How can I use a C++ function as the objective function of my FMINCON function in the Optimization Toolbox?

I have a C++ function and I want to use it as an argument to MATLAB's FMINCON function. I would like to know the best way to do this.

Answer 1

[MathWorks Support Team]

The best way to achieve the functionality that you are looking for is by wrapping the objective function in a MEX file and then passing this MEX file as an argument to the FMINCON function. You can create a MEX wrapper function by closely following the example given at the site below:

Create C Source MEX file:

https://in.mathworks.com/help/matlab/matlab_external/standalone-example.html

Once the objective function is compiled using the MEX command, obtain a handle to your objective function as shown below:

fhandle = @my_obj_mex_func;

This function handle can then be given as the first argument to the FMINCON function as shown in the example below:

x = fmincon(@my_obj_mex_func,x0,A,b);