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OpenSoT provides an API to setup and solve generic Least-Squares like optimization problems in the form:
with x∈Rn, A∈Rm×n, b∈Rm, W∈Rm×m, c∈Rn, C∈Rl×n, dm and dM∈Rl, and ϵ∈R+. This optimization problem is equivalent to the following QP problem:
with H=ATWA+ϵI and gT=cT−2bTWA, and can be solved by dedicated solvers.