Similar question as here but now on Python packages. Currently, the CVXPY is missing in Azure ML. I am also trying to get other solvers such as GLPK, CLP and COINMP working
According to the Limitations and Technical Notes of Execute Python Script tutorial, the only way to add custom Python modules is via the zip file mechanism to package the modules and all dependencies.
For example to install CVXPY, as below.
cvxpy and cvxopt, etc as a zipped file with your script.If you were using IPython, you also can try to install the Python Package via the code !pip install cvxpy.
And there are some similar SO threads which may be helpful for you, as below.
Hope it helps.
Update:
For IPython interface of Azure ML, you move to the NOTEBOOKS tab to create a notebook via ADD TO PROJECT button at the bottom of the page, as the figure below.
Or you can directly login to the website https://notebooks.azure.com to use it.