CVXOPT
From OpenOpt
A Python Package for Convex Optimization
Authors: Joachim Dahl, Lieven Vandenberghe
License: GPL3 or any above
Supported Platforms: Linux (native), Windows.
Source Languages: C, Python
API Languages: Python
Install issues:
- First of all try using software channels (like "apt-get install python-cvxopt")
- If you are installing from source, ensure
- you have blas, lapack, blas-dev and lapack-dev packages installed
- for glpk and DSDP you should ajust the variables BUILD_GLPK, BUILD_DSDP, GLPK_LIB_DIR etc in /src/setup.py
Homepage: 
Also, you could be interested in the book (in pdf) "Convex Optimization" by Stephen Boyd and Lieven Vandenberghe
