Hello, this question may seem stupid, but I got confused.

I plan to solve a SDP problem with a matrix of size more than 1500*1500. I’m planning to use MOSEK as a solver, since MOSEK is somehow designed to solve large-scale SDP problems. But I found the following sentence in CVX documentation: *“CVX is not meant for very large problems, so if your problem is very large (for example, a large image processing or machine learning problem), CVX is unlikely to work well (or at all). For such problems you will likely need to directly call a solver, or to develop your own methods, to get the efficiency you need.”*

These sentences confused me. Does this mean by using MOSEK as a solver in CVX, I can only partly use MOSEK’s computational power? What is the difference between directly call MOSEK outside and set MOSEK as a CVX solver?