How to enhance the Solver's speed

I have a cvx problem with one cvx variable (u (N)) which is a vector of length is 9000 (N=9000). I was able to solve the problem using SDPT3 solver.

My issue that the solver consumes about 6 hours to find the solution. However, the number of iterations was low as 20 iterations which means 20 minutes per iteration.

Any suggestions to make the solver faster?

Try another solver such as Mosek is another good option to try.

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Thank you!
It is now consuming only 5 minutes with MOSEK as a solver.