Unable to solve convex problem with CVX and MOSEK

I am solving a convex problem in CVX 2.2 with Mosek 9.1.9. But every time it fails.
The following is the output. Could you please tell me what is wrong here. I think this problem abides by the DCP ruleset.
cvx_begin
cvx_precision default
cvx_solver mosek
variables obj(1) rho(n*m,1) p_ub(K,1) x(K,1)
minimize (obj)
rho’c + sqrt(p0/(1-p0))norm(COV_crho,2) <= obj;
for l = 1:K
0.5
x(l)log(p1) - 0.5log(1-p_ub(l)) + log(V(l)) <= log(xi(l) - rho’*d{l});
x(l)*log(p1) <= log(p_ub(l));
end
sum(x) == 1;
x >= 0;
rho’*A == (1-alpha)*gamma’;
rho >= 0;
cvx_end
CVX Warning:
Models involving “log” or other functions in the log, exp, and entropy
family are solved using an experimental successive approximation method.
This method is slower and less reliable than the method CVX employs for
other models. Please see the section of the user’s guide entitled
The successive approximation method
for more details about the approach, and for instructions on how to
suppress this warning message in the future.

Calling Mosek 9.1.9: 1152 variables, 531 equality constraints
For improved efficiency, Mosek is solving the dual problem.

MOSEK Version 9.1.9 (Build date: 2019-11-21 11:34:40)
Copyright (c) MOSEK ApS, Denmark. WWW: mosek.com
Platform: Windows/64-X86

Problem
Name :
Objective sense : min
Type : CONIC (conic optimization problem)
Constraints : 531
Cones : 31
Scalar variables : 1152
Matrix variables : 0
Integer variables : 0

Optimizer started.
Presolve started.
Linear dependency checker started.
Linear dependency checker terminated.
Eliminator started.
Freed constraints in eliminator : 1
Eliminator terminated.
Eliminator - tries : 1 time : 0.00
Lin. dep. - tries : 1 time : 0.00
Lin. dep. - number : 0
Presolve terminated. Time: 0.00
Problem
Name :
Objective sense : min
Type : CONIC (conic optimization problem)
Constraints : 531
Cones : 31
Scalar variables : 1152
Matrix variables : 0
Integer variables : 0

Optimizer - threads : 12
Optimizer - solved problem : the primal
Optimizer - Constraints : 529
Optimizer - Cones : 32
Optimizer - Scalar variables : 1152 conic : 642
Optimizer - Semi-definite variables: 0 scalarized : 0
Factor - setup time : 0.00 dense det. time : 0.00
Factor - ML order time : 0.00 GP order time : 0.00
Factor - nonzeros before factor : 2.17e+04 after factor : 2.46e+04
Factor - dense dim. : 83 flops : 1.44e+06
ITE PFEAS DFEAS GFEAS PRSTATUS POBJ DOBJ MU TIME
0 1.5e+01 4.9e+01 6.2e+02 0.00e+00 6.130126956e+02 -3.000000000e+00 1.0e+00 0.00
1 1.5e+01 4.9e+01 6.2e+02 -5.93e+00 6.130126956e+02 -3.000000000e+00 1.0e+00 0.00
2 1.5e+01 4.9e+01 6.2e+02 -5.93e+00 6.130126956e+02 -3.000000000e+00 1.0e+00 0.02
Optimizer terminated. Time: 0.02

Interior-point solution summary
Problem status : UNKNOWN
Solution status : UNKNOWN
Primal. obj: 6.1301269559e+02 nrm: 2e+03 Viol. con: 7e+03 var: 0e+00 cones: 0e+00
Dual. obj: -3.0000000000e+00 nrm: 1e+00 Viol. con: 0e+00 var: 5e+01 cones: 0e+00
Optimizer summary
Optimizer - time: 0.02
Interior-point - iterations : 3 time: 0.02
Basis identification - time: 0.00
Primal - iterations : 0 time: 0.00
Dual - iterations : 0 time: 0.00
Clean primal - iterations : 0 time: 0.00
Clean dual - iterations : 0 time: 0.00
Simplex - time: 0.00
Primal simplex - iterations : 0 time: 0.00
Dual simplex - iterations : 0 time: 0.00
Mixed integer - relaxations: 0 time: 0.00


Status: Failed
Optimal value (cvx_optval): NaN

Please try with more recent Mosek (10.1.16 is the last one).

Please don’t use cvx_precision.

If that doesn’t help please either post a fully reproducible example with input data or save the task file (1 Technical Issues — MOSEK FAQ 10.1.15) and send to Mosek support

In order to carry out @Michal_Adamaszek suggestion to use the latest version of Mosek:

Download the latest stable Mosek version, currently 10.1.16, from the Mosek werbsite. You can use that instead of Mosek 9.1.9, which is bundled with CVX 2.2…

To make sure you don’t wind up using Mosek 9.1.9 which is bundled with CVX 2.2:

Download the latest Mosek from the Mosek werbsite and install it under MATLAB. Make sure mosekdiag succeeds. Then reinstall CVX so it will find the new solver.

Either delete or rename the mosek directory under CVX (before reinstalling CVX)
or
cvx_solver shows all the versions of all the solvers available to CVX. Choose the Mosek 10.x version, which might be called something like Mosek_2, then use cvx_solver Mosek_2 to get that version, and you can save_prefs.

In any event, cvx_solver will show all the versions available to CVX.

1.First problem: My MOSEK version: 10.1.16 was installed successfully in the command line window, but the version displayed under cvx_solver was not correct.
mosekdiag
Matlab version : 9.11.0.1769968 (R2021b)
Architecture : PCWIN64
mosekopt path : C:\Program Files\Mosek\10.1\toolbox\r2017aom\mosekopt.mexw64
MOSEK version : 10.1.16
Test linear solve: Success
mosekopt works OK. You can use MOSEK in MATLAB.
>> cvx_solver

  • Name Status Version Location*
    -----------------------------------------------------------------------------------------
  • Mosek 9.1.9 {cvx}\mosek\w64*
  • Mosek_2 9.1.9 C:\Program Files\Mosek\10.1\toolbox\r2017aom*
  • Mosek_3 9.1.9 C:\Program Files\Mosek\10.1\toolbox\r2017aom*
  • Mosek_4 9.1.9 C:\Program Files\Mosek\10.1\toolbox\r2017a*
  • Mosek_5 10.0.46 C:\Users\daily\mosek\10.0\toolbox\r2017a*
  • Mosek_6 10.0.46 C:\Users\daily\mosek\10.0\toolbox\r2017a*
  • Mosek_7 10.0.46 C:\Users\daily\mosek\10.0\toolbox\r2017aom*
  • Mosek_8 10.0.46 C:\Users\daily\mosek\10.0\toolbox\r2017aom*
  • SDPT3 selected,default 4.0 {cvx}\sdpt3*
  • SeDuMi 1.3.4 {cvx}\sedumi*
    20231110121057
    2.The second question is in the cvx code section, how should we choose the version?
    code:
    ‘*cvx_begin *
    cvx_solver mosek
    , then the command line indicates: MOSEK Version 9.1.9 (Build date: 2019-11-21 11:34:40)

Copyright (c) MOSEK ApS, Denmark. WWW: mosek.com

Platform: Windows/64-X86
Which version are we using at this point? Is it MOSEK version: 10.1.16?

The version 9.1.9 displayed by CVX is wrong. I never quite understood why it does that. You can always trust the version printed by Mosek itself in the summary and also in the log when it starts solving.

Judging from your list you should choose cvx_solver Mosek_2 to get Mosek 10.1

Thank you very much for your help