Your array has too many dimensions. You need to define only three dimensions (i.e. only three opening square brackets in the beginning). Something like
cmf = [ [ [ 1, 2, 3, 4, 5, 6], [ 1, 2, 3, 4, 5, 6], [ 1, 2, 3, 4, 5, 6], [ 1, 2, 3, 4, 5, 6], [ 1, 2, 3, 4, 5, 6], [ 1, 2, 3, 4, 5, 6] ],
[ [ 1, 2, 3, 4, 5, 6], [ 1, 2, 3, 4, 5, 6], [ 1, 2, 3, 4, 5, 6], [ 1, 2, 3, 4, 5, 6], [ 1, 2, 3, 4, 5, 6], [ 1, 2, 3, 4, 5, 6] ],
[ [ 1, 2, 3, 4, 5, 6], [ 1, 2, 3, 4, 5, 6], [ 1, 2, 3, 4, 5, 6], [ 1, 2, 3, 4, 5, 6], [ 1, 2, 3, 4, 5, 6], [ 1, 2, 3, 4, 5, 6] ],
[ [ 1, 2, 3, 4, 5, 6], [ 1, 2, 3, 4, 5, 6], [ 1, 2, 3, 4, 5, 6], [ 1, 2, 3, 4, 5, 6], [ 1, 2, 3, 4, 5, 6], [ 1, 2, 3, 4, 5, 6] ] ];
#CPLEXOptimizers#DecisionOptimization