A Hamiltonian Formulation and a Direct Numerical Scheme for Fractional Optimal Control Problems

Abstract

This paper deals with a direct numerical technique for Fractional Optimal Control Problems (FOCPs). In this paper, we formulate the FOCPs in terms of Riemann-Liouville Fractional Derivatives (RLFDs). It is demonstrated that right RLFDs automatically arise in the formulation even when the dynamics of the system is described using left RLFDs only. For numerical computation, the FDs are approximated using the Grunwald-Letnikov definition. This leads to a set of algebraic equations that can be solved using numerical techniques. Two examples, one time-invariant and the other time-variant, are considered to demonstrate the effectiveness of the formulation. Results show that as the order of the derivative approaches an integer value, these formulations lead to solutions for integer order system. The approach requires dividing of the entire time domain into several sub-domains. Further, as the sizes of the sub-domains are reduced, the solutions converge to unique solutions. However, the convergence is slow. A scheme that improves the convergence rate will be considered in a future paper. Other issues to be considered in the future include formulations using other types of derivatives, nonlinear and stochastic fractional optimal controls, existence and uniqueness of the solutions, and the error analysis.