MATLAB Code taking many days to run, how handle

The easiest step to take is to use the most recent version of Mosek, rather than 9.1.9 which is bundled with CVX 2.2. TO do so, follow the instructions at Unable to solve convex problem with CVX and MOSEK - #3 by Mark_L_Stone . I’m not saying that will make things magically better, but at least do that to begin with.