I hope it’s ok to revive this discussion, which was just brought to my attention. In case others are looking for ways to solve constrained linear least-squares problems, a solid option is our interior-point solver RipQP.jl. There are more details in a related thread. Instead of repeating, here are links to the relevant bits:
- Formulate your constrained problem like so: How to solve a large quadratic programming problem - #11 by dpo
- Example with code: How to solve a large quadratic programming problem - #15 by geoffroyleconte