The $w$-optimization problem is a mathematical problem abstracted from a useful tool for general data fusion rooted in various engineering tasks. Purely from the perspective of practical applications for this useful tool namely the split covariance intersection filter (Split CIF), it is sufficient to know that the $w$-optimization problem enjoys not only the second-order convexity (namely convexity in conventional sense) but also the fourth-order convexity, thanks to which a guaranteed fast implementation of the Split CIF can be realized. On the other hand, based on certain observations and analysis, the author proposes a conjecture concerning the $w$-optimization problem for further mathematical study. The conjecture is that the $w$-optimization problem has arbitrary even-order convexity, or in other words, it has the second-order convexity, the fourth-order convexity, the sixth-order convexity, and so on -- As mentioned above, whether the $w$-optimization problem has higher-order convexity or not might be of little interest itself for practical applications, yet the author believes that the conjecture would stimulate study on systematic mathematical techniques that are potentially interesting and valuable -- This paper presents the conjecture in details.
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