You are multiplying the variable WW(i) with the concave expression log_det(...). Is that product jointly concave in W(I) and QQ(:,:,i) given the other constraints? Can you show us a proof? But it appears to me to be neither convex nor concave even in one dimension, even with the nonegativity (semidefinite) constraints on W and Q.
In FMNCON, you would need to implement the SDP constraint indriectly, for instance by a parameterization such as X'*X in place of the psd matrix Q. But in doing so, you may introduce spurious stationary points (not present in the original problem), which can cause significant difficulty. I think YALMIP can handle the complex numbers for you by converting to an equivalent real variable problem before calling FMINCON.
@yayadg Please delete your post in this thread and start a new topic. When you do, please ensure that your program, including the portion before cvx_begin, can execute without user input. Then tell us what difficulty or uncertainty you are experiencing. You have a long, complicated program, and we have no idea what it is supposed to do or model, so how can we tell you if it is correct?