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You need to follow MOSEK's instructions for setting up MOSEK in MATLAB. If MATLAB doesn't see Mosek before you run the setup script, CVX won't be able to, either.
Closing, but if you can demonstrate that mosek is on your MATLAB path before you run cvx_setup, please provide a copy of the MATLAB output showing the issue.
I have downloaded release 2.2.2 and ran the cvx_setup, and it says "Mosek unknown" "Could not find a MOSEK MEX file."
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