How can I show this constraint？

As you see, the Wk is a N-order square matrix, how can I show it is in the “subject to” in my CVX algorithm？

I’m not sure what you are asking. If W_i is n by n real positive semidefinite for i from 1 to N, you can declare

variable W(n,n,N) semidefinite
and then need not do anything else to constrain each W_i to be positive semidefinite.