Could not build wheel cvxopt

[lochness9]

Operating system, environment, python version
e.g Windows, anaconda, python3.8

What you tried
pip install pyportfolioopt

Error message

Copy paste the terminal message here
```C:\Users\sam sheeran>pip install pyportfolioopt
Collecting pyportfolioopt
  Using cached PyPortfolioOpt-1.4.0-py3-none-any.whl (52 kB)
Collecting cvxopt!=1.2.5.post1,<2.0,>=1.2
  Using cached cvxopt-1.2.5.tar.gz (6.7 MB)
Requirement already satisfied: scipy<2.0,>=1.3 in c:\users\sam sheeran\appdata\local\programs\python\python38-32\lib\site-packages (from pyportfolioopt) (1.4.1)
Requirement already satisfied: numpy<2.0,>=1.12 in c:\users\sam sheeran\appdata\local\programs\python\python38-32\lib\site-packages (from pyportfolioopt) (1.18.1)
Requirement already satisfied: cvxpy<2.0.0,>=1.1.10 in c:\users\sam sheeran\appdata\local\programs\python\python38-32\lib\site-packages (from pyportfolioopt) (1.1.10)
Requirement already satisfied: pandas>=0.19 in c:\users\sam sheeran\appdata\local\programs\python\python38-32\lib\site-packages (from pyportfolioopt) (1.0.3)
Requirement already satisfied: scs>=1.1.6 in c:\users\sam sheeran\appdata\roaming\python\python38\site-packages (from cvxpy<2.0.0,>=1.1.10->pyportfolioopt) (2.1.2)
Requirement already satisfied: ecos>=2 in c:\users\sam sheeran\appdata\roaming\python\python38\site-packages (from cvxpy<2.0.0,>=1.1.10->pyportfolioopt) (2.0.7.post1)
Requirement already satisfied: osqp>=0.4.1 in c:\users\sam sheeran\appdata\roaming\python\python38\site-packages (from cvxpy<2.0.0,>=1.1.10->pyportfolioopt) (0.6.1)
Requirement already satisfied: future in c:\users\sam sheeran\appdata\roaming\python\python38\site-packages (from osqp>=0.4.1->cvxpy<2.0.0,>=1.1.10->pyportfolioopt) (0.18.2)
Requirement already satisfied: python-dateutil>=2.6.1 in c:\users\sam sheeran\appdata\local\programs\python\python38-32\lib\site-packages (from pandas>=0.19->pyportfolioopt) (2.8.1)
Requirement already satisfied: pytz>=2017.2 in c:\users\sam sheeran\appdata\local\programs\python\python38-32\lib\site-packages (from pandas>=0.19->pyportfolioopt) (2019.3)
Requirement already satisfied: six>=1.5 in c:\users\sam sheeran\appdata\local\programs\python\python38-32\lib\site-packages (from python-dateutil>=2.6.1->pandas>=0.19->pyportfolioopt) (1.14.0)
Building wheels for collected packages: cvxopt
  Building wheel for cvxopt (setup.py) ... error
  ERROR: Command errored out with exit status 1:
   command: 'c:\users\sam sheeran\appdata\local\programs\python\python38-32\python.exe' -u -c 'import sys, setuptools, tokenize; sys.argv[0] = '"'"'C:\\Users\\sam sheeran\\AppData\\Local\\Temp\\pip-install-pj6iwdy1\\cvxopt_e0d2597e59194c3fbe93fc8631c25721\\setup.py'"'"'; __file__='"'"'C:\\Users\\sam sheeran\\AppData\\Local\\Temp\\pip-install-pj6iwdy1\\cvxopt_e0d2597e59194c3fbe93fc8631c25721\\setup.py'"'"';f=getattr(tokenize, '"'"'open'"'"', open)(__file__);code=f.read().replace('"'"'\r\n'"'"', '"'"'\n'"'"');f.close();exec(compile(code, __file__, '"'"'exec'"'"'))' bdist_wheel -d 'C:\Users\sam sheeran\AppData\Local\Temp\pip-wheel-kzp0rg92'
       cwd: C:\Users\sam sheeran\AppData\Local\Temp\pip-install-pj6iwdy1\cvxopt_e0d2597e59194c3fbe93fc8631c25721\
  Complete output (33 lines):
  running bdist_wheel
  running build
  running build_py
  creating build
  creating build\lib.win32-3.8
  creating build\lib.win32-3.8\cvxopt
  copying src\python\coneprog.py -> build\lib.win32-3.8\cvxopt
  copying src\python\cvxprog.py -> build\lib.win32-3.8\cvxopt
  copying src\python\info.py -> build\lib.win32-3.8\cvxopt
  copying src\python\misc.py -> build\lib.win32-3.8\cvxopt
  copying src\python\modeling.py -> build\lib.win32-3.8\cvxopt
  copying src\python\msk.py -> build\lib.win32-3.8\cvxopt
  copying src\python\printing.py -> build\lib.win32-3.8\cvxopt
  copying src\python\solvers.py -> build\lib.win32-3.8\cvxopt
  copying src\python\_version.py -> build\lib.win32-3.8\cvxopt
  copying src\python\__init__.py -> build\lib.win32-3.8\cvxopt
  UPDATING build\lib.win32-3.8\cvxopt/_version.py
  set build\lib.win32-3.8\cvxopt/_version.py to '1.2.5'
  running build_ext
  building 'base' extension
  creating build\temp.win32-3.8
  creating build\temp.win32-3.8\Release
  creating build\temp.win32-3.8\Release\src
  creating build\temp.win32-3.8\Release\src\C
  C:\Program Files (x86)\Microsoft Visual Studio\2019\BuildTools\VC\Tools\MSVC\14.28.29333\bin\HostX86\x86\cl.exe /c /nologo /Ox /W3 /GL /DNDEBUG /MD "-Ic:\users\sam sheeran\appdata\local\programs\python\python38-32\include" "-Ic:\users\sam sheeran\appdata\local\programs\python\python38-32\include" "-IC:\Program Files (x86)\Microsoft Visual Studio\2019\BuildTools\VC\Tools\MSVC\14.28.29333\include" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\ucrt" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\shared" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\um" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\winrt" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\cppwinrt" /Tcsrc/C/base.c /Fobuild\temp.win32-3.8\Release\src/C/base.obj
  base.c
  C:\Program Files (x86)\Microsoft Visual Studio\2019\BuildTools\VC\Tools\MSVC\14.28.29333\bin\HostX86\x86\cl.exe /c /nologo /Ox /W3 /GL /DNDEBUG /MD "-Ic:\users\sam sheeran\appdata\local\programs\python\python38-32\include" "-Ic:\users\sam sheeran\appdata\local\programs\python\python38-32\include" "-IC:\Program Files (x86)\Microsoft Visual Studio\2019\BuildTools\VC\Tools\MSVC\14.28.29333\include" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\ucrt" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\shared" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\um" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\winrt" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\cppwinrt" /Tcsrc/C/dense.c /Fobuild\temp.win32-3.8\Release\src/C/dense.obj
  dense.c
  C:\Program Files (x86)\Microsoft Visual Studio\2019\BuildTools\VC\Tools\MSVC\14.28.29333\bin\HostX86\x86\cl.exe /c /nologo /Ox /W3 /GL /DNDEBUG /MD "-Ic:\users\sam sheeran\appdata\local\programs\python\python38-32\include" "-Ic:\users\sam sheeran\appdata\local\programs\python\python38-32\include" "-IC:\Program Files (x86)\Microsoft Visual Studio\2019\BuildTools\VC\Tools\MSVC\14.28.29333\include" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\ucrt" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\shared" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\um" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\winrt" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\cppwinrt" /Tcsrc/C/sparse.c /Fobuild\temp.win32-3.8\Release\src/C/sparse.obj
  sparse.c
  C:\Program Files (x86)\Microsoft Visual Studio\2019\BuildTools\VC\Tools\MSVC\14.28.29333\bin\HostX86\x86\link.exe /nologo /INCREMENTAL:NO /LTCG /DLL /MANIFEST:EMBED,ID=2 /MANIFESTUAC:NO /LIBPATH:%PYTHON%\Library\lib "/LIBPATH:c:\users\sam sheeran\appdata\local\programs\python\python38-32\libs" "/LIBPATH:c:\users\sam sheeran\appdata\local\programs\python\python38-32\PCbuild\win32" "/LIBPATH:C:\Program Files (x86)\Microsoft Visual Studio\2019\BuildTools\VC\Tools\MSVC\14.28.29333\lib\x86" "/LIBPATH:C:\Program Files (x86)\Windows Kits\10\lib\10.0.18362.0\ucrt\x86" "/LIBPATH:C:\Program Files (x86)\Windows Kits\10\lib\10.0.18362.0\um\x86" m.lib mkl_rt.lib mkl_rt.lib /EXPORT:PyInit_base build\temp.win32-3.8\Release\src/C/base.obj build\temp.win32-3.8\Release\src/C/dense.obj build\temp.win32-3.8\Release\src/C/sparse.obj /OUT:build\lib.win32-3.8\cvxopt\base.cp38-win32.pyd /IMPLIB:build\temp.win32-3.8\Release\src/C\base.cp38-win32.lib
  LINK : fatal error LNK1181: cannot open input file 'm.lib'
  error: command 'C:\\Program Files (x86)\\Microsoft Visual Studio\\2019\\BuildTools\\VC\\Tools\\MSVC\\14.28.29333\\bin\\HostX86\\x86\\link.exe' failed with exit status 1181
  ----------------------------------------
  ERROR: Failed building wheel for cvxopt
  Running setup.py clean for cvxopt
Failed to build cvxopt
Installing collected packages: cvxopt, pyportfolioopt
  Attempting uninstall: cvxopt
    Found existing installation: cvxopt 1.2.5.post1
    Uninstalling cvxopt-1.2.5.post1:
      Successfully uninstalled cvxopt-1.2.5.post1
    Running setup.py install for cvxopt ... error
    ERROR: Command errored out with exit status 1:
     command: 'c:\users\sam sheeran\appdata\local\programs\python\python38-32\python.exe' -u -c 'import sys, setuptools, tokenize; sys.argv[0] = '"'"'C:\\Users\\sam sheeran\\AppData\\Local\\Temp\\pip-install-pj6iwdy1\\cvxopt_e0d2597e59194c3fbe93fc8631c25721\\setup.py'"'"'; __file__='"'"'C:\\Users\\sam sheeran\\AppData\\Local\\Temp\\pip-install-pj6iwdy1\\cvxopt_e0d2597e59194c3fbe93fc8631c25721\\setup.py'"'"';f=getattr(tokenize, '"'"'open'"'"', open)(__file__);code=f.read().replace('"'"'\r\n'"'"', '"'"'\n'"'"');f.close();exec(compile(code, __file__, '"'"'exec'"'"'))' install --record 'C:\Users\sam sheeran\AppData\Local\Temp\pip-record-5yhrdpb2\install-record.txt' --single-version-externally-managed --compile --install-headers 'c:\users\sam sheeran\appdata\local\programs\python\python38-32\Include\cvxopt'
         cwd: C:\Users\sam sheeran\AppData\Local\Temp\pip-install-pj6iwdy1\cvxopt_e0d2597e59194c3fbe93fc8631c25721\
    Complete output (33 lines):
    running install
    running build
    running build_py
    creating build
    creating build\lib.win32-3.8
    creating build\lib.win32-3.8\cvxopt
    copying src\python\coneprog.py -> build\lib.win32-3.8\cvxopt
    copying src\python\cvxprog.py -> build\lib.win32-3.8\cvxopt
    copying src\python\info.py -> build\lib.win32-3.8\cvxopt
    copying src\python\misc.py -> build\lib.win32-3.8\cvxopt
    copying src\python\modeling.py -> build\lib.win32-3.8\cvxopt
    copying src\python\msk.py -> build\lib.win32-3.8\cvxopt
    copying src\python\printing.py -> build\lib.win32-3.8\cvxopt
    copying src\python\solvers.py -> build\lib.win32-3.8\cvxopt
    copying src\python\_version.py -> build\lib.win32-3.8\cvxopt
    copying src\python\__init__.py -> build\lib.win32-3.8\cvxopt
    UPDATING build\lib.win32-3.8\cvxopt/_version.py
    set build\lib.win32-3.8\cvxopt/_version.py to '1.2.5'
    running build_ext
    building 'base' extension
    creating build\temp.win32-3.8
    creating build\temp.win32-3.8\Release
    creating build\temp.win32-3.8\Release\src
    creating build\temp.win32-3.8\Release\src\C
    C:\Program Files (x86)\Microsoft Visual Studio\2019\BuildTools\VC\Tools\MSVC\14.28.29333\bin\HostX86\x86\cl.exe /c /nologo /Ox /W3 /GL /DNDEBUG /MD "-Ic:\users\sam sheeran\appdata\local\programs\python\python38-32\include" "-Ic:\users\sam sheeran\appdata\local\programs\python\python38-32\include" "-IC:\Program Files (x86)\Microsoft Visual Studio\2019\BuildTools\VC\Tools\MSVC\14.28.29333\include" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\ucrt" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\shared" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\um" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\winrt" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\cppwinrt" /Tcsrc/C/base.c /Fobuild\temp.win32-3.8\Release\src/C/base.obj
    base.c
    C:\Program Files (x86)\Microsoft Visual Studio\2019\BuildTools\VC\Tools\MSVC\14.28.29333\bin\HostX86\x86\cl.exe /c /nologo /Ox /W3 /GL /DNDEBUG /MD "-Ic:\users\sam sheeran\appdata\local\programs\python\python38-32\include" "-Ic:\users\sam sheeran\appdata\local\programs\python\python38-32\include" "-IC:\Program Files (x86)\Microsoft Visual Studio\2019\BuildTools\VC\Tools\MSVC\14.28.29333\include" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\ucrt" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\shared" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\um" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\winrt" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\cppwinrt" /Tcsrc/C/dense.c /Fobuild\temp.win32-3.8\Release\src/C/dense.obj
    dense.c
    C:\Program Files (x86)\Microsoft Visual Studio\2019\BuildTools\VC\Tools\MSVC\14.28.29333\bin\HostX86\x86\cl.exe /c /nologo /Ox /W3 /GL /DNDEBUG /MD "-Ic:\users\sam sheeran\appdata\local\programs\python\python38-32\include" "-Ic:\users\sam sheeran\appdata\local\programs\python\python38-32\include" "-IC:\Program Files (x86)\Microsoft Visual Studio\2019\BuildTools\VC\Tools\MSVC\14.28.29333\include" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\ucrt" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\shared" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\um" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\winrt" "-IC:\Program Files (x86)\Windows Kits\10\include\10.0.18362.0\cppwinrt" /Tcsrc/C/sparse.c /Fobuild\temp.win32-3.8\Release\src/C/sparse.obj
    sparse.c
    C:\Program Files (x86)\Microsoft Visual Studio\2019\BuildTools\VC\Tools\MSVC\14.28.29333\bin\HostX86\x86\link.exe /nologo /INCREMENTAL:NO /LTCG /DLL /MANIFEST:EMBED,ID=2 /MANIFESTUAC:NO /LIBPATH:%PYTHON%\Library\lib "/LIBPATH:c:\users\sam sheeran\appdata\local\programs\python\python38-32\libs" "/LIBPATH:c:\users\sam sheeran\appdata\local\programs\python\python38-32\PCbuild\win32" "/LIBPATH:C:\Program Files (x86)\Microsoft Visual Studio\2019\BuildTools\VC\Tools\MSVC\14.28.29333\lib\x86" "/LIBPATH:C:\Program Files (x86)\Windows Kits\10\lib\10.0.18362.0\ucrt\x86" "/LIBPATH:C:\Program Files (x86)\Windows Kits\10\lib\10.0.18362.0\um\x86" m.lib mkl_rt.lib mkl_rt.lib /EXPORT:PyInit_base build\temp.win32-3.8\Release\src/C/base.obj build\temp.win32-3.8\Release\src/C/dense.obj build\temp.win32-3.8\Release\src/C/sparse.obj /OUT:build\lib.win32-3.8\cvxopt\base.cp38-win32.pyd /IMPLIB:build\temp.win32-3.8\Release\src/C\base.cp38-win32.lib
    LINK : fatal error LNK1181: cannot open input file 'm.lib'
    error: command 'C:\\Program Files (x86)\\Microsoft Visual Studio\\2019\\BuildTools\\VC\\Tools\\MSVC\\14.28.29333\\bin\\HostX86\\x86\\link.exe' failed with exit status 1181
    ----------------------------------------
  Rolling back uninstall of cvxopt
  Moving to c:\users\sam sheeran\appdata\local\programs\python\python38-32\lib\site-packages\cvxopt-1.2.5.post1.dist-info\
   from C:\Users\sam sheeran\AppData\Local\Programs\Python\Python38-32\Lib\site-packages\~vxopt-1.2.5.post1.dist-info
  Moving to c:\users\sam sheeran\appdata\local\programs\python\python38-32\lib\site-packages\cvxopt\
   from C:\Users\sam sheeran\AppData\Local\Programs\Python\Python38-32\Lib\site-packages\~vxopt
ERROR: Command errored out with exit status 1: 'c:\users\sam sheeran\appdata\local\programs\python\python38-32\python.exe' -u -c 'import sys, setuptools, tokenize; sys.argv[0] = '"'"'C:\\Users\\sam sheeran\\AppData\\Local\\Temp\\pip-install-pj6iwdy1\\cvxopt_e0d2597e59194c3fbe93fc8631c25721\\setup.py'"'"'; __file__='"'"'C:\\Users\\sam sheeran\\AppData\\Local\\Temp\\pip-install-pj6iwdy1\\cvxopt_e0d2597e59194c3fbe93fc8631c25721\\setup.py'"'"';f=getattr(tokenize, '"'"'open'"'"', open)(__file__);code=f.read().replace('"'"'\r\n'"'"', '"'"'\n'"'"');f.close();exec(compile(code, __file__, '"'"'exec'"'"'))' install --record 'C:\Users\sam sheeran\AppData\Local\Temp\pip-record-5yhrdpb2\install-record.txt' --single-version-externally-managed --compile --install-headers 'c:\users\sam sheeran\appdata\local\programs\python\python38-32\Include\cvxopt' Check the logs for full command output.

I know this is a common one because I have been trouble shooting with different problems for the last couple of hours. I have Visual Studio installed and cvxopt. I am also new to coding so sorry if this seems like an easy fix.

[robertmartin8]

Hi @lochness9,

Thanks for raising this. You haven't done anything wrong – this seems to be a thorny issue that several people are raising. Have you had a look at #230? Some people have found various fixes.

The problem here seems to be one specific dependency, cvxopt. There are relevant instructions here.

pip uninstall cvxopt
conda install -c conda-forge cvxopt

@phschiele it seems cvxopt is causing a tonne of problems, which is annoying since it's only used for one discrete allocation method. I am leaning towards making it an optional dependency.

[phschiele]

@robertmartin8 That's a good point. When running the discrete allocation without any MI solvers (or only ECOS_BB), cvxpy raises a very informative error, detailing the issue. It also provides two quick fixes to the user:

Quick fix 1: if you install the python package CVXOPT (pip install cvxopt),
then CVXPY can use the open-source mixed-integer solver `GLPK`.

Quick fix 2: you can explicitly specify solver='ECOS_BB'. This may result
in incorrect solutions and is not recommended.

One could even go one step further and catch it early, but I do not think that would add a lot of value.

Another approach would be to switch the default MI solver to either CPLEX or XPRESS. Both run the tests just fine and I never had an issue with installation. Check the cvxpy Docs for the limitations. Even though they are installing the free editions by default, some users might have issues with closed source dependencies for various reasons.

[lochness9]

Hi @lochness9,

Thanks for raising this. You haven't done anything wrong – this seems to be a thorny issue that several people are raising. Have you had a look at #230? Some people have found various fixes.

The problem here seems to be one specific dependency, cvxopt. There are relevant instructions here.

pip uninstall cvxopt
conda install -c conda-forge cvxopt

@phschiele it seems cvxopt is causing a tonne of problems, which is annoying since it's only used for one discrete allocation method. I am leaning towards making it an optional dependency.

I actually went into the other open issue for setting up with anaconda. I got it to work by doing. I'm messing around with it now, but it seems like everything is working fine.

pip install -- cvxopt

pip install --no-dependencies PyPortfolioOpt