Thank you for the reply! It looks like I am running into the exact same issue mentioned in that post—my apologies for not finding it before asking.
I do have a follow-up question regarding JuMP’s approach to formulating this problem. Specifically, regarding this point:
Mosek does not support HermitianPSDCone directly, so JuMP reformulates the problem into a larger PSD model.
Out of curiosity, does YALMIP use a different or more efficient approach for this? I’m cc’ing @araujoms, as he might be familiar with the YALMIP implementation as well.
In the meantime, I will try using the PR branch in Dualization.jl to see if that resolves the issue for me. Thank you again for all your help and suggestions!