Parareal in time intermediate targets methods for optimal control problem

Yvon Maday, Mohamed-Kamel Riahi, Julien Salomon

Published 2012-03-11Version 1

In this paper, we present a method that enables solving in parallel the Euler-Lagrange system associated with the optimal control of a parabolic equation. Our approach is based on an iterative update of a sequence of intermediate targets that gives rise to independent sub-problems that can be solved in parallel. This method can be coupled with the parareal in time algorithm. Numerical experiments show the efficiency of our method.