You will find many threads if you search for parfor, parallel, or GPU.
If you try to do anything, I think you are on your own, although you can feel free to report your results, clever workarounds, or whatever.
In Dec 2012 in CVX in a parallel loop - #2 by mcg , CVX developer mcg wrote:
Unfortunately, CVX cannot be used in a parallel loop. I have been investigating it, but it will require a non-zero financial expense for me to implement it. Thus it is likely to happen, but only when a commercial client is willing to pay for it
I’m pretty sure it hasn’t happened.