This paper presents an approach for solving optimal control problems of switched systems. In general, in such problems one needs to find both optimal continuous inputs and optimal switching sequences, since the system dynamics vary before and after every switching instant. After formulating a general optimal control problem, we propose a two stage optimization methodology. Since many practical problems only concern optimization where the number of switchings and the sequence of active subsystems are given, we concentrate on such problems and propose a method which uses nonlinear optimization and is based on direct differentiations of value functions. The method is then applied to general switched linear quadratic (GSLQ) problems. Examples illustrate the results.