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There are several little problems in your code.

First you do not need to use SR in build_variables (avoid SR as much as possible when using polynomials). You can do

def build_variables(n):
    names = []

    for i in range(n):
        for j in range(n):
            names += ['x_' + str(i) + '_' + str(j)]

    return(names)

Then in the lambda_siep function, you should only use the result my_variables of build_variables once, inside the PolynomialRing constructor.

Then you should not use my_variables anymore, but instead your X in the line

J[i,j] = derivative(Y[0][i], X[j][j])

The two lines

R.gens()
R.inject_variables()

are useless and can be removed. In particular, inject_variables is only to be used in interactive mode.