Does there exist a function $f\colon \mathbb{R}^2 \rightarrow \mathbb{R}$ such that
(1) for all $(x,y) \in \mathbb{R}^2$, f is convex in the x-direction and y-direction
(2) $f$ has multiple non-degenerate minima? Non-degenerate: for any path P between minima $m_1$ and $m_2$, there exists $p \in P$ s.t. $f(p) > f(m_1)$ and $f(p) > f(m_2)$.
A function satisfying (1) is for example $f(x,y) = (xy)^2$ and a function satisfying (2) is for example $$f(x,y) = -\left(e^{-\left((x-1)^2 + (y-1)^2\right)} + e^{-\left((x+1)^2 + (y+1)^2\right)}\right).$$
If not (as I suspect) prove so, and how does this generalise for $f\colon \mathbb{R}^n \rightarrow \mathbb{R}$?
With $f(x,y) = (x-y)^2$ we come close, but minima are degenerate in the sense described in (2).
This function should satisfy your requirements $$ f(x,y) =((x-y)^2-1)^2 +2(x+y)^2. $$ It has global minima at $(-\frac12,\frac12)$, $(\frac12,-\frac12)$ - according to wolframalpha.
The second derivatives are non-negative: $$ \frac{\partial^2}{\partial x^2} f(x,y) = \frac{\partial^2}{\partial y^2} f(x,y)= 12(x-y)^2. $$