The application compiles, but when the first MOSEK function is called, an error “OMP abort: Initializing libguide40.lib, but found libguide.lib already initialized”.
MOSEK used libguide40.dll (an Intel threading library). The error means that the application also links to some other library which is statically linked with libguide.lib, which may clash with libguide40.dll.
If possible, relink the offending DLL with the dynamic version (libguide40.lib instead of libguide.lib), otherwise set the environment variable “KMP_DUPLICATE_LIB_OK” to “TRUE”.