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arXiv · 1810.12882

Fractional Order Version of the HJB Equation

Abolhassan Razminia·Mehdi AsadiZadehShiraz·Delfim F. M. Torres
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Abstract

We consider an extension of the well-known Hamilton-Jacobi-Bellman (HJB) equation for fractional order dynamical systems in which a generalized performance index is considered for the related optimal control problem. Owing to the nonlocality of the fractional order operators, the classical HJB equation, in the usual form, does not hold true for fractional problems. Effectiveness of the proposed technique is illustrated through a numerical example.

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Abolhassan Razminia, Mehdi AsadiZadehShiraz, Delfim F. M. Torres. 2018-10-30. Fractional Order Version of the HJB Equation. https://doi.org/10.1115/1.4041912

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