Define variables on each elemnts of a vector of vectors

[odow]

I would just pre-compute the set of indices that you want:

I = [[2, 6, 5], [1, 2, 4, 5, 9]]
J = [1, 2, 3]
K = [4,v5]
sets = [(i, j, k) for (ki, k) in enumerate(K) for j in J for i in I[ki]]
model = Model()
@variable(model, x[sets])
x[(2, 3, 5)]