The installation of MOSEK version 7 has been simplified compared to previous versions. In particular on Linux and MAC OSX the setting OS variables has been eliminated. Nevertheless troubles may arise unfortunately.
A common installation problem occurs if MOSEK version 7 is installed on a system that have had version 6 installed previously because then version 7 picks up the version 6 license file unless the OS environment variable MOSEKLM_LICENSE_FILE is removed. By default MOSEK version 7 reads the license file $HOME/mosek/mosek.lic where $HOME represents the users home directory. However, the method of using the OS variable MOSEKLM_LICENSE_FILE to point to the license file still works. If only version 7 is employed it is strongly recommend to remove the setting of the OS variable MOSEKLM_LICENSE_FILE and then use the default location the license file. Alternatively MOSEKLM_LICENSE_FILE should be updated to point to the version 7 license file which can be used by version 6 too.