I’ve managed to connect the lamp to a WiFi hotspot created on my Galaxy S8, using Yeelight app installed on Xiaomi Redmi 5A (the other way around than the previous try). Then I’ve updated the lamp firmware, disconnected it from the hotspot network, and finally it successfully connected to my main WiFi network!
Solution: If you have a problem connecting to your router, first update the lamp firmware using another phone as a hotspot.