i don’t believe you can do that. You can’t declare cells as CVX variables or expressions, although you can put CVX variables and expressions in a cell.
I recommend you consider using multidimensional arrays, with k being the last of the 3 indices. So for a 3D array W1, W1(:,:,k) would be a 2-D matrix. See mcg 's answers at How to change the number of variables based on the iteration number? and Cvx sdp mode and cell arrays .