A parallel in time algorithm based ParaExp for optimal control problems

We propose a new parallel-in-time algorithm for solving optimal control problems constrained bypartial differential equations. Our approach, which is based on a deeper understanding of ParaExp,considers an overlapping time-domain decomposition in which we combine the solution of homogeneous problems using exponential propagation with the local solutions of inhomogeneous problems.The algorithm yields a linear system whose matrix-vector product can be fully performed in parallel.We then propose a preconditioner to speed up the convergence of GMRES in the special cases ofthe heat and wave equations. Numerical experiments are provided to illustrate the efficiency of ourpreconditioners.