I am using Mosek, and I need to calculate log_sum_exp of continuous variables at some point. If I use the log_sum_exp function, the returned result is "Unbounded", some constraints do not hold, and yet the status is "solved". If I change the line of log_sum_exp, with its approximation ( max(x) ), I obtain the results I expected.
I cannot use the approximation for a larger scenario, and also I would not prefer to use a loose approximation for a convex function.
I wonder if there's any bug fixes that you're aware of, or any ideas about what causes this problem.