Calling Mosek on Convex.jl

Specific Domains Optimization (Mathematical)
1

I get the following error when trying to solve an SDP problem with Mosek

using Convex, Mosek

... (problem formulation)

solve!(problem, MosekSolver())

ERROR: UndefVarError: MosekSolver not defined

2

Mosek.jl no longer supports MathProgBase, which is used by the release version of Convex.jl. So one either needs to use an older branch of Mosek.jl, or use MosekTools and the master branch of Convex.jl. The next release of Convex.jl (i.e. v0.13) should just work with MosekTools.

3

I also tried with using MosekTools and I’m using the Convex.jl master branch, still the same problem

4

On master, the syntax should be

using Convex, MosekTools
problem = ...
solve!(problem, Mosek.Optimizer())