Oh! One other option: since you’re looking for close correspondences between two sorted lists, you could go through them both simultaneously, using a merge-like algorithm. This should be O(max(length(xm), length(xn)))-ish.
match_for_xn = zeros(length(xn), 1);
last_M = 1;
for N = 1:length(xn)
% search through M until we find a match.
for M = last_M:length(xm)
dist_to_curr = abs(xm(M) - xn(N));
dist_to_next = abs(xm(M+1) - xn(N));
if dist_to_next > dist_to_curr
match_for_xn(N) = M;
last_M = M;
break
else
continue
end
end % M
end % N
EDIT:
See @yuk’s comment, the above code is not totally correct!