NextEra (the energy company that recently bought HECO) is looking to do just this. A Sept. 2013 report by them estimates a capital cost of approximately $600 million for a 200 MW cable connect between Maui and Oahu. (source page 8 of [1])

This is the low end of the scale with other estimates ranging from $553 Million to $1.24 Billion (page 9).

Note that this does not connect the Big Island to the grid either.

The preliminary proposed route can be seen on page 84 of the report.

[1] http://nexteraenergyhawaii.com/pdf/initial_comments.pdf