Which optimization package to use for constrained least squares?

[odow]

You can use Ipopt and JuMP for this

using JuMP, Ipopt
model = Model(Ipopt.Optimizer)
@variable(model, lower[i] <= x[i=1:size(A, 2)] <= upper[I])
@constraint(model, sum(x) <= 1)
@objective(model, Min, sum((A * x - b).^2))
optimize!(model)
value.(x)