Optimal control for large scale systems-a recursive approach

In this paper, a recursive fixed point type method is presented to obtain the “ε-coupled” subsystems. It has been shown that the recursive method is particularly useful when the coupling parameter ε is not small and/or when some desired order of accuracy is required, namely O(ε^2k), where k is the number of iterations. It is proved that the convergence rate of the algorithm is O(ε²) for subsystem problems, and O(ε) for coordinator´s problem. Due to its recursive nature, this method is conceptually simple and very suitable for parallel programming. An illustrative numerical example is given to verify the proposed approach