; in particular, they are universal and less labor-consuming. Software for implementing these algorithms is developed inMATLAB and Maple.