This message appears if the MOSEK Solver algorithms detect numerical error conditions that make it impossible to proceed with the solution process. In most cases, this means that one or more problem functions are non-convex. The MOSEK Solver can be used only on smooth convex (linear, quadratic or nonlinear) problems.
You can try to solve the problem with the Large-Scale GRG, Large-Scale SQP or Knitro Solvers, all of which are designed to handle non-convex problems. But you should also consider why some of your problem functions may be non-convex. In Analytic Solver Comprehensive and Analytic Solver Optimization, you may gain further information by selecting Optimize – Analyze Without Solving (ensure that the Diagnosis group Intended Model Type option is set to Linear, and the Advanced group Supply Engine With option is set to Convexity). Then select Reports – Optimization – Structure and examine the report, looking at the rightmost column which gives information on the convexity of individual problem functions.