Intro

OpenSoT provides an API to setup and solve generic Least-Squares like optimization problems in the form:

minxAxbW+cTx+ϵxs.t.dmCxdM

with xRn, ARm×n, bRm, WRm×m, cRn, CRl×n, dm and dMRl, and ϵR+. This optimization problem is equivalent to the following QP problem:

minxxTHx+gTxs.t.dmCxdM

with H=ATWA+ϵI and gT=cT2bTWA, and can be solved by dedicated solvers.