ValueError: Objective function must return a scalar

Question

I am using SciPy to minimize the variance:

port_returns=[]
port_variance=[]
for p in range(4000):
    weights = np.random.random(5)
    weights /=np.sum(weights)
    port_returns.append(np.sum(returns.mean()*245*weights))
    port_variance.append(np.sqrt(np.dot(weights.T, np.dot(returns.cov()*245, weights))))

def min_variance(weights):
    return np.array(port_variance)

cons = {'type':'eq', 'fun':lambda x: np.sum(x)-1}    
bnds = tuple((0,1) for x in range(245))
optv = sco.minimize(min_variance, 245*[1.0/245,], method='SLSQP', 
                    bounds=bnds, constraints=cons)

I tried to run this function but got the error below:

File "D:\Python27\lib\site-packages\scipy\optimize\_minimize.py", line 458, in minimize
  constraints, callback=callback, **options)    
File "D:\Python27\lib\site-packages\scipy\optimize\slsqp.py", line 370, in _minimize_slsqp
  raise ValueError("Objective function must return a scalar")    
ValueError: Objective function must return a scalar

How can I return a scalar value?

How can I return a scalar value? Just do it :) Seriously, show us the implementation of the objective function min_variance and the data that goes in, then somebody may be able to tell you how to fix the problem. — MB-F
– MB-F, Commented May 17, 2017 at 6:08
Welcome to Stack Overflow! You can take the tour first and learn How to Ask a good question and create a Minimal, Complete, and Verifiable example. That makes it easier for us to help you. As a minimum, this question does not tell us what noa or min_variance is. — Stephen Rauch
– Stephen Rauch ♦, Commented May 17, 2017 at 6:10
"np.array([port_returns,port_variance,port_returns/port_variance])": you'll want to minimize one of these, not all three. — user707650
– user707650, Commented May 17, 2017 at 10:01
Even with the added code it's hard to tell what is your minimization variable. It sort of looks like weights but port_variance is calculated before hand. And as for the immediate error, min_variance returns an array, not a single 'cost' value. I suspect you need to step back and run some demo cases, to get a clearer idea of what this function is doing. — hpaulj
– hpaulj, Commented May 17, 2017 at 15:57

anuragsodhi · Accepted Answer · 2018-03-22 03:09:51Z

1

upgrade scipy to v1.0. It was a bug in 0.19

answered Mar 22, 2018 at 3:09

anuragsodhi

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