A central difference numerical scheme for fractional optimal control problems

DOI10.1177/1077546308088565zbMATH Open1272.49068arXiv0811.4368OpenAlexW2116987651MaRDI QIDQ2850593FDOQ2850593

Authors: D. Baleanu, Ozlem Defterli, Om P. Agrawal 

Publication date: 27 September 2013

Published in: Journal of Vibration and Control (Search for Journal in Brave)

Abstract: This paper presents a modified numerical scheme for a class of Fractional Optimal Control Problems (FOCPs) formulated in Agrawal (2004) where a Fractional Derivative (FD) is defined in the Riemann-Liouville sense. In this scheme, the entire time domain is divided into several sub-domains, and a fractional derivative (FDs) at a time node point is approximated using a modified Gr"{u}nwald-Letnikov approach. For the first order derivative, the proposed modified Gr"{u}nwald-Letnikov definition leads to a central difference scheme. When the approximations are substituted into the Fractional Optimal Control (FCO) equations, it leads to a set of algebraic equations which are solved using a direct numerical technique. Two examples, one time-invariant and the other time-variant, are considered to study the performance of the numerical scheme. Results show that 1) as the order of the derivative approaches an integer value, these formulations lead to solutions for integer order system, and 2) as the sizes of the sub-domains are reduced, the solutions converge. It is hoped that the present scheme would lead to stable numerical methods for fractional differential equations and optimal control problems.

Full work available at URL: https://arxiv.org/abs/0811.4368

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zbMATH Keywords

fractional calculusRiemann-Liouville fractional derivativesfractional optimal controlmodified Grünwald-Letnikov approximation

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Fractional derivatives and integrals (26A33) Numerical methods in optimal control (49M99)

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