I don’t have any experience with Yii, but looking at their Wiki there are already some solutions:
- Integrating WordPress and Yii,Working Out The Details.
- Integrating WordPress and Yii: still another approach, using Yii as the router/controller
- Integrating WordPress and Yii: yet another approach
- Integrating Yii with WordPress
- Run an Yii Application inside an WordPress page
Please take a look at the above 5 links, they probably contain a suitable solution for you.