Optimization with the aid of an external program

Hello Matlab community, I need your expertise to solve a problem.

I have to perform an optimization, I usually use Global Search or Multi Start, and Simulink to generate my flow chart.

I need to obtain a set of optimal values for some parameters, let's call them SetA. With SetA, I need matlab to call an external program to determine another set of parameters starting from SetA, let's call them SetB.

Then, both SetA and SetB are crucial to determine the value of the objective function, so I guess I would need Matlab to return in the optimization routine with bot sets, give it another try, and then generate the next guess.

I am a bit confused, and I wonder if this is possible, and how would you do it?

Any advice is higly appreciated.

Best regards.