fmincon() only "compiles" the function in any sense the first time the function is parsed. And technically speaking if you use something like
fmincon(@obj, ....)
then obj will be parsed before fmincon is even started.
If you have code that uses mcc to compile an .exe for each iteration, then you would need to have a very good reason to do that.
In some cases, it occasionally makes sense to build a Symbolic expression, and then have MATLAB convert the symbolic expression to matlab code using matlabFunction() or odeFunction() . There is a sense in which that could be called "compiling". That process can take a fair while for complicated expressions, especially if you told it to save the result to file and you did not remember to tell it to turn optimization off.
But... for most people, MATLAB parses the objective function once, usually before fmincon starts, and after that it is a matter of executing the function, not of "compiling" it.
