Hi, I am new to GAMS and I want to apply a (quite) unusual decomposition to my problem.

I have a problem that decomposes naturally into multiple time steps that are independent. However, in each time step I need to solve the same model iteratively (as the results of one iteration are used as parameters to the next). Here is a general idea of the pseudo code:

- define model
- for each time step

----- initialize parameters of the current time step

----- while (termination condition)

--------- solve model

--------- get results

--------- update parameters based on the results

--------- update termination condition

----- store final iteration results in gdx (for example)

As you can see, I run the same procedure for all time steps and for now I do this sequentially. I would like to parallelize it according to the time step loop, while maintaining my iterative procedure for each one.

P.S : I checked the Grid and Multi-Threading Solve Facility page, but it doesn’t quite work…

Thank you in advance for your time.