I have a relatively simple CVX problem that maximizes a function of the form a(x-y)^2, where a<0 is a scalar. The feasible set is convex, formed by the intersection of interval constraints and convex inequality constraints (of the form g(x,y)\le0 where g is a convex function).

I am receiving the following error for which I cannot find any documentation for.

Non-separable multiobjective problems are not supported.

Can anyone shed some light on what may be causing this?

What this is saying is that you’re trying to minimize or maximize an expression that is not a scalar. But without the model code we’re not going to be able to help further.