Defining
$$
s_1(\lambda)=\lambda p_1+(1-\lambda)p_2\\
s_2(\mu) = \mu p_3+(1-\mu)p_4
$$
with $0\le \lambda\le 1$ and $0 \le \mu\le 1$ and with the help of four slack variables $\epsilon_1,\epsilon_2,\epsilon_3,\epsilon_4$ to handle the inequality restrictions, the problem can be stated using the Lagrange Multipliers as follows
$$
L(\lambda, \mu, \eta,\epsilon) = \frac{1}{2}||s_1(\lambda)-s_2(\mu)||^2+\eta_1 (\lambda-\epsilon_1^2) +\eta_2(\mu-\epsilon_2^2)+\eta_3(\lambda-1+\epsilon_3^2)+\eta_4(\mu-1+\epsilon_4^2)
$$
with the stationary conditions
$$
\nabla L = 0
$$
or
$$
\left\{
\begin{array}{rcl}
(p_2+\lambda(p_1-p_2))(p_1-p_2)+\eta_1 + \eta_3 & = & 0\\
(p_4+\mu(p_3-p_4))(p_3-p_4)+\eta_2 + \eta_4 & = & 0\\
\lambda-\epsilon_1^2 & = & 0\\
\mu-\epsilon_2^2 & = & 0\\
\lambda-1+\epsilon_3^2 & = & 0\\
\mu-1+\epsilon_4^2 & = & 0\\
\eta_1\epsilon_1 & = & 0\\
\eta_2\epsilon_2 & = & 0\\
\eta_3\epsilon_3 & = & 0\\
\eta_4\epsilon_4 & = & 0
\end{array}
\right.
$$
Solving those conditions we get the possible stationary points.