A parallel algorithm for temporal decomposition of long horizon optimal control problems

This paper presents a solution methodology for the temporal decomposition of a class of discrete time optimal control problems. By applying the temporal decomposition, a long horizon optimal control problem is converted into a two-level optimization problem where the high-level problem involves parameter optimization and low-level subproblems are optimal control problems with shorter time horizon. A two-level optimization algorithm with parallel processing structure is developed. It adopts Newton´s method for the high level and the Differential Dynamic Programming (DDP) for the low level. Issues for integrating the two optimization techniques into one efficient two-level parallel algorithm are investigated. Numerical testing results show potential of this approach in solving long-horizon problems with parallel processors.