You haven’t offered up any code so it’s unlikely we will be able to help you. If you do post code, please make sure to isolate exactly the line that is causing the problem, and make sure we know which quantities are declared as variables.

Thank you for you timely reply. In this message, I would like to make some complement to my original problem, and then attach my MATLAB code for a better trouble-shooting.

After introducing the two auxiliary variables, i.e., ,
the original problem in (1) is transferred into (3) below (please forgive my rashness, I miss a linear constraint in the original form, i.e., (3-b), though it will not affect the concavity of the problem),

Ah, OK, that’s a pretty hairy product. I am not convinced that is convex as constructed, and I’m far from convinced it can be rendered in CVX even if it is convex. Do read the FAQ including the section “Yes, I’m sure my model is convex!” for an explanation. Perhaps others can show how to reformulate your model.