alignbraces
\begin{align*}
&\mathbb Q \times \{2\}&&\\
&\\
&U_{\alpha e} &&\alpha\in I_2 \text{ and }e<2 \\
&\\
&U_{\alpha 0 0} \\
&U_{\alpha 1 0} \cup U_{\alpha 0 1} \cup U_{\alpha 0 2}&&\alpha\in I_0\\
&U_{\alpha 1 0} \cup U_{\alpha 1 1} \cup U_{\alpha 1 2}
\end{align*}
produces this:
I want to have a curly right brace between the two columns at the bottom, indicating that $\alpha\in I_0$ is for all three bottom rows.
For the vertical braces, you can use the bigdelim package; the horizontal braces were made using \underset and \underbrace and a "rule" of variable width and no height:
\documentclass{article}
\usepackage{amsmath}
\usepackage{easybmat}
\usepackage{multirow,bigdelim}
\newcommand*\hexbrace[2]{%
\underset{#2}{\underbrace{\rule{#1}{0pt}}}}
\begin{document}
\[
M(z)=
\begin{array}{c@{}c}
\left[
\begin{BMAT}[5pt]{c|c}{c}
\begin{BMAT}[5pt]{c:c:c}{ccccccc}
& & \\
& & \\
& & \\
v_1 & \dots & v_m \\
& & \\
& & \\
& &
\end{BMAT}
&
\begin{BMAT}{c}{c|c}
\begin{BMAT}[5pt]{c:c:c}{ccc}
& & \\
w_1(a) & \dots & w_n(a) \\
& &
\end{BMAT}
\\
\begin{BMAT}[10pt]{c}{c}
B(z)
\end{BMAT}
\end{BMAT}
\end{BMAT}
\right]
&
\begin{array}{l}
\\[-8mm] \rdelim\}{4}{6mm}[$J$] \\ \\ \\[4mm] \rdelim\}{3}{6mm}[$H$] \\ \\
\end{array} \\[-1ex]
\hexbrace{2.7cm}{m}\hexbrace{3.8cm}{n}
\end{array}
\]
\end{document}
With help of mathtools package you can use rcases environment.:
\documentclass[a4paper,10pt]{article}
\usepackage[utf8x]{inputenc}
\usepackage{amsmath,amsthm, amsfonts,amssymb}
\usepackage{mathtools}% <-- new package for rcases
% for show just the equation ...
\usepackage[active,displaymath,tightpage]{preview}
\setlength\PreviewBorder{1em}
\begin{document}
\begin{align}
&\rlap{\textbf{Optimization model}}
\nonumber \\
& && z=\sum_{i\in I} x_i\cdot y_i \cdot z_i \rightarrow \max
\nonumber \\
&\text{s.t.} && x_i \le b_i, & i\in I, \\
& && %\!\!% first approximation of misalignment compensation ...
\negthickspace% for compensation of rcases misalignment
\begin{rcases}
x_i \le y_i \\
y_i \le z_i \\
z_i \le x_i
\end{rcases} & i\in I, \\
& && x_i, y_i, z_i \in \mathbb{R}_{+}, & i\in I.
\end{align}
\end{document}
Hope that this is what you like to achieve.
Edit:
Better alignment is achieved if you instead of \!\! you use \negthickspace. It is approximately \mkern-5mu as suggest Bernard in his answer. The picture is replaced with new, where this \negthickspace is used. Use of alignat instead of align is probably more correct selection, but final result is the same.
Best Answer
One could stack those three blocks...