Inputs to eager execution function cannot be Keras symbolic tensors

Your code works just fine with latest tensorflow (2.3) if you replace your fit row with

model.fit((data_x, data_y, data_w))

So:

import numpy as np
import tensorflow as tf
from tensorflow.keras import layers, losses, models


# HERE
def loss_fcn(y_true, y_pred):
    w = y_pred[:, :, -1]  # HERE
    y_pred = y_pred[:, :, :-1]  # HERE
    loss = w * losses.mse(y_true, y_pred)
    return loss


data_x = np.random.rand(5, 4, 1)
data_w = np.random.rand(5, 4, 1)  # HERE
data_y = np.random.rand(5, 4, 1)

x = layers.Input([4, 1])
w = layers.Input([4, 1])  # HERE
y = layers.Activation('tanh')(x)
output = layers.Concatenate()([y, w])  # HERE
model = models.Model(inputs=[x, w], outputs=output)  # HERE
loss = loss_fcn  # HERE

model.compile(loss=loss)
model.fit((data_x, data_y, data_w))

print('Done.')

Further, I found tf.reduce_mean, K.mean, tf.square, tf.exp etc. implemented in a loss funtion cause the same error.

One alternative solution is to pass weights as additional output features rather than input features.

This keeps the model completely free of anything weights related, and the weights appear only in the loss function and the .fit() call:

import numpy as np
import tensorflow as tf
from tensorflow.keras import layers, losses, models

data_x = 2 * np.ones((7, 11, 15, 3), dtype=float)
data_y = 5 * np.ones((7, 9, 13, 5), dtype=float)

x = layers.Input(data_x.shape[1:])
y = layers.Conv2D(5, kernel_size=3)(x)
model = models.Model(inputs=x, outputs=y)


def loss(y_true, y_pred):
    (y_true, w) = tf.split(y_true, num_or_size_splits=[-1, 1], axis=-1)
    loss = tf.squeeze(w, axis=-1) * losses.mse(y_true, y_pred)

    tf.print(tf.math.reduce_mean(y_true), "== 5")
    tf.print(tf.math.reduce_mean(w), "== 3")

    return loss


model.compile(loss=loss)

data_w = 3 * np.ones((7, 9, 13, 1), dtype=float)
data_yw = np.concatenate((data_y, data_w), axis=-1)
model.fit(data_x, data_yw)

One drawback still is that you need to manipulate (potentially) large arrays when merging y and w in numpy.stack(), so anymore more TensorFlow-like will be appreciated.

Another way:

from tensorflow.keras import layers, models, losses
import numpy as np

def loss_fcn(y_true, y_pred, w):
    loss = w * losses.mse(y_true, y_pred)
    return loss


data_x = np.random.rand(5, 4, 1)
data_w = np.random.rand(5, 4)
data_y = np.random.rand(5, 4, 1)

x = layers.Input([4, 1])
y_true = layers.Input([4, 1])
w = layers.Input([4])
y = layers.Activation('tanh')(x)


model = models.Model(inputs=[x, y_true, w], outputs=y)
model.add_loss(loss_fcn(y, y_true, w))


model.compile()
model.fit((data_x, data_y, data_w))

I think this is the most elegant solution.