Why does error of convex problem below arise?

I got the same error message as you using both CVX 2.1 build 1116 and CVX 3.0beta build 1177. I think this is a CVX bug, perhaps related to Error: inner matrix dimension must agree in cvxprob/eliminate . The good news is that this is a self-contained example (modulo possibly different random numbers, but the same error occurs for several different random number instantiations I tried).