[Python] Error while running constraints optimization using cvxpy

I faced some issues when doing constrainted optmiziation. Use CVXPY Variables in Optimization: I'll set the unknown values (NaNs) to be part of the CVXPY optimization variable.

import cvxpy as cp
import numpy as np

def optimize_x_simple(A, x_values):
# Convert the list to a numpy array
x_values = np.array(x_values, dtype=float)

# Identify which entries are NaN (unknown)
known_mask = np.isnan(x_values)

# Set up CVXPY variables for the unknowns
x_unknown = cp.Variable(np.sum(known_mask), nonneg=True) # only unknown values are optimized

# Replace known values (non-NaN) in x with their values
x_full = np.copy(x_values)

# The indices of the unknown values
unknown_indices = np.where(known_mask)[0]

# Construct the full vector with CVXPY variables for unknowns
for idx, unknown_idx in enumerate(unknown_indices):
x_full[unknown_idx] = x_unknown[idx]

# Compute b = A @ x, where x is the full vector
b = A @ x_full

# Define the constraints: 1.0 <= b_i <= 2.0 for each entry in b
constraints = [b >= 1.0, b <= 2.0]

# Define the objective function: minimize the sum of unknown values (just an example)
objective = cp.Minimize(cp.sum(x_unknown))

# Create the optimization problem
problem = cp.Problem(objective, constraints)

# Solve the optimization problem
problem.solve()

if problem.status != cp.OPTIMAL:
raise ValueError(f"Optimization failed: {problem.status}")

# Replace optimized values back into the result
x_optimized = np.copy(x_full)
for idx, unknown_idx in enumerate(unknown_indices):
x_optimized[unknown_idx] = x_unknown.value[idx]

return x_optimized, b.value


# Example usage:
A = np.random.randn(5895, 393) # Replace with your actual A matrix
x_example = [0.1, 0.2, np.nan, 0.1, 0.0] # Example input with NaN for unknowns

# Call the optimization function
x_optimized, b_vector = optimize_x_simple(A, x_example)

# Print the optimized x and resulting b
print("Optimized x:", x_optimized)
print("Result b:", b_vector)


# Construct the full vector with CVXPY variables for unknowns
for idx, unknown_idx in enumerate(unknown_indices):
x_full[unknown_idx] = x_unknown[idx]

ValueError: setting an array element with a sequence.


How do I solve the above error?

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