I will demo Peter Pan's answer here and I show first a working experiment with external package. Building the ZIP Bundle for the external package CVXPY was not that straight-forward but educational.
Demo about external package using ZIP Bundle in Azure ML
This is a working example about using an additional package in Python Script module provided by Smit Shah
https://gallery.cortanaintelligence.com/Experiment/Python-additional-package
where 

[Information]         Extracting Script Bundle.zip to .\Script Bundle
[Information]         File Name                                             Modified             Size
[Information]         adal/__init__.py                               2017-05-01 10:03:04         1822
[Information]         adal/__init__.pyc                              2017-05-01 10:03:12          629
[Information]         adal/adal_error.py                             2017-05-01 10:03:04         1553
[Information]         adal/adal_error.pyc                            2017-05-01 10:03:12          685
[Information]         adal/argument.py                               2017-05-01 10:03:04         2023
[Information]         adal/argument.pyc                              2017-05-01 10:03:12          837
[Information]         adal/authentication_context.py                 2017-05-01 10:03:04        13766
[Information]         adal/authentication_context.pyc                2017-05-01 10:03:12        14198
[Information]         adal/authentication_parameters.py              2017-05-01 10:03:04         8195
[Information]         adal/authentication_parameters.pyc             2017-05-01 10:03:12         4820
[Information]         adal/authority.py                              2017-05-01 10:03:04         6908
[Information]         adal/authority.pyc                             2017-05-01 10:03:12         6091
[Information]         adal/cache_driver.py                           2017-05-01 10:03:04         9773
[Information]         adal/cache_driver.pyc                          2017-05-01 10:03:12         9293
[Information]         adal/code_request.py                           2017-05-01 10:03:04         2744
[Information]         adal/code_request.pyc                          2017-05-01 10:03:12         2225
[Information]         adal/constants.py                              2017-05-01 10:03:04         7359
[Information]         adal/constants.pyc                             2017-05-01 10:03:12         9305
[Information]         adal/log.py                                    2017-05-01 10:03:04         4058
[Information]         adal/log.pyc                                   2017-05-01 10:03:12         3699
[Information]         adal/mex.py                                    2017-05-01 10:03:04        11186
[Information]         adal/mex.pyc                                   2017-05-01 10:03:12         8804
[Information]         adal/oauth2_client.py                          2017-05-01 10:03:04        14196
[Information]         adal/oauth2_client.pyc                         2017-05-01 10:03:12        11619
[Information]         adal/self_signed_jwt.py                        2017-05-01 10:03:04         4823
[Information]         adal/self_signed_jwt.pyc                       2017-05-01 10:03:12         5301
[Information]         adal/token_cache.py                            2017-05-01 10:03:04         4761
[Information]         adal/token_cache.pyc                           2017-05-01 10:03:12         4883
[Information]         adal/token_request.py                          2017-05-01 10:03:04        17703
[Information]         adal/token_request.pyc                         2017-05-01 10:03:12        15096
[Information]         adal/user_realm.py                             2017-05-01 10:03:04         6362
[Information]         adal/user_realm.pyc                            2017-05-01 10:03:12         5325
[Information]         adal/util.py                                   2017-05-01 10:03:04         3567
[Information]         adal/util.pyc                                  2017-05-01 10:03:12         2723
[Information]         adal/wstrust_request.py                        2017-05-01 10:03:04         8402
[Information]         adal/wstrust_request.pyc                       2017-05-01 10:03:12         6816
[Information]         adal/wstrust_response.py                       2017-05-01 10:03:04         8751
[Information]         adal/wstrust_response.pyc                      2017-05-01 10:03:12         5467
[Information]         adal/xmlutil.py                                2017-05-01 10:03:04         2806
[Information]         adal/xmlutil.pyc                               2017-05-01 10:03:12         2309
[Information]         cryptography/__about__.py                      2017-04-27 17:51:38          817
[Information]         cryptography/__about__.pyc                     2017-04-27 17:51:50          892
[Information]         cryptography/__init__.py                       2017-04-27 17:51:38          829
[Information]         cryptography/__init__.pyc                      2017-04-27 17:51:50          962
[Information]         cryptography/exceptions.py                     2017-04-27 17:51:38         1234
[Information]         cryptography/exceptions.pyc                    2017-04-27 17:51:50         3406
[Information]         cryptography/fernet.py                         2017-04-27 17:51:38         4305
[Information]         cryptography/fernet.pyc                        2017-04-27 17:51:50         5670
[Information]         cryptography/hazmat/                           2017-04-27 17:51:50            0
[Information]         cryptography/hazmat/__init__.py                2017-04-27 17:51:38          483
[Information]         cryptography/hazmat/__init__.pyc               2017-04-27 17:51:50          560
[Information]         cryptography/hazmat/backends/                  2017-04-27 17:51:50            0
[Information]         cryptography/hazmat/backends/__init__.py       2017-04-27 17:51:38         2403
[Information]         cryptography/hazmat/backends/__init__.pyc      2017-04-27 17:51:50         1783
[Information]         cryptography/hazmat/backends/commoncrypto/     2017-04-27 17:51:50            0
[Information]         cryptography/hazmat/backends/commoncrypto/__init__.py 2017-04-27 17:51:38          341
[Information]         cryptography/hazmat/backends/commoncrypto/__init__.pyc 2017-04-27 17:51:50          448
[Information]         cryptography/hazmat/backends/commoncrypto/backend.py 2017-04-27 17:51:38         8840
[Information]         cryptography/hazmat/backends/commoncrypto/backend.pyc 2017-04-27 17:51:50         9402
[Information]         cryptography/hazmat/backends/commoncrypto/ciphers.py 2017-04-27 17:51:38         9362
[Information]         cryptography/hazmat/backends/commoncrypto/ciphers.pyc 2017-04-27 17:51:50         8265
[Information]         cryptography/hazmat/backends/commoncrypto/hashes.py 2017-04-27 17:51:38         2040
[Information]         cryptography/hazmat/backends/commoncrypto/hashes.pyc 2017-04-27 17:51:50         2884
[Information]         cryptography/hazmat/backends/commoncrypto/hmac.py 2017-04-27 17:51:38         2188
[Information]         cryptography/hazmat/backends/commoncrypto/hmac.pyc 2017-04-27 17:51:50         3231
[Information]         cryptography/hazmat/backends/interfaces.py     2017-04-27 17:51:38        10493
[Information]         cryptography/hazmat/backends/interfaces.pyc    2017-04-27 17:51:50        21555
[Information]         cryptography/hazmat/backends/multibackend.py   2017-04-27 17:51:38        19700
[Information]         cryptography/hazmat/backends/multibackend.pyc  2017-04-27 17:51:50        25269
[Information]         cryptography/hazmat/backends/openssl/          2017-04-27 17:51:50            0
[Information]         cryptography/hazmat/backends/openssl/__init__.py 2017-04-27 17:51:38          336
[Information]         cryptography/hazmat/backends/openssl/__init__.pyc 2017-04-27 17:51:50          438
[Information]         cryptography/hazmat/backends/openssl/backend.py 2017-04-27 17:51:38        68646
[Information]         cryptography/hazmat/backends/openssl/backend.pyc 2017-04-27 17:51:50        64293
[Information]         cryptography/hazmat/backends/openssl/ciphers.py 2017-04-27 17:51:38         7665
[Information]         cryptography/hazmat/backends/openssl/ciphers.pyc 2017-04-27 17:51:50         6101
[Information]         cryptography/hazmat/backends/openssl/cmac.py   2017-04-27 17:51:38         2797
[Information]         cryptography/hazmat/backends/openssl/cmac.pyc  2017-04-27 17:51:50         3668
[Information]         cryptography/hazmat/backends/openssl/decode_asn1.py 2017-04-27 17:51:38        29210
[Information]         cryptography/hazmat/backends/openssl/decode_asn1.pyc 2017-04-27 17:51:50        28941
[Information]         cryptography/hazmat/backends/openssl/dh.py     2017-04-27 17:51:38         9945
[Information]         cryptography/hazmat/backends/openssl/dh.pyc    2017-04-27 17:51:50        10966
[Information]         cryptography/hazmat/backends/openssl/dsa.py    2017-04-27 17:51:38        10044
[Information]         cryptography/hazmat/backends/openssl/dsa.pyc   2017-04-27 17:51:50        12467
[Information]         cryptography/hazmat/backends/openssl/ec.py     2017-04-27 17:51:38         9914
[Information]         cryptography/hazmat/backends/openssl/ec.pyc    2017-04-27 17:51:50        12615
[Information]         cryptography/hazmat/backends/openssl/encode_asn1.py 2017-04-27 17:51:38        22285
[Information]         cryptography/hazmat/backends/openssl/encode_asn1.pyc 2017-04-27 17:51:50        22267
[Information]         cryptography/hazmat/backends/openssl/hashes.py 2017-04-27 17:51:38         2532
[Information]         cryptography/hazmat/backends/openssl/hashes.pyc 2017-04-27 17:51:50         3185
[Information]         cryptography/hazmat/backends/openssl/hmac.py   2017-04-27 17:51:38         2980
[Information]         cryptography/hazmat/backends/openssl/hmac.pyc  2017-04-27 17:51:50         3732
[Information]         cryptography/hazmat/backends/openssl/rsa.py    2017-04-27 17:51:38        18610
[Information]         cryptography/hazmat/backends/openssl/rsa.pyc   2017-04-27 17:51:50        17931
[Information]         cryptography/hazmat/backends/openssl/utils.py  2017-04-27 17:51:38          862
[Information]         cryptography/hazmat/backends/openssl/utils.pyc 2017-04-27 17:51:50         1088
[Information]         cryptography/hazmat/backends/openssl/x509.py   2017-04-27 17:51:38        15804
[Information]         cryptography/hazmat/backends/openssl/x509.pyc  2017-04-27 17:51:50        23091
[Information]         cryptography/hazmat/bindings/                  2017-04-27 17:51:50            0
[Information]         cryptography/hazmat/bindings/__init__.py       2017-04-27 17:51:38          246
[Information]         cryptography/hazmat/bindings/__init__.pyc      2017-04-27 17:51:50          313
[Information]         cryptography/hazmat/bindings/_constant_time.pyd 2017-04-27 17:51:38         8192
[Information]         cryptography/hazmat/bindings/_openssl.pyd      2017-04-27 17:51:38      2754560
[Information]         cryptography/hazmat/bindings/_padding.pyd      2017-04-27 17:51:38         8704
[Information]         cryptography/hazmat/bindings/commoncrypto/     2017-04-27 17:51:50            0
[Information]         cryptography/hazmat/bindings/commoncrypto/__init__.py 2017-04-27 17:51:38          246
[Information]         cryptography/hazmat/bindings/commoncrypto/__init__.pyc 2017-04-27 17:51:50          326
[Information]         cryptography/hazmat/bindings/commoncrypto/binding.py 2017-04-27 17:51:38          410
[Information]         cryptography/hazmat/bindings/commoncrypto/binding.pyc 2017-04-27 17:51:50          785
[Information]         cryptography/hazmat/bindings/openssl/          2017-04-27 17:51:50            0
[Information]         cryptography/hazmat/bindings/openssl/__init__.py 2017-04-27 17:51:38          246
[Information]         cryptography/hazmat/bindings/openssl/__init__.pyc 2017-04-27 17:51:50          321
[Information]         cryptography/hazmat/bindings/openssl/_conditional.py 2017-04-27 17:51:38         8854
[Information]         cryptography/hazmat/bindings/openssl/_conditional.pyc 2017-04-27 17:51:50         8138
[Information]         cryptography/hazmat/bindings/openssl/binding.py 2017-04-27 17:51:38         5067
[Information]         cryptography/hazmat/bindings/openssl/binding.pyc 2017-04-27 17:51:50         5118
[Information]         cryptography/hazmat/primitives/                2017-04-27 17:51:50            0
[Information]         cryptography/hazmat/primitives/__init__.py     2017-04-27 17:51:38          246
[Information]         cryptography/hazmat/primitives/__init__.pyc    2017-04-27 17:51:50          315
[Information]         cryptography/hazmat/primitives/asymmetric/     2017-04-27 17:51:50            0
[Information]         cryptography/hazmat/primitives/asymmetric/__init__.py 2017-04-27 17:51:38         1020
[Information]         cryptography/hazmat/primitives/asymmetric/__init__.pyc 2017-04-27 17:51:50         2305
[Information]         cryptography/hazmat/primitives/asymmetric/dh.py 2017-04-27 17:51:38         5093
[Information]         cryptography/hazmat/primitives/asymmetric/dh.pyc 2017-04-27 17:51:50        10298
[Information]         cryptography/hazmat/primitives/asymmetric/dsa.py 2017-04-27 17:51:38         6890
[Information]         cryptography/hazmat/primitives/asymmetric/dsa.pyc 2017-04-27 17:51:50        13468
[Information]         cryptography/hazmat/primitives/asymmetric/ec.py 2017-04-27 17:51:38         9570
[Information]         cryptography/hazmat/primitives/asymmetric/ec.pyc 2017-04-27 17:51:50        18550
[Information]         cryptography/hazmat/primitives/asymmetric/padding.py 2017-04-27 17:51:38         2261
[Information]         cryptography/hazmat/primitives/asymmetric/padding.pyc 2017-04-27 17:51:50         4322
[Information]         cryptography/hazmat/primitives/asymmetric/rsa.py 2017-04-27 17:51:38        10226
[Information]         cryptography/hazmat/primitives/asymmetric/rsa.pyc 2017-04-27 17:51:50        15084
[Information]         cryptography/hazmat/primitives/asymmetric/utils.py 2017-04-27 17:51:38         1704
[Information]         cryptography/hazmat/primitives/asymmetric/utils.pyc 2017-04-27 17:51:50         2984
[Information]         cryptography/hazmat/primitives/ciphers/        2017-04-27 17:51:50            0
[Information]         cryptography/hazmat/primitives/ciphers/__init__.py 2017-04-27 17:51:38          574
[Information]         cryptography/hazmat/primitives/ciphers/__init__.pyc 2017-04-27 17:51:50          654
[Information]         cryptography/hazmat/primitives/ciphers/algorithms.py 2017-04-27 17:51:38         3424
[Information]         cryptography/hazmat/primitives/ciphers/algorithms.pyc 2017-04-27 17:51:50         7930
[Information]         cryptography/hazmat/primitives/ciphers/base.py 2017-04-27 17:51:38         7663
[Information]         cryptography/hazmat/primitives/ciphers/base.pyc 2017-04-27 17:51:50        12557
[Information]         cryptography/hazmat/primitives/ciphers/modes.py 2017-04-27 17:51:38         5517
[Information]         cryptography/hazmat/primitives/ciphers/modes.pyc 2017-04-27 17:51:50         9165
[Information]         cryptography/hazmat/primitives/cmac.py         2017-04-27 17:51:38         2235
[Information]         cryptography/hazmat/primitives/cmac.pyc        2017-04-27 17:51:50         3192
[Information]         cryptography/hazmat/primitives/constant_time.py 2017-04-27 17:51:38          798
[Information]         cryptography/hazmat/primitives/constant_time.pyc 2017-04-27 17:51:50         1237
[Information]         cryptography/hazmat/primitives/hashes.py       2017-04-27 17:51:38         5081
[Information]         cryptography/hazmat/primitives/hashes.pyc      2017-04-27 17:51:50         9263
[Information]         cryptography/hazmat/primitives/hmac.py         2017-04-27 17:51:38         2353
[Information]         cryptography/hazmat/primitives/hmac.pyc        2017-04-27 17:51:50         3322
[Information]         cryptography/hazmat/primitives/interfaces/     2017-04-27 17:51:50            0
[Information]         cryptography/hazmat/primitives/interfaces/__init__.py 2017-04-27 17:51:38          884
[Information]         cryptography/hazmat/primitives/interfaces/__init__.pyc 2017-04-27 17:51:50         1961
[Information]         cryptography/hazmat/primitives/kdf/            2017-04-27 17:51:50            0
[Information]         cryptography/hazmat/primitives/kdf/__init__.py 2017-04-27 17:51:38          771
[Information]         cryptography/hazmat/primitives/kdf/__init__.pyc 2017-04-27 17:51:50         1473
[Information]         cryptography/hazmat/primitives/kdf/concatkdf.py 2017-04-27 17:51:38         4109
[Information]         cryptography/hazmat/primitives/kdf/concatkdf.pyc 2017-04-27 17:51:50         5908
[Information]         cryptography/hazmat/primitives/kdf/hkdf.py     2017-04-27 17:51:38         3674
[Information]         cryptography/hazmat/primitives/kdf/hkdf.pyc    2017-04-27 17:51:50         4986
[Information]         cryptography/hazmat/primitives/kdf/kbkdf.py    2017-04-27 17:51:38         5017
[Information]         cryptography/hazmat/primitives/kdf/kbkdf.pyc   2017-04-27 17:51:50         5610
[Information]         cryptography/hazmat/primitives/kdf/pbkdf2.py   2017-04-27 17:51:38         2185
[Information]         cryptography/hazmat/primitives/kdf/pbkdf2.pyc  2017-04-27 17:51:50         2813
[Information]         cryptography/hazmat/primitives/kdf/scrypt.py   2017-04-27 17:51:38         2252
[Information]         cryptography/hazmat/primitives/kdf/scrypt.pyc  2017-04-27 17:51:50         2957
[Information]         cryptography/hazmat/primitives/kdf/x963kdf.py  2017-04-27 17:51:38         2363
[Information]         cryptography/hazmat/primitives/kdf/x963kdf.pyc 2017-04-27 17:51:50         3296
[Information]         cryptography/hazmat/primitives/keywrap.py      2017-04-27 17:51:38         3050
[Information]         cryptography/hazmat/primitives/keywrap.pyc     2017-04-27 17:51:50         3136
[Information]         cryptography/hazmat/primitives/padding.py      2017-04-27 17:51:38         5736
[Information]         cryptography/hazmat/primitives/padding.pyc     2017-04-27 17:51:50        10471
[Information]         cryptography/hazmat/primitives/serialization.py 2017-04-27 17:51:38         5288
[Information]         cryptography/hazmat/primitives/serialization.pyc 2017-04-27 17:51:50         8668
[Information]         cryptography/hazmat/primitives/twofactor/      2017-04-27 17:51:50            0
[Information]         cryptography/hazmat/primitives/twofactor/__init__.py 2017-04-27 17:51:38          288
[Information]         cryptography/hazmat/primitives/twofactor/__init__.pyc 2017-04-27 17:51:50          607
[Information]         cryptography/hazmat/primitives/twofactor/hotp.py 2017-04-27 17:51:38         2589
[Information]         cryptography/hazmat/primitives/twofactor/hotp.pyc 2017-04-27 17:51:50         3808
[Information]         cryptography/hazmat/primitives/twofactor/totp.py 2017-04-27 17:51:38         1594
[Information]         cryptography/hazmat/primitives/twofactor/totp.pyc 2017-04-27 17:51:50         2637
[Information]         cryptography/hazmat/primitives/twofactor/utils.py 2017-04-27 17:51:38          954
[Information]         cryptography/hazmat/primitives/twofactor/utils.pyc 2017-04-27 17:51:50         1208
[Information]         cryptography/utils.py                          2017-04-27 17:51:38         4130
[Information]         cryptography/utils.pyc                         2017-04-27 17:51:50         6969
[Information]         cryptography/x509/                             2017-04-27 17:51:50            0
[Information]         cryptography/x509/__init__.py                  2017-04-27 17:51:38         6857
[Information]         cryptography/x509/__init__.pyc                 2017-04-27 17:51:50         6944
[Information]         cryptography/x509/base.py                      2017-04-27 17:51:38        23315
[Information]         cryptography/x509/base.pyc                     2017-04-27 17:51:50        31205
[Information]         cryptography/x509/extensions.py                2017-04-27 17:51:38        37228
[Information]         cryptography/x509/extensions.pyc               2017-04-27 17:51:50        59587
[Information]         cryptography/x509/general_name.py              2017-04-27 17:51:38         7519
[Information]         cryptography/x509/general_name.pyc             
...
2017-04-27 11:28:02        21986
[Information]         dateutil/relativedelta.pyc                     2017-04-27 11:28:06        17516
[Information]         dateutil/rrule.py                              2017-04-27 11:28:02        61792
[Information]         dateutil/rrule.pyc                             2017-04-27 11:28:06        48786
[Information]         dateutil/tz/                                   2017-04-27 11:28:06            0
[Information]         dateutil/tz/__init__.py                        2017-04-27 11:28:02          145
[Information]         dateutil/tz/__init__.pyc                       2017-04-27 11:28:06          379
[Information]         dateutil/tz/_common.py                         2017-04-27 11:28:02        11744
[Information]         dateutil/tz/_common.pyc                        2017-04-27 11:28:06        13900
[Information]         dateutil/tz/tz.py                              2017-04-27 11:28:02        48924
[Information]         dateutil/tz/tz.pyc                             2017-04-27 11:28:06        44590
[Information]         dateutil/tz/win.py                             2017-04-27 11:28:02        11466
[Information]         dateutil/tz/win.pyc                            2017-04-27 11:28:06        12475
[Information]         dateutil/tzwin.py                              2017-04-27 11:28:02           58
[Information]         dateutil/tzwin.pyc                             2017-04-27 11:28:06          211
[Information]         dateutil/zoneinfo/                             2017-04-27 11:28:06            0
[Information]         dateutil/zoneinfo/__init__.py                  2017-04-27 11:28:02         6810
[Information]         dateutil/zoneinfo/__init__.pyc                 2017-04-27 11:28:06         7654
[Information]         dateutil/zoneinfo/dateutil-zoneinfo.tar.gz     2017-04-27 11:28:02       139671
[Information]         dateutil/zoneinfo/rebuild.py                   2017-04-27 11:28:02         1688
[Information]         dateutil/zoneinfo/rebuild.pyc                  2017-04-27 11:28:06         2239
[Information]         jwt/__init__.py                                2017-06-06 14:51:08          738
[Information]         jwt/__init__.pyc                               2017-06-06 14:51:08         1177
[Information]         jwt/__main__.py                                2017-06-06 14:51:08         3585
[Information]         jwt/__main__.pyc                               2017-06-06 14:51:08         3120
[Information]         jwt/algorithms.py                              2017-06-06 14:51:08        13758
[Information]         jwt/algorithms.pyc                             2017-06-06 14:51:08        14450
[Information]         jwt/api_jws.py                                 2017-06-06 14:51:08         7133
[Information]         jwt/api_jws.pyc                                2017-06-06 14:51:08         7462
[Information]         jwt/api_jwt.py                                 2017-06-06 14:51:08         6547
[Information]         jwt/api_jwt.pyc                                2017-06-06 14:51:08         6842
[Information]         jwt/compat.py                                  2017-06-06 14:51:08         1784
[Information]         jwt/compat.pyc                                 2017-06-06 14:51:08         2253
[Information]         jwt/contrib/                                   2017-06-06 14:51:08            0
[Information]         jwt/contrib/__init__.py                        2017-06-06 14:51:08            0
[Information]         jwt/contrib/__init__.pyc                       2017-06-06 14:51:08          163
[Information]         jwt/contrib/algorithms/                        2017-06-06 14:51:08            0
[Information]         jwt/contrib/algorithms/__init__.py             2017-06-06 14:51:08            0
[Information]         jwt/contrib/algorithms/__init__.pyc            2017-06-06 14:51:08          174
[Information]         jwt/contrib/algorithms/py_ecdsa.py             2017-06-06 14:51:08         1771
[Information]         jwt/contrib/algorithms/py_ecdsa.pyc            2017-06-06 14:51:08         2406
[Information]         jwt/contrib/algorithms/pycrypto.py             2017-06-06 14:51:08         1250
[Information]         jwt/contrib/algorithms/pycrypto.pyc            2017-06-06 14:51:08         2325
[Information]         jwt/exceptions.py                              2017-06-06 14:51:08          841
[Information]         jwt/exceptions.pyc                             2017-06-06 14:51:08         2777
[Information]         jwt/utils.py                                   2017-06-06 14:51:08         2629
[Information]         jwt/utils.pyc                                  2017-06-06 14:51:08         4204
so the ZIP bundle has been done in a specific way such that packages' dist-info folders are removed and only the folders having the exact name of the package is included

by which I was able to run import cvxpy, notice that new packages multiplocess and CVXCanon are included. Yet in solving a problem, I got error with ecos module missing next. So I created a new directory ecos for all files found in the original ecos.*.wheel package so the updated ZIP Bundle looks like this

by which I was able to solve the following convex optimisation problem with DCP tool called CVXPY.

Code inside Python Script module that solves an optimisation problem with CVXPY in Azure ML
import pandas as pd
from cvxpy import *
import numpy
def azureml_main(dataframe1 = None, dataframe2 = None):
    # Problem data.
    m = 30
    n = 20
    numpy.random.seed(1)
    A = numpy.random.randn(m, n)
    b = numpy.random.randn(m)
    # Construct the problem.
    x = Variable(n)
    objective = Minimize(sum_squares(A*x - b))
    constraints = [0 <= x, x <= 1]
    prob = Problem(objective, constraints)
    # The optimal objective is returned by prob.solve().
    result = prob.solve()
    # The optimal value for x is stored in x.value.
    #print x.value
    # The optimal Lagrange multiplier for a constraint
    # is stored in constraint.dual_value.
    #print constraints[0].dual_value
    dataframe1=pd.DataFrame(numpy.zeros(1))
    dataframe1[0][0]=result
    # Return value must be of a sequence of pandas.DataFrame
    return dataframe1,
Further reading
- Notice that the code creates a Panda DataFrame with size one zero matrix, there may be more elegant way to do it, more in
Python Pandas DataFrame with only a single number stored?