Hello all,

I am new to Julia so I apologize if this is trivial.

I am calling Mosek and SCS through Convex.jl and want to track how quickly these solvers are converging (for plotting purposes). Is it possible to pass a callback to Mosek/SCS through Julia that saves some information about each iterate?

Here is a MWE if that helps!

```
using LinearAlgebra
using Convex, SCS, MosekTools
using MathOptInterface
const MOI = MathOptInterface
function test()
# problem copied from https://jump.dev/Convex.jl/stable/quick_tutorial/
m = 4; n = 5
A = randn(m, n); b = randn(m, 1)
x = Variable(n)
problem = minimize(sumsquares(A * x - b), [x >= 0])
values = []
norms = []
times = []
# ==== made up code, how do I do this?
function callback(iterate)
push!(values, value(iterate))
push!(norms, norm(iterate))
push!(times, time(iterate))
end
problem.add_callback!(callback)
# ==== end of made up code
solve!(problem, SCS.Optimizer; silent_solver=true)
# solve!(problem, Mosek.Optimizer; silent_solver=true)
println(values)
println(norms)
println(times)
end
test()
```

Best,

Alex