You will have to create a C++ file (which is called MEX in MATLAB environment) that can be called directly from MATLAB. See some example here (look under 'Creating C/C++ Language MEX-Files'): http://www.mathworks.com/help/techdoc/matlab_external/exampleindex.html Your mex file will call the function you wrote (objective function).
Make sure that you can call your mex file without any error. Now, setup the optimization problem. Provide the name of this mex file to the optimization solver.
