As discussed at Matlab, CVX, mosek, gurobi, Special ordered set (SOS) variables in MILP , you will have to do SOS “yourself”: in CVX. Perhaps you’d be better off just calling gurobi from its MATLAB interface, which as you say, allows you to specify SOS and let guobi take care of the details. S doe SOS purposes, Gurobi;s MATLAB interface is a higher level easier to use interface than CVX.