I have implemented an optimization problem in CVX, but it does not scale up. I want to make this problem to run in parallel. Can someone help me with that ?

A=rand(400,500);
Y=rand(400,3);
gamma =[1:3];
for k= 1:length(gamma)

Can you just run each CVX instantiation (value of k) on a different thread/core/processor? Even by brute force, you could have each CVX instantiation run in s separate MATLAB session, using a mat file to communicate the values of A and Y to each session.

Or are you looking to parallelize each instantiation of CVX, which is not possible as far as I know (but I am quite happy to be corrected);