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()