You could use a parallel.pool.PollableDataQueue to let the workers send the data to the client. The idea is that you create the queue at the client where you will receive the data, and give it to the workers who then call send to send across the intermediate values. Here's one way:
% This queue will receive all the messages
dq = parallel.pool.PollableDataQueue();
opts = optimoptions('fmincon', 'UseParallel', true, 'Display', 'off');
% Bind the DataQueue into the function
[x, ~, ~, output] = fmincon(@(x) fun(x,dq), 1, [], [], [], [], 0.1, 2, [], opts);
% Drain all the results from the DataQueue.
% (It might be simpler to use a parallel.pool.DataQueue together with
% afterEach rather than PollableDataQueue and poll).
f1f2 = {};
ok = true;
while ok
[data, ok] = dq.poll(0);
if ok
f1f2{end+1} = data;
end
end
fprintf('fcount according to fmincon: %d\n', output.funcCount)
fprintf('fcount as stored in object: %d\n', numel(f1f2))
function J = fun(x, dq)
f1 = 1/x^2;
f2 = sqrt(x);
% Send intermediate values to client
send(dq, {f1, f2});
J = max(f1, f2);
end
