using fmincon with a turnover penalty function

I use fmincon on the following function: vol=w'*Cov*w + (c*(w-PriorWeights)'*Cov*(w-PriorWeights));

To minimize volatility, while punishing a change in weights (w).

adding the part after the "+" causes an error: User-supplied and forward finite-difference derivatives do not match within 1e-06 relative tolerance.

I do not understand (and cannot find online solutions to) this problem.

[Torsten]

Do you supply the gradient of the objective function ?

Best wishes

Torsten.