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Introduction to Fractional-Order Operators

and Their Engineering Applications

Mihir Sen
Department of Aerospace and Mechanical Engineering
University of Notre Dame, Notre Dame, IN 46556

April 22, 2014


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Contents

Preface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . v

1 Basics 1
1.1 Operators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Matrices with fractional exponents . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.3 Integrals of fractional order . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.4 Derivatives of fractional order . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.5 Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
1.6 Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.7 Solutions of fractional-order differential equations . . . . . . . . . . . . . . . . . . . . 7
1.8 Fractional vector calculus . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
1.9 Physical interpretation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
1.10 Taylor series and continued fractions . . . . . . . . . . . . . . . . . . . . . . . . . . . 8

2 Numerical aspects 11
2.1 Forward shift operator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
2.2 Forward difference operator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2.3 Backward Difference Operator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2.4 Differential operator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
2.5 Integral operators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
2.6 Numerical implementation summary . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
2.7 Binomial coefficients . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34

3 Applications 37
3.1 Networks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
3.2 Non-local effects . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
3.3 Probabilistic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
3.4 Fractal and random media . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
3.5 Fractionally-dependent component . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
3.6 Applications to mechanics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
3.7 Applications to controls . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
3.8 Applications to transport phenomena . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
3.9 Fractional equations and chaos . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
3.10 Experimental evidence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
3.11 Future ideas . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53

iii
CONTENTS CONTENTS

A Appendix 59
A.1 Continued fractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
A.2 Factorial and Gamma functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
A.3 Cauchy’s formula for repeated integration . . . . . . . . . . . . . . . . . . . . . . . . 61
A.4 Binomial coefficients . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
A.5 Laplace transform . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63

Index 69

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Preface

This is a set of notes on fractional operators and their applications to engineering problems, concen-
trating principally on the fractional-order derivative. Though these operators have been around for a
long time, it is only in recent years that they have been included among the mainstream engineering
tools such as those used in modeling or experimental data analysis. Though there are a number
of good books available on the subject, the present notes intend to present a quick overview of the
subject that may be of use to the modeler and the data analyst.

v
Chapter 1

Basics

When l’Hôpital1 asked what would be the result of half-differentiating a function, Leibnitz (1695)2
replied that “It leads to a paradox, from which one day useful consequences will be drawn.” Heavi-
side’s (1871)3 view was “There is universe of mathematics lying in between the complete differenti-
ations and integrations, and that fractional operators push themselves forward sometimes, and are
just as real as others.”
The process by which we arrive at fractional operators is somewhat like what was done for
numbers. First we had positive integers, and then followed the zero, fractions, irrational, negative,
and complex numbers. A scalar α raised to a fractional power such as 1/2 is understood in the
context of the law of exponents, αn αm = αn+m , where n and m are numbers. Although αn , where
n is a positive √integer, is defined by α being multiplied by itself (n − 1) times, α1/2 is defined by
1/2 1/2
α α = 1. 2 is merely a notation, but α1/2 can be used with ease in algebraic manipulations,
and can participate in binary operations such as addition, subtraction, multiplication, division, and
exponentiation.
Though the use of fractional operators and derivatives is wide-spread, by choice we will
restrict ourselves to the areas of engineering related to mechanical systems. For convenience we
will also assume that the numbers and functions treated here are real, although generalizations to
complex numbers exist.

1.1 Operators
Let T : X → Y or T(x) = y, be a map where x ∈ X ⊆ U, y ∈ Y ⊆ V, and U and V are vector spaces.
Sometimes, especially for matrices, scalar multiplication, and derivatives, we will follow the notation
Tx = y, but there should be no confusion. More importantly, we should be able to recognize the
operator T in the map.
T is linear iff

T(x + y) = T(x) + T(y),


T(αx) = αT(x),

where α is a scalar (i.e. belongs to a real field).


1 Guillaume de l’Hôpital, French, 1661-1704.
2 GottfriedWilhelm Leibniz, German, 1646-1716.
3 Oliver Heaviside, English, 1850-1925.

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1.1. OPERATORS CHAPTER 1. BASICS

The most common linear operators that are used in engineering are the following.
• Scalar multiplication of a vector like, for example, αx.
• Matrix A operating on a vector x to give another vector y. This can be written as Ax = y.
Of course, A and x must be compatible for the matrix multiplication to be possible.
• Derivative D operating on a function f (x) to give another function g(x). We write this as
Df (x) = g(x), where D = d/dx. Of course, we assume that f (x) is smooth enough for it to
be differentiable. If we include distributions4 also, then we increase the range of possibilities
for f (x).
• Integral I operating on a function
R f (x) to give another function g(x). We write this as
I(f (x)) = g(x), where I(·) = (·) dx. This comes in several flavors. Thus, I can simply be
an anti-derivative with an additive arbitrary
R x constant C. Or, it can be an integral with lower
limit a and upper limit x so that I(·) = a (·) dy; this is an anti-derivative with C = I(a). A
definite integral from a to b will, of course, not produce a function of x, and hence will not be
included.
• Linear combinations of the above, when possible. D + α and A + αI are examples.

1.1.1 Operator with integer exponent


If U = V, then the same operator can be repeatedly applied , and we can write
³ ³ ³ ´´´
Tn (x) = T T T T . . . T(x) ,

for an integer n > 0. To complete the non-negative integers, we can define T0 to be the identity
operator I.
It is obvious that the additive law of exponents

Tn+m = Tn Tm

holds for non-negative integers. It is common to use this property to define an inverse T−1 , for
which

T−1 T = T0 ,
= I.

Repeated application of T−1 then extends Tn to all negative integers also, so that Tn is defined
for all n, positive, negative or zero. We ignore issues such as if T−1 T = TT−1 or T−1 T 6= TT−1 ,
which can be easily answered for specific operators T.

1.1.2 Operator with fractional exponent


We can conveniently define operators with exponents that are real numbers5 if we assume that the
additive law of exponents holds for real n and m. Thus, for example

T = T1/2 T1/2 .
4 L.
Schwartz, L., 1951, Théorie des distributions 1–2, Hermann, Paris.
5 Thus,strictly speaking, one should talk about an operator with a real exponent. One can also extend the definition
to complex exponents, but that is beyond our scope here.

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CHAPTER 1. BASICS 1.2. MATRICES WITH FRACTIONAL EXPONENTS

This defines the square root of an operator . Similarly, any other nth root T1/n can be defined.
Repeated application gives Tm/n , where m/n is a rational number.
Of course, this a special case of a function of operators such as f (T). The latter is also
widely used in engineering, but its inclusion here is outside our scope. Suffice it to say that the
Cayley-Hamilton theorem about a square matrix satisfying its own characteristic equation is an
example. Other matrix examples are eA and log A which are commonly used. A function such
as (D + α)2 is a derivative example that is routinely used for the solution of ordinary differential
equations.

1.2 Matrices with fractional exponents


The law of exponents enables
√ us to define matrices elevated to a fractional power. B is the square
root of A, written as B = A = A1/2 if A = BB = B2 . The square root may not exist, or the
number of roots may be finite or infinite. Other nth roots may be similarly defined [20, 5, 14, 21].
For example, if

A1/n = B

then

BBB
| {z. . . B} = A.
n times

1/n
Furthermore, A multiplied by itself (m − 1) times gives Am/n .

Exercises
„ « „ « „ «
1 4 5 2 33 24
1. Show that and are square roots of .
8 5 4 7 48 57

1.3 Integrals of fractional order


Starting from Cauchy’s6 formula for repeated integration
Z x
n 1
I f (x) = (x − y)n−1 f (y) dy
(n − 1)! a
we can generalize n to a real number α, and factorial to gamma function to get the left-handed
Riemann-Liouville7 integral
Z x
RL α 1
a Ix f (x) = (x − y)α−1 f (y) dy,
Γ(α) a
α
for α ≥ 0. Other notations for the operator, like a IRL , a Ixα , or simply I α are common. Similarly,
the right-handed integral is
Z b
RL α 1
x Ib = (y − x)α−1 f (y) dy.
Γ(α) x
6 Augustin-Louis Cauchy, French, 1789-1857.
7 Bernhard Riemann, German, 1826-1866; Joseph Liouville, French, 1809-1882.

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1.4. DERIVATIVES OF FRACTIONAL ORDER CHAPTER 1. BASICS

Exercises
Show that, if f (x) = (x − a)β , then
Γ(β + 1)
RL α
x Ia f (x) = (x − a)α+β
Γ(α + β + 1)
for β > −1 and α ≥ 0. For α = 1, this becomes (wrong!)
1
RL 1
a Ix f (x) = (x − a)n+1 .
n+1

Other fractional integrals that are frequently used are:


• Liouville
Z x
L α 1
a Ix f (x) = (x − y)α−1 f (y) dy.
Γ(α) −∞

• Weyl
Z ∞
W α 1
a Ix f (x) = (y − x)α−1 f (y) dy.
Γ(α) x

• Riesz
Z ∞
R α 1
a Ix f (x) = |y − x|α−1 f (y) dy.
2Γ(α) cos(απ/2) −∞

1.4 Derivatives of fractional order


There are several definitions that are commonly used.
1. Differentiating the Riemann-Liouville derivative gives

RL α dn α
a Dx = I f (x),
dxn RL Z
x
1 dn
= (x − y)α−1 f (y) dy. (1.1)
Γ(α) dxn a

sometimes written as Dα or dα /dxα . We can use a combined integro-differential operator


notation

RL α
 a Dx
 if α > 0,
RL α
a Jx = 1 if α = 0,

RL −α
a Ix if α < 0.

Writing α instead of n − α in Eq. (1.1) gives


Z x
RL α 1 dn
a Jx f (x) = (x − y)n−α−1 f (y) dy,
Γ(n − α) dxn a

where n − 1 ≤ α < n.

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CHAPTER 1. BASICS 1.5. EXAMPLE

differentiation

3
−3 −2 −1 0 1 2

α
integration

Figure 1.1: Integro-differential order line.

2. Another popular operator is the Caputo [8] derivative


Z x n
C α 1 n−α−1 d f (y)
a D x f (x) = (x − t) dy
Γ(n − α) a dy n

for n − 1 ≤ α < n.

3. For computational purposes, the Grünwald-Letnikov derivative8


(x−a)/h
1 X Γ(α + 1)
GL α
a Dx f (x) = lim (−1)m f (x − mh).
h→0 hα m! Γ(α − m + 1)
m=0

is generally used. If we write


X µ ¶
α
∆α
h f (x) = (−1) m
f (x + (α − m)h),
m
0≤m<∞

then

GL α ∆α
h f (x)
a Dx f (x) = lim .
h→0 hα

More about fractional derivative:

http://people.tuke.sk/igor.podlubny/fc.html
http://www.cs.dartmouth.edu/farid/research/fracderiv.html
http://en.wikipedia.org/wiki/Fractional_calculus

1.5 Example
Some examples of fractional-order derivatives , i.e. function f (x) = x2 and its derivatives DRL
α
, are
shown in Fig. 1.2 (from Schumer et al. [61]).
(a) α = 0.2, 0.4, 0.6, 0.8, 1.0.
(b) α = 1, 1.2, 1.4, 1.6, 1.8, 2.0.
8 Anton Karl Grünwald, Czech, 1828-1920; Aleksey Vasilievich Letnikov, Russian, 1837-1888.

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1.5. EXAMPLE CHAPTER 1. BASICS

Figure 1.2: Examples of fractional order derivatives of function f (x) = x2 .

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CHAPTER 1. BASICS 1.6. PROPERTIES

1.6 Properties

Dα f (x) = Dα1 Dα2 . . . Dαn

where
X
α= αi
i

• The fractional derivative Dα is non-local if α is not an integer9 .


• Laplace transform of Dα f (t) is L[f (t)] ∼ sα F (s), plus initial conditions. Examples are
– Riemann-Liouville

L[RL0 Dtα f (t)] = sα F (s) + . . .

– Caputo
¯
f ¯¯
n−1
X k
α−k−1 d
L[C α
0 Dt f (t)]
α
= s F (s) − s ¯
dtk ¯
k=0 t=0

where n − 1 ≤ α < n.

1.7 Solutions of fractional-order differential equations


• Using Laplace transforms
• Two-parameter Mittag-Leffler10 function

http://en.wikipedia.org/wiki/Mittag-Leffler_function


X xk
Eα,β (x) =
Γ(αk + β)
k=0

Special case

E1,1 (x) = ex

• Series solutions
9 An exception is the Kolwankar-Gangal derivative, [31]
α α
DKG f (y) = lim DRL (f (x) − f (y)),
x→y

used to differentiate nowhere differentiable functions.


10 Gösta Mittag-Leffler, Swedish, 1846-1927.

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1.8. FRACTIONAL VECTOR CALCULUS CHAPTER 1. BASICS

¥ Example
Consider the semi-differential equation [49]
D1/2 y + y = 0.
This can be simplified to
Dy − y = C1 x−3/2 ,
from which
Z x
y(x) = C2 ex + ex C1 e−s s−3/2 ds.
0

1.8 Fractional vector calculus


Generalized Taylor’s series [48] is
(y − x)α (y − x)2α
F (y) = F (x) + Dxα F (x+) + Dxα Dxα F (x+) + ...,
Γ(α + 1) Γ(2α + 1)
where Dxα is the Caputo fractional derivative of order 0 < α < 1.
Spatial derivatives [42]

1.9 Physical interpretation


Probabilistic interpretation [35] and others [47, 58, 59, 66] (see references [27]–[40] in [35]).

1.10 Taylor series and continued fractions


1.10.1 Relation
Question: What is the relation between fractional operators (actually functions of operators), Taylor
series, continued fractions and operator trees?

Assume that any function of D, where D = d/dt, can be written as a Taylor series
f ′′ (0) 2 f ′′′ (0) 2
f (D) = f (0) + f ′ (0)D + D + D + ... (1.2)
2! 3!
Examples are
D2 D3
eD = 1 + D + + + ...
2! 3!
2 3
D D
ln(1 + D) = D − + + ...
2 3
α(α − 1) 2 α(α − 1)(α − 2) 3
(1 + D)α = 1 + αD + D + D + ...
µ 2! 3!¶
1/2 D D2 D3
(α + D) = α1/2 1 + − 2+ + ...
2α 8α 16α3
µ ¶ µ ¶
1/2 1/2 1/2 D D2 D3 1/2 D D2 D3
(α + D) (β + D) =α 1+ − + + ... β 1+ − 2+ + ...
2α 8α2 16α3 2β 8β 16β 3

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CHAPTER 1. BASICS 1.10. TAYLOR SERIES AND CONTINUED FRACTIONS

1.10.2 Operator tree


Can every operator tree be written as a continued fraction? If true, then every function of an
operator can be written as a tree.

¥ Example
Solve
(1 + D)1/2 y = 0.

" 1 1 1 1
#
D ( − 1) ( − 1)( 21 − 2)
(1 + D)1/2 y = 1 + + 2 2
D2 + 2 2
D3 . . . y,
22! 3!
D2 D3 5D4
» –
D
= 1+ − + − + . . . y.
2 8 16 128
Let
y = eλt ,
then
λ λ2 λ3 5λ4
1+ − + − + . . . = 0.
2 8 16 128
Thus
(1 + λ)1/2 = 0,
from which λ = −1, so that
y = e−t .

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1.10. TAYLOR SERIES AND CONTINUED FRACTIONS CHAPTER 1. BASICS

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Chapter 2

Numerical aspects

Written with Jason Mayes

Here we will discuss numerical aspects related to of shift , difference , differential , and inte-
gral operators. In the following h, α, β ∈ R; i, j, m, n ∈ N = {1, 2, 3, . . .}; s ∈ Z = {. . . , −2, −1, 0, 1, 2, . . .}.
f, g : R 7→ R are sufficiently smooth functions of t. I is the identity operator.

2.1 Forward shift operator


2.1.1 Definitions

def
Eh f = f (t + h)
n times
def
z }| {
Ehn f = Eh (Eh . . . (Eh f ) . . .)
def
(Ehn + Ehm ) f = Ehn f + Ehm f

2.1.2 Properties

Ehn (f + g) = Ehn f + Ehn g


Ehn (αf ) = αEhn f
Eαh f = f (t + αh)
Ehn f = f (t + nh)
Eh (f g) = Eh f Eh g
Eh1 = Eh
E0 = I
Ehn = Enh
Ehn Ehm = Ehm Ehn = Ehn+m
n
(Ehm ) = Ehmn

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2.1. FORWARD SHIFT OPERATOR CHAPTER 2. NUMERICAL ASPECTS

j+1
X
j j! n(i−1) m(j−i+1)
(Ehn + Ehm ) = E Eh
i=1
(i − 1)!(j − i + 1)! h

where two operators are equivalent if, when operating on the same arbitrary function, the two
operators produce the same result.

2.1.3 Extension to negative integers


A forward shift operator taken to a positive power, E n , results in a forward shift. A forward shift
operator taken to a negative power, E s , where s = −n, results in a backwards shift. Thus, the
backward shift operator of order m is merely the forward shift operator raised to the power −m.

def
Ehs f = f (t + sh)
Ehs = Esh
Eh0 = I

2.1.4 Extension to reals

def
Ehα f = f (t + αh)
Ehα = Eαh
Ehα Ehβ = Ehα+β

2.1.5 Inverse operators


If Y is a function for which application of the shift operator Eh1 yields y(x), then we can write
Eh−1 y = Y , i.e.,

if Eh1 Y (x) = y(x), then Eh−1 y(x) = Y (x).

Then the inverse, Ehβ , of an operator Ehα is defined as Ehβ = Eh−α , where β = −α, so that
Ehβ Ehα = Eh0 = I are all equivalent operators.
The inverse of the Shift operator Ehα , for α ∈ R, always exists and is unique and can be
easily shown to be E −α :

if Eh−α f (x) = f (x − αh), then Eh−α Ehα f (x) = Eh−α [f (x + αh)] = f (x).

The inverse of the forward shift operator Ehα is the backward shift operator Eh−α .

2.1.6 Null space of the shift operator


The null space, N (L), of a linear operator L : X → Y is the subset of X defined by N (L) = {x ∈
X : Lx = 0}. Taking L = Ehα , the only x ∈ N (Ehα ) is the origin of X, that is the trivial solution
x = 0. For the shift operator then, the null space is trivial, that is N (Ehα ) = {0}.

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CHAPTER 2. NUMERICAL ASPECTS 2.2. FORWARD DIFFERENCE OPERATOR

2.1.7 Numerical implementation


Numerical implementation of the forward shift operator Ehs is straight forward. For the operator
Ehs , where s ∈ Z and the function F (t) is sampled such that Fi = F (t0 + ih), then

Ehs Fi = F (t0 + ih + sh)


¡ ¢
= F t0 + (i + s)h
= Fi+s

Implementation of Ehα requires that the function be sampled at intervals no greater than αh.
Given a signal F (t) and the freedom to sample it at any time to produce the data set Fi = F (t0 +iαh),
where i = 1, 2, 3 . . . , then
¡ ¢
Ehα Fi = F t0 + iαh + αh
¡ ¢
= F t0 + (i + 1)αh
= Fi+1

2.1.8 Linear equations


To find f (t) given g and

Lf = g

where
j
X
L= pi (x)Ehαi ,
i=1

and pi (x) and g(x) are real valued functions and pi (x) 6= 0 for all x ≥ x0 , then the initial conditions

Ehαi f = ai , for i = 1, 2, ..., j − 1,

are necessary for a unique solution. Furthermore, the solution procedure is similar to the solution
of ordinary linear differential equations. The fundamental solution set can be found by substituting
λn for x into the homogeneous equation and solving the resulting characteristic equation. Particular
solutions can be found using an analog of the method of undetermined coefficients or variation of
parameters.

2.2 Forward difference operator


2.2.1 Definitions

def
∆h f = f (t + h) − f (t)
n times
def
z }| {
∆nh f = ∆h (∆h . . . (∆h f ) . . .)

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2.2. FORWARD DIFFERENCE OPERATOR CHAPTER 2. NUMERICAL ASPECTS

2.2.2 Properties
∆nh (f + g) = ∆nh f + ∆nh g
∆nh (αf ) = α∆nh f
∆(f g) = f ∆g + Eg ∆f = Ef ∆g + g∆f
(∆nh + ∆m n m
h ) f = ∆h f + ∆h f
m+n
∆nh ∆m
m f = ∆h f
∆h = Eh − Eh0
Eh ∆h = ∆h Eh
∆1h = ∆h
∆nh = (Eh − I)n
Xn µ ¶
n
= (−1)k E n−k
k
k=0
Xn µ ¶
n
= (−1)n−k E k
k
k=0
Xn
n!
= (−1)n−k Ek
k!(n − k)! h
k=0

2.2.3 Extension to negative integers


∆0h = I
∆sh = (Eh − Eh0 )s
X∞ µ ¶
s
= (−1)k E s−k
k
k=0
X∞ µ ¶
s
= (−1)s−k E k
k
k=0
X∞
s(s − 1)(s − 2) . . . (s − k + 1)
= (−1)s−k Ehk
k!
k=0

2.2.4 Extension to reals


∆α 0 α
h = (Eh − Eh )
X∞ µ ¶
α
∆α
h = (−1)k E α−k
k
k=0
X∞ µ ¶
α
= (−1)α−k E k
k
k=0
X∞
α(α − 1)(α − 2) . . . (α − k + 1)
= (−1)k Ehα−k
k!
k=0

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CHAPTER 2. NUMERICAL ASPECTS 2.2. FORWARD DIFFERENCE OPERATOR

2.2.5 Null space of the forward difference operator


The null space of the forward difference operator N {∆α α
h } includes every function f such that ∆h f =
0. Functions that exist in N {∆α h } include every periodic function with period h and for α = n, all
polynomials of degree n − 1. This might not be a complete list, but the point is that N {∆α }
h is
not trivial. For the sake of this summary, p(x) is used to represent the set of functions that exist in
N {∆α h }.
Note that even though ∆α α α
h can be written in terms of the shift operator Eh and N {Eh } is
trivial, the null space of the forward difference operator is not trivial.

2.2.6 Inverse operators


If Y is a function whose first difference is the function y, then Y is called an indefinite sum of y and
is denoted by ∆−1h y, i.e.,

if ∆h Y = y(x), then ∆−1


h y(x) = Y (x) + p(x).

where p(x) ∈ N {∆α h }.


Finding an indefinite sum of y is the problem inverse to finding the difference of y. Instead
of starting with y and differencing it, we instead seek another function which results in y upon being
differenced. If s is a negative integer such that s = −n, then the following is true:

∆nh ∆sh f (t) = f (t)


∆sh ∆nh f (t) = f (t) + p(x)

Similarly,

∆α −α
h ∆h f (t) = f (t)
α
∆−α
h ∆h f (t) = f (t) + p(x)

2.2.7 Numerical implementation


There are two possible formulas for implementing the forward difference operator numerically,
∞ µ ¶
X α
∆α
h = (−1)k E α−k
k
k=0

and
∞ µ ¶
X α
∆α
h = (−1)α−k E k
k
k=0

The first option results in real coefficients and fractional step sizes, while the second provides complex
coefficients with integer order steps (if α 6∈ N). While both are equally valid, the first will be used for
convenience sake to avoid the use of complex coefficients. Using this formula, implementation of ∆α h
is straightforward for α ≥ 0, ∈ Q, although it has the disadvantage of requiring data at fractional
step sizes if α 6∈ N. However, if α ∈ Q then α can be written as α = pq and the problem of requiring
data at fractional time steps can be avoided by taking the sampling rate to be f = hq . Now given a

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2.2. FORWARD DIFFERENCE OPERATOR CHAPTER 2. NUMERICAL ASPECTS

signal F (t) and sampling at the appropriate frequency results in the data set Fi = F (to + i hq ). The
forward difference of order α at point Fi is now given by
∞ µ ¶
X α
∆α
h Fi = (−1)k Ehα−k Fi
k
k=0

where
p
Ehα−k Fi = Fi+p−kq , α =
q
¡ ¢
¡For
¢ α ∈ N, this is very simple
¡ ¢ as every αk = 0 for k > α. However, for α ≥ 0 and
α 6∈ N, αk 6= 0 for k > α. Luckily, αk → 0 as k → ∞, so only a a few terms for k > α are needed to
approximate the sum. Also note that the data required to calculate the fractional forward difference
at Fi requires data not only at fractional multiples of h, but also at points both before and after ti .
For α 6∈ Q, numerical implementation of the forward difference operator can only be ap-
proximated.
Implementation of ∆α h is more complicated for α < 0 because the binomial coefficient does
not necessarily tend to zero as k goes to infinity. While it is straightforward, there is no guarantee
the series will converge which decreases its usefulness.
Implementing an infinite sum numerically is no easy task, and only taking a few terms is
not always a good idea because the number of terms needed to be even somewhat accurate depends
on α. However, a simple assumption can simplify the infinite sum to a finite sum. When dealing
with a discrete data set fi = f (a + i hq ), there is always an initial and final data point, f0 = f (a)
and fn = f (a + n hq ). When considering ∆α h Fi it is obvious to see data is required at points Fi+p−kq ,
which, as k → ∞, requires data before f0 = f (a), which does not exist, or you do not have.
However, by making the assumption that Fi = 0 for i < 0 (F (a + t) is causal), the infinite sum can
be simplified to a finite sum from k = 0 to k = n, where n = t−a h . Denoting this operator with the
causal assumption as a ∆α h , we can write
n µ ¶
X α
α
a ∆h Fi = (−1)k Ehα−k Fi
k
k=0

where
p
Ehα−k Fi = Fi+p−kq , α =
q
t−a
and n = h .

2.2.8 Linear equations


To find f (t) given g and

j
X
∆α
h f =g
i

i=1

along with j independent conditions on f .

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CHAPTER 2. NUMERICAL ASPECTS 2.3. BACKWARD DIFFERENCE OPERATOR

2.3 Backward Difference Operator


2.3.1 Definitions

def
∇h f = f (t) − f (t − h)
n times
def
z }| {
∇nh f = ∇h (∇h . . . (∇h f ) . . .)

2.3.2 Properties

∇nh (f + g) = ∇nh f + ∇nh g


∇nh (αf ) = α∇nh f
∇(f g) = f ∇g + E −1 g ∇f = E −1 f ∇g + g∇f
(∇nh + ∇m n m
h ) f = ∇h f + ∇h f
m+n
∇nh ∇m
m f = ∇h f
∇h = Eh0 − Eh−1
= Eh−1 ∆h
∇h Eh = Eh ∇h
= ∆h
∇1h = ∇h
∇nh = (I − Eh−1 )n
Xn µ ¶
n
= (−1)n−k Ehk−n
k
k=0
Xn µ ¶
n
= (−1)k Eh−k
k
k=0

2.3.3 Extension to negative integers

∇0h = I
∇sh = (I − Eh−1 )s
X∞ µ ¶
s
= (−1)s−k Ehk−s
k
k=0
X∞ µ ¶
s
= (−1)k Eh−k
k
k=0

2.3.4 Extension to reals

∇α −1 α
h = (I − Eh )

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2.3. BACKWARD DIFFERENCE OPERATOR CHAPTER 2. NUMERICAL ASPECTS

X∞ µ ¶
α
= (−1)α−k Ehk−α
k
k=0
X∞ µ ¶
α
= (−1)k Eh−k
k
k=0
X∞
α(α − 1)(α − 2) . . . (α − k + 1)
= (−1)k Eh−k
k!
k=0

2.3.5 Null space of the backward difference operator


The null space of the backward difference operator N {∇α h } includes every function f such that
∇αh f = 0. Functions that exist in N {∇ α
h } include every periodic function with period h, and for
α = n, all polynomials of degree n − 1. Not surprisingly, any function f ∈ N {∇α α
h } is also in N {∆h },
α
thus p(x) is again used to represent the set of all functions that span N {∇h }.

2.3.6 Inverse operators


If Y is a function whose first difference is the function y, then Y is called an indefinite sum of y and
is denoted by ∇−1h y, i.e.,

if ∇h Y = y(x), then ∇−1


h y(x) = Y (x) + p(x).

where p(x) is the set of functions that span N {∇α h }.


Finding an indefinite sum of y is the problem inverse to finding the difference of y. Instead
of starting with y and differencing it, we instead seek another function which results in y upon being
differenced. If s is a negative integer such that s = −n, then the following is true:

∇nh ∇sh f (t) = f (t)


∇sh ∇nh f (t) = f (t) + p(x)

Likewise, for α > 0,

∇α −α
h ∇h f (t) = f (t)
α
∇−α
h ∇h f (t) = f (t) + p(x)

2.3.7 Numerical Implementation


Numerical implementation of the backward difference operator ∇α h for α ≥ 0 is similar to that of
∆αh , but is even more straightforward. Given a function F (t) sampled such that the discrete data
set is given by Fi = F (a + ih), then the backward difference of order α at Fi is given by
∞ µ ¶
X α
∇α
h Fi = (−1)k Eh−k Fi
k
k=0

where

Eh−k Fi = Fi−k

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CHAPTER 2. NUMERICAL ASPECTS 2.4. DIFFERENTIAL OPERATOR

¡ ¢
¡α¢ for α ∈ N, this is very¡αsimple
Once again, ¢ as every αk = 0 for k > α. However, for α ≥ 0 and
α 6∈ N, k 6= 0 for k > α. Luckily, k → 0 as k → ∞, so only a a few terms for k > α are needed to
approximate the sum. Also note that to calculate the fractional backward difference at Fi requires
data only at or before ti and only at integer step sizes, which are the two main advantages of using
the backward difference.
When dealing with a discrete data set fi , there is always an initial data point f0 = f (a).
From the formula above for ∇α α
h Fi , it is easy to see that the numerical implementation of ∇h requires
α
data at Fi−k , so as k → ∞, ∇h requires data before f0 , which does not exist. However, by assuming
Fi to be causal (Fi = 0 for i < 0), the formula can be simplified and the infinite sum becomes finite,
which can now be easily calculated. Denoting a ∇α h as the backward difference operator with Fi = 0
for i < 0, we can write

n µ ¶
X
α α
a ∇h Fi = (−1)k Eh−k Fi
k
k=0

where

Eh−k Fi = Fi−k
t−a
and n = h .
Implementation of ∇α h is more complicated for α < 0 because the binomial coefficient does
not necessarily tend to zero as k goes to infinity. While it is straightforward, there is no guarantee
the series will converge which decreases its usefulness.
Alternatively, as was the case with the forward difference, there is another way to implement
the backward difference operator that has decided disadvantages when compared to the previous
method. The backward difference of a function at point Fi can also be expressed as
∞ µ ¶
X s
∇α
h Fi = (−1)α−k Ehk−α Fi
k
k=0

Now, for α 6∈ N, it is obvious that this implementation results in both imaginary coefficients and
fractional step sizes. The combination of the two make it very impractical.

2.4 Differential operator


2.4.1 Definitions
The differential operator can be defined using both the forward and backward difference operators
∆ and ∇. With the forward difference operator
µ ¶
def ∆h f
Df = lim
h→0 h
n times
z
def
}| {
n
D f = D (D . . . (Df ) . . .)
µ n ¶
n ∆h f
D f = lim
h→0 hn

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2.4. DIFFERENTIAL OPERATOR CHAPTER 2. NUMERICAL ASPECTS

Using the backward difference operator


µ ¶
def ∇h f
Df = lim
h→0 h
n times
z def
}| {
n
D f = D (D . . . (Df ) . . .)
µ n ¶
n def ∇h f
D f = lim
h→0 hn

2.4.2 Properties
Properties of the differential operator are independent of the choice of difference operator used to
define it. The following properties are true for both definitions.

(Dn + Dm ) f = Dn f + Dm f
Dn (f + g) = Dn f + Dn g
Dn (αf ) = αDn f
D(f g) = f Dg + g Df
D1 = D
Dm Dn f = Dm+n f

2.4.3 Extension to reals


Like the shift and difference operators, the differential operator can also be extended to include
derivatives of arbitrary real order. Using the forward difference definition and α > 0:
µ α ¶
∆h f
Dα f = lim
h→0 hα

For the backward difference definition:


µ ¶
α ∇αhf
D f = lim
h→0 hα

Derivatives of order α ≤ 0 are not considered in this section, but will be discussed with integral
operators.

2.4.4 Null space of the differential operator


The differential operator is another operator with a non-trivial null space. In general, N {Dα } =
{f ∈ F : Dα f = 0}. For α = n where n is an integer, N {Dn } = C(x), the set of polynomial functions
¡ n − 1. If the¢operator L is taken to be a linear combination of differential operators such as
of order
L = D2 + D1 + D0 , then the null space includes functions of the type f = eλx . The point, once
again, is that the null space of the differential operator is non-trivial.
When solving differential equations of the type Lf = g, the homogeneous solution (the
solution to the equation Lf = 0) is exactly the set of functions (and using the superposition principle,
the sum of all such functions) that lie in the null space of the operator L.

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CHAPTER 2. NUMERICAL ASPECTS 2.4. DIFFERENTIAL OPERATOR

2.4.5 Inverse operators


If Y is a function that when operated upon by Dα (α > 0) results in the new function y, then Y is
called the anti-derivative, or integral of y and is denoted by D−α y, i.e.,

if Dα Y (x) = y(x), then D−α y(x) = Y (x) + C

The inverse for a differential operator of order α is an integral, or anti-derivative, of the


same order. However, this inverse is only unique to a constant if initial conditions or boundary
conditions are not provided. Likewise, the inverse of an integral operator is a derivative of the same
order. This inverse is unique. Mathematically, this can be expressed as

D1 J 1 f = f
J 1 D1 f = f + C

where the new operator J is used to denote an integral. More generally,

Dα J α f = f
J α Dα f = f + C(x)

where J α is an integral of order α, defined as J α = D−α . Alternatively,

Dα D−α f = f
D−α Dα f = f + C(x)
J α J −α f = f + C(x)
J −α J α f = f

2.4.6 Numerical implementation


Now on the discrete level, the derivative of any order (including fractional order) can be approximated
using finite differences. The finite difference formula based on the forward differencing scheme for a
derivative of order α for α > 0 can be derived from
³ 1 X ∞ µ ¶ ´
α α k α−k
Dh f = lim (−1) E h f
h→0 hα k
k=0

Similarly,
∞ µ ¶
³ 1 X ´
α
Dhα f = lim (−1)k −k
E h f
h→0 hα k
k=0

for the backward difference formulation of the differential operator. Implementation is thus slightly
complicated because of the infinite upper limit on the summation. This infinite upper limit means,
in a physical sense, that the derivative of a function f at time t = τ depends on the complete history
of the signal, for all −∞ < t < τ . This problem can be simplified by taking h = t−a n where a and
t are the lower and upper limits of differentiation, respectively. This allows us to write n = t−a h ,
so now as h → 0, n → ∞. Now the derivative can be approximated by a finite difference formula
assuming h is small. Alternatively, the use of terminals to convert the infinite sum to a finite sum
can be considered to be an assumption that the signal is causal, or that the signal or function f = 0

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2.4. DIFFERENTIAL OPERATOR CHAPTER 2. NUMERICAL ASPECTS

for t < a, which is, effectively, the case when dealing with a discrete data set that surely does
not extend to t = −∞. Now the fractional order finite difference approximation using the forward
difference is given as
n µ ¶
1 X α t−a
aD
α
f≈ (−1)k Ehα−k f, where n =
hα k h
k=0

Similarly,
n µ ¶
α 1 X α t−a
aD f ≈ (−1)k Eh−k f, where n =
hα k h
k=0

for the backward difference definition of the differential operator.


As can be seen above, the formula using the backward differencing scheme has a distinct
advantage over the forward differencing scheme in that it does not require data at fractional step
sizes (the forward difference based model requires data at fractional time steps through the operator
E α−k ). The forward difference scheme also has the added problem of requiring data at times both
before and after the time step where the derivative or integral is being calculated. While this poses
no real problem to calculating the derivative or integral given a discrete data set, it does pose a
problem from a practical standpoint in that it causes the derivative to depend not only on the
signal’s history, but its future as well.

Linear equations
To find f (t) given g and
j
X
Dαi f = g
i=1

along with j independent conditions on f .

Eigenvalue problem

2.4.7 Derivatives and Integrals with Limits


When performing the typical integration of a function, limits are necessary to eliminate the constant
of integration. Limits, or terminals as we will call them, serve the same function when evaluating
integrals and derivatives of non-integer order using the shift and difference operators as well as serving
another purpose. The differential operator defined in terms of the forward difference operator ∆α h,
where α < 0, is
µ α ¶
α ∆h f
D f = lim
h→0 hα
n µ ¶
1 X α
= lim α (−1)k Ehα−k f
h→0 h k
k=0

which, for finite and fixed n, tends to the uninteresting limit Dα f = 0 as h → 0. Only if, as seen
before, this upper limit is set at infinity will an interesting answer be produced. However, if we take

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CHAPTER 2. NUMERICAL ASPECTS 2.5. INTEGRAL OPERATORS

h = t−a
n where t and a are the upper and lower terminals of the integro-differentation, respectively,
then n → ∞ as h → 0. This allows us to write
µ α ¶
α ∆h f
D
a t f = lim
h→0 hα
nh=t−a
n µ ¶
1 X α
= lim (−1)k Ehα−k f
h→0 hα k
nh=t−a k=0

which represents the derivative of order β if α = β and the β-fold integral if α = −β. Following the
same steps as above, the derivative of order β if α = β and the β-fold integral if α = −β using the
backward difference definition of the differential operator yields
µ α ¶
α ∇h f
a Dt f = lim
h→0 hα
nh=t−a
n µ ¶
1 X α
= lim (−1)k Eh−k f
h→0 hα k
nh=t−a k=0

2.5 Integral operators


2.5.1 Indefinite integrals
The integral operator has been discussed in short in the previous section, but for the sake of com-
pleteness, a thorough discussion will be included herein.

Definition
The indefinite integral has already been defined in terms of the inverse of the derivative. If Y is a
function that when operated upon by D1 results in the new function y, then Y is the integral, or
anti-derivative, of y and is denoted by D−1 y, i.e.,

if DY = y, then D−1 y = Y + C

The integral can also be represented using the notation J n , which is read the n-fold integral,
or the integral of order n. Using the definition of the derivative based on the forward differencing
scheme,

Jf = D−1 f + C
¡ ∆−1
h f
¢
= lim −1
+C
h→0 h
J n f = D−n f + C(x)
¡ ∆−n
h f
¢
= lim −n
+ C(x)
h→0 h
Using the backward differencing scheme,

Jf = D−1 f + C

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2.5. INTEGRAL OPERATORS CHAPTER 2. NUMERICAL ASPECTS

¡ ∇−1
h f
¢
= lim −1
+C
h→0 h
J n f = D−n f + C(x)
¡ ∇−n
h f
¢
= lim −n
+ C(x)
h→0 h

In all of the above cases, C and C(x) are the set of functions or vectors that span the null space
of the operators D−1 and D−n , respectively.

Properties

The integral shares many of the same properties of the derivative.

(J n + J m ) f = J n f + J m f
J n (f + g) = J n f + J n g
J n (αf ) = αJ n f
J1 = J
J m J n f = J m+n f

Extension to negative integers

In the previous section covering differential operators, the extension to negative powers was not
made. By now, the reasons why are obvious. Now, before extending the definition of an integral
operator to negative integer order, we must first relate integrals of integer order to derivative of
negative integer order. The integral can be viewed as the extension of the derivative operator to
negative powers. Thus extending the integral to a negative integer power is, in effect, the same as
a derivative of integer order, which has already been discussed. Mathematically,

J n = D−n f + C(t)
µ −n ¶
∆h f
= lim + C(t)
h→0 h−n

and

J n = D−n f + C(t)
µ −n ¶
∇h f
= lim + C(t)
h→0 h−n

In both cases, C(t) exists in the null space of Dn .


In similar fasion to before, an integral of order s = −n is the same as a derivative of order
n,

J −n = Dn

which has been discussed previously.

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CHAPTER 2. NUMERICAL ASPECTS 2.5. INTEGRAL OPERATORS

Extension to reals
Similarly, integration of order α is related to differentiation of order α through the following (for
α ≥ 0):

J α = D−α + C(t)
J −α = Dα

2.5.2 Null space of the indefinite integral operator


Generally, when considering the integral operator J α , only for values of α ≥ 0 is J α considered to
be an integral. For α < 0, J α represents the differential operator. A discussion of the differential
operator’s null space, inverse, and implementation has already been included, so we will focus here
on J α with α ≥ 0.
The null space of the integral operator (J α , α ≥ 0) is defined as N {J α } = {f ∈ F : J α f =
0}. While not proven here, N {J α } = 0, meaning the equation J α f = 0 has only the trivial solution
f = 0, and thus the indefinite integral operator has a trivial null space.

Inverse operators
Integration is defined as the inverse to a differential operator. As would be expected, the differential
operator is the inverse to the integral operator J α . However, unlike before, the inverse to the integral
operator is unique, which is also expected, as the null space of the integral operator is trivial.

Dα J α f = f

Alternatively, the inverse of the indefinite integral operator can be defined as follows. If y
is a function that when operated upon by J α (α ≥ 0) results in the function Y + C(x), then y is
called the derivative of Y + C(x) and is denoted by Dα {Y + C(x)} or J −α {Y + C(x)}, i.e.,

if J α y(x) = Y (x) + C(x), then Dα {Y + C(x)} = y(x)

where C(x) ∈ N {Dα }.

Numerical implementation
Implementing the indefinite integral numerically, as defined above, is not an easy task and requires
the evaluation of an infinite sum and is still is not unique as any function in the null space of
the corresponding differential operator can be added to to the result. For these reasons indefinite
integration through discrete formulas is impractical. However, if the definition is changed slightly,
implementation of the indefinite integral becomes simple.

2.5.3 Indefinite integration with terminals


Indefinite and definite integration are two different operators related by the first fundamental theo-
rem of calculus, which states that if f is continuous on the interval [a, b] and F is the anti-derivative
(or indefinite integral) of f such that F = Jf , then
Z b
f (x)dx = F (a) − F (b)
a

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2.5. INTEGRAL OPERATORS CHAPTER 2. NUMERICAL ASPECTS

From this theorem, it is noteworthy that the indefinite integral operator J operates on a function
and returns another function, J : F → F. while the definite integral operator, a Jb , where a and b
are the upper and lower limits or terminals of the operation, operates on a function and returns a
real number, a Jb : F → R.
The second fundamental theorem of calculus holds for a function f , continuous on an open
interval I, and a is any point in I, and states that if F is defined by
Z x
F (x) = f (t)dt
a
then
F ′ (x) = f (x)
at each point in I. This integral operator with an indefinite terminal, another form of indefinite
integration, operates on a function and returns another function, a J : F → F. Using this form of
indefinite integration allows us to numerically compute the indefinite integral using a data series.

Definition
Denoting the integral operator with an indefinite terminal as a J, the operator is defined by the
following. If Y is a function that when operated on by D1 results in the new function y, then Y is
the integral, or anti-derivative of y and is denoted by a Jy or D−1 , i.e.,
if DY = y, then a Jy =Y
Using this definition, the lower terminal a serves as an initial, or boundary condition to eliminate
the unknown C(x) that was present before. In this way, a J is defined as the inverse to the operator
D,
a Jf = D−1 f
µ ¶
∆−1
h f
= lim
h→0 h−1
nh=t−a

but unlike J, this operation is unique.


The definition can be extended to positive integers as
n
aJ = D−n
µ ¶
∆−n
h f
= lim
h→0 h−n
nh=t−a

Properties
Extension to negative integers
The operator a J can be extended to negative numbers in the same fashion as J. Using the definition
as the inverse to the derivative,
aJ
−n
=a Dn
µ ¶
∆nh f
= lim
h→0 hn
nh=t−a

which is, obviously, just the derivative operator of order n.

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CHAPTER 2. NUMERICAL ASPECTS 2.5. INTEGRAL OPERATORS

Extension to reals
Likewise, the extension to all real numbers is straight forward. For α ≥ 0,
α
aJ = D−α
µ ¶
∆−α
h f
= lim
h→0 h−α
nh=t−a
−α α
aJ =D
µ ¶
∆αhf
= lim
h→0 hα
nh=t−a

2.5.4 Null space of the integral operator with terminals


Like the indefinite integral form discussed previously, the null space of the integral operator with
terminals is also trivial. That is N {a J} = 0, or, the only solution to the equation a Jf = 0 is the
trivial solution f = 0.

Inverse operators
Having been defined as the inverse to the derivative, it is, once again, not surprising to find the the
inverse of the indefinite integral operator with terminals of order α is the differential operator of
order α. The inverse of J α is unique and is given by Dα . Mathematically,

Dα a J α f = f

Also interesting to note is the fact that


α
aJ Dα f = f

which is not the same as before. This is another way of saying that a J α is the unique inverse of the
operator Dα .

Numerical implementation
Now that the integral operation (defined as the inverse to the derivative) is unique, it can be
implemented numerically. Previously, the operator a J α was given as
α
aJ = D−α
µ ¶
∆−α
h f
= lim
h→0 h−α
nh=t−a

or using the backward difference definition,


α
aJ = D−α
µ ¶
∇−α
h f
= lim
h→0 h−α
nh=t−a

27 c Mihir Sen, 2014


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2.6. NUMERICAL IMPLEMENTATION SUMMARY CHAPTER 2. NUMERICAL ASPECTS

Now writing the difference operators as a sum gives


µ −α ¶
α ∆h f
a J f = lim
h→0 h−α
nh=t−a
Xn µ ¶
α
= lim h α
(−1)k Ehα−k f
h→0 k
nh=t−a k=0

and
µ ¶
α ∇−α
h f
aJ f = lim
h→0 h−α
nh=t−a
Xn µ ¶
α α
= lim h (−1)k Eh−k f
h→0 k
nh=t−a k=0

The integral can now be approximated as


α
aJ f= lim hα ∆α
hf
h→0
nh=t−a
Xn µ ¶
α
≈h α
(−1)k Ehα−k f
k
k=0

and
α
aJ f= lim hα ∇α
hf
h→0
nh=t−a
Xn µ ¶
α α
≈h (−1)k Eh−k f
k
k=0

t−a
where, for both cases, n = h . As before, the backward differencing result again has an obvious
advantage over the forward difference in that data is only required at regular intervals. When
implementing this numerically, then h is the step-size, n is the number of intervals between t and a
(or n − 1 is the number of points), and a is the starting point for the integration.

2.5.5 Definite integrals


Definite integration is exactly as its name implies: definite. A definite integral is calculated or
evaluated over a given interval. A definite integral evaluated over the interval [a, b] is written a Jb .
The definite integral is merely a special case of the indefinite integral discussed previously, only with
a definite upper and lower limit. All of the discussion in the previous section all applies here, but
with the upper bound (previously x) replaced with the constant b. Now, as was discussed before,
a Jb : F → R. One important difference between the definite and indefinite integral is that the null
space of the definite integral is not trivial.

2.6 Numerical implementation summary


We have already briefly discussed the shift, forward difference, backward difference, differential, and
integral operators. This section is just a brief summary of the results.

28 c Mihir Sen, 2014


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CHAPTER 2. NUMERICAL ASPECTS 2.6. NUMERICAL IMPLEMENTATION SUMMARY

25

F(t) = t3 − t2
f(t) = F(t+α h)
20 gi = Eα F
h i

15
F,f and g

10

−5
0 0.5 1 1.5 2 2.5 3
t

Figure 2.1: The function f (t) = t3 − t2 , the function f (t + αh), and Ehα Fi . Shown for α = 0.5.

2.6.1 Finite difference formulas


These formulas can be used to numerically implement the following operators:

Shift
Given the data fi = f (a + ih), implementation of Ehs fi where s ∈ Z is simply
Ehs fi = fi+s

Given the data fi = f (a + i hq ), implementation of Ehα fi where α = pq , ∈ R is simply

Ehα fi = fi+p
Note that in order to shift in fractional steps of h, the data set must be sampled at a frequency q/h.
Also note that the formula for Ehs is simply a special case of Ehα , with q = 1. Figure 2.2 shows the
shift operator Ehα applied to fi = f (a + i hq ) where f (t) = t3 − t2 for two different pairs of α and h.

Forward difference
p
Given the data fi = f (a + i hq ), implementation of the operator a ∆α
h where α = q , is given by
n µ ¶
X α
α
a ∆h fi = (−1)k Ehα−k fi
k
k=0
Xn µ ¶
α
= (−1)k fi+p−kq
k
k=0
t−a
where n = h . Figure 2.4 shows a function f (t) and its fractional forward difference or order α,
calculated using the above formula for two values of α.

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2.6. NUMERICAL IMPLEMENTATION SUMMARY CHAPTER 2. NUMERICAL ASPECTS

18
F(t) = t3 − t2
16 f(t) = F(t+α h)
Eαh i
F
14

12

10
F,f and g

−2
0 0.5 1 1.5 2 2.5 3
t

Figure 2.2: α = −4/3, h = 0.18. The function f (t) = t3 − t2 , the function f (t + αh), and Ehα Fi .
Shown for α = 4/3.

F = x2.1
4.5
f = ∆α F
g = a∆αF
4

3.5

3
F, f and g

2.5

1.5

0.5

0
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
t

Figure 2.3: α = 1/3. The function f (t) = t2.1 , its forward difference of order α, and the forward
difference of order α calculated numerically. Shown for both α = 1/3 and α = −1/2.

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CHAPTER 2. NUMERICAL ASPECTS 2.6. NUMERICAL IMPLEMENTATION SUMMARY

5
2.1
F=x
4.5
α
f=∆ F
α
g= ∆ F
4 a

3.5

3
F, f and g

2.5

1.5

0.5

0
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
t

Figure 2.4: α = −1/2. The function f (t) = t2.1 , its forward difference of order α, and the forward
difference of order α calculated numerically. Shown for both α = 1/3 and α = −1/2.

Backward difference
Given the data fi = f (a + ih), a ∇α
h fi is given by

n µ ¶
X α
∇α
h fi = (−1)k Eh−k fi
k
k=0
Xn µ ¶
α
= (−1)k fi−k
k
k=0

where n = t−a
h . Figure 2.6 shows a function f (t) and its fractional backward difference or order α,
calculated using the above formula for two values of α.

Differential
Given the data fi = f (a + ih), the differential operator of order α can be implemented as
n µ ¶
α 1 X α
a D fi ≈ α (−1)k Eh−k fi
h k
k=0
n µ ¶
1 X α
≈ α (−1)k fi−k
h k
k=0

where n = t−ah is the number of intervals of step size h between t and a, or n + 1 is the number of
data points between a and t.
Figure 2.8 shows a function f (t) with both its analytical derivative of order α and its
derivative of order α calculated using the above formula, for two different values of α.

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2.6. NUMERICAL IMPLEMENTATION SUMMARY CHAPTER 2. NUMERICAL ASPECTS

4.5
2.1
F=x
4 α
f=∇ F
α
g= ∇ F
a
3.5

3
F,f and g

2.5

1.5

0.5

0
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
t

Figure 2.5: α = 1/2. The function f (t) = t2.1 , its backward difference of order α, and the backward
difference of order α calculated numerically. Shown for both α = 0.5 and α = −2/3.

180

F = x2.1
f = ∇α F
160
g = a∇αF
140

120
F,f and g

100

80

60

40

20

0
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
t

Figure 2.6: α = −2/3. The function f (t) = t2.1 , its backward difference of order α, and the backward
difference of order α calculated numerically. Shown for both α = 0.5 and α = −2/3.

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CHAPTER 2. NUMERICAL ASPECTS 2.6. NUMERICAL IMPLEMENTATION SUMMARY

1.6

1.4 F = x2.1
f = DαF
g = aDα
1.2

1
F,f and g

0.8

0.6

0.4

0.2

0
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
t

Figure 2.7: α = 0.5. The function f (t) = t2.1 , its analytical derivative of order α, and the derivative
of order α calculated numerically. Shown for both α = 0.5 and α = 4/3.

2.5

F = x2.1
f = DαF
2 g = aDαF

1.5
F,f and g

0.5

0
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
t

Figure 2.8: α = 4/3. The function f (t) = t2.1 , its analytical derivative of order α, and the derivative
of order α calculated numerically. Shown for both α = 0.5 and α = 4/3.

33 c Mihir Sen, 2014


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2.7. BINOMIAL COEFFICIENTS CHAPTER 2. NUMERICAL ASPECTS

0.9 F = x2.1
f = DαF
0.8 g = aDαF

0.7

0.6
F,f and g

0.5

0.4

0.3

0.2

0.1

0
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
t

Figure 2.9: α = 0.5. The function f (t) = t2.1 , its analytical integral of order α, and the integral of
order α calculated numerically. Shown for both α = 0.5 and α = 4/3.

Integral

Given the data fi = f (a + ih), the integral operator of order α can be implemented as

n µ ¶
X
α α α
aJ fi ≈ h (−1)k Eh−k fi
k
k=0
Xn µ ¶
α
≈ hα (−1)k fi−k
k
k=0

where n = t−ah is the number of intervals of step size h between t and a, or n + 1 is the number of
data points between a and t. Note that the discrete formula for the α-order integral is the same as
the α-order derivative of order −α, thus the same numerical formula is implemented.
Figure 2.10 shows a function f (t) with both its analytical integral of order α and its integral
of order α calculated using the above formula, for two different values of α.

2.7 Binomial coefficients


In the following α ∈ R; n, k ∈ N = {1, 2, 3, . . .}. In mathematics, the binomial theorem is an
important formula giving the expansion of powers of sums. Its simplest version reads
n µ ¶
X n k n−k
n
(A + B) = A B
k
k=0

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CHAPTER 2. NUMERICAL ASPECTS 2.7. BINOMIAL COEFFICIENTS

F = x2.1
0.9
α
f=D F
g = aDαF
0.8

0.7

0.6
F,f and g

0.5

0.4

0.3

0.2

0.1

0
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
t

Figure 2.10: α = 4/3. The function f (t) = t2.1 , its analytical integral of order α, and the integral of
order α calculated numerically. Shown for both α = 0.5 and α = 4/3.

¡ ¢
where nk are the binomial coefficients defined in the following section. When generalized for any
real exponent, the result is
∞ µ ¶
X α
(A + B)α = Ak B α−k
k
k=0

The preceding formula is known as the generalized binomial theorem and is not only valid for α ∈ R,
but for α ∈ C as well.
¡In¢ the following α ∈ R; n, k ∈ N = {1, 2, 3, . . .}; s ∈ Z = {. . . , −2, −1, 0, 1, 2, . . .}. The
symbol nk denotes a binomial coefficient and is commonly read ’n choose k.’ While the binomial
coefficient is most commonly defined in terms of the factorial, which limits its usefulness to positive
integers, its definition can be expanded to allow for both positive and negative non-integer arguments.

2.7.1 Properties
The binomial coefficient possesses the following properties:
µ ¶ µ ¶
n n
= =1
0 n
µ ¶ µ ¶
n n
=
k n−k
µ ¶ µ ¶
n k−n−1
= (−1)k
k k
µ ¶ µ ¶
n n n−k
=
k k k+1

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2.7. BINOMIAL COEFFICIENTS CHAPTER 2. NUMERICAL ASPECTS

µ ¶ µ ¶ µ ¶
n+1 n n
= +
k k k−1

2.7.2 Positive integers


For n, k ∈ N,
µ ¶
n n!
=
k (n − k)!k!

2.7.3 Positive reals


Writing the factorial as a gamma function Γ(n + 1) = n! allows the binomial coefficient to be
generalized to non-integer arguments. Assuming α > 0, k ∈ N,
µ ¶
α Γ(α + 1)
=
k k!Γ(α − k + 1)
µ ¶
α α(α − 1)(α − 2) . . . (α − k + 1)
=
k k!

2.7.4 Negative integers


While the Gamma function and factorial are not defined for negative integers, it is still possible to
define the binomial coefficient. For s < 0, or s = −n, and k ∈ N the following is true:
µ ¶
−n (n + k − 1)!
= (−1)k
k k!(n − 1)!
µ ¶
s (k − s − 1)!
= (−1)k
k k!(−s − 1)!
µ ¶
s s(s − 1)(s − 2) . . . (s − k + 1)
=
k k!

2.7.5 Negative reals


For α ∈ R, α > 0, and k ∈ N
µ ¶
−α Γ(α + k)
= (−1)k
k Γ(α)!k!
µ ¶
−α −α(−α − 1)(−α − 2) . . . (−α − k + 1)
=
k k!

2.7.6 All real numbers


For any α ∈ R and k ∈ N the binomial coefficient can be generalized to
µ ¶
α α(α − 1)(α − 2) . . . (α − k + 1)
=
k k!
Yk
α−k+n
=
n=1
n
This final expression is known as the generalized binomial coefficient.

36 c Mihir Sen, 2014


°
Chapter 3

Applications

3.1 Networks
[28, 40]

3.1.1 Infinite trees

http://www3.nd.edu/~msen/Teaching/FracDer/Papers/Mayes2011.pdf

An infinite tree is a structure of the form shown in Fig. 3.1. For linear, unsteady potential-
driven flow, in each branch we have [39]

Tij (uij ) = ∆φij

where ∆φij is the driving potential in the branch, and uij is the resulting flow. For the overall tree
network,

TN (u) = ∆φ,

where u and ∆φ are overall quantities.


As an example, for laminar flow in the pipe ij we have

duij
+ aij uij = bij ∆φij ,
dt

where uij is the volume flow rate, ∆φij is the pressure difference, and aij and bij are constants for
this pipe. Thus

d
Tij = + aij
dt

37
3.1. NETWORKS CHAPTER 3. APPLICATIONS

i=1 i=2 i=3 i=n

Tn1
T31
T21 T32

T11 T22 T33


T34
φ + ∆φ T35 φ
T12 T23 T36
T24 T37
T38
T2n

Figure 3.1: Tree with potential-driven flow.

Symmetric tree
[39]
Replace Tij with T1 and T2 for j odd and even, respectively. The overall result is

T∞ = lim TN ,
N →∞
1
= ,
1 1
+
1 1
T1 + T2 +
1 1 1 1
+ +
T1 + . . . T2 + . . . T1 + . . . T2 + . . .
p
= T1 T2

The convergence is shown in the Laplace domain in Figs. 3.2. As N → ∞, TN → T∞ . It is not


necessary to go beyond N = 10 to be able to calculate N → ∞. The reverse is also true: to calculate
a tree for finite but large N , calculating the infinite tree may be an easier approximation.

Capacitor-resistor tree (fractance)


In the case of a time-dependent current i driven by a voltage difference ∆V

Laplace
transform


 iR =⇒ R s0 I (resistor)



 di
L =⇒ L s1 I (inductor)
∆V = dt

 Z


 1 t ′ 1 −1
 i(t ) dt′ =⇒ s I (capacitor)
C a C

38 c Mihir Sen, 2014


°
CHAPTER 3. APPLICATIONS 3.1. NETWORKS

1.4

1.2
TN (s)

0.8

n=∞
0.6
n=6
n=4
0.4
n=1 n=2
0 1 2 3 4 5 6 7 8 9 10
s
(a) T1 = s, T2 = 1

35

30 n=8
TN (s)

25
n=∞
20 n=4
15

10
n=2

5 n=1
0

0 1 2 3 4 5 6 7 8 9 10
s
(b) T1 = s + 1, T2 = s2 + 2s

Figure 3.2: Convergence in Laplace domain for two different sets of T1 and T2 , with T∞ and TN
shown for different values of N .

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3.1. NETWORKS CHAPTER 3. APPLICATIONS

i=1 i=2 i=3 i=N

(sC)−1
−1
(sC)
(sC)−1 R

(sC)−1 R (sC)−1
R
Vin (sC)−1 Vout
R (sC) −1
R
R (sC)−1
R
R

Figure 3.3: Fractance tree (Nakagawa and Sorimachi [46]).

which can be written as

∆V = iZ

where Z is the impedance.


The fractance, which is the equivalent impedance of the alternating-current (AC) tree shown
in Fig. 3.3, was first investigated by Nakagawa and Sorimachi [46]. As a special case, the left branch
is taken to be a capacitance with impedance (sC)−1 and the right with R, written in Laplace
transform form.
The equivalent circuit shown in Fig. 3.4 gives

1 1 1
= +
Z 1 R+Z
+Z
sC
from which
µ ¶ µ ¶
1 1
+ Z (R + Z) = Z + R + 2Z ,
sC sC
R Z¶ H Z¶
+ ¶ H+ Z = ¶ +H
2 2
+ RZ H + 2Z ,
RZ
sC ¶ sC ¶
sC
µ ¶1/2
R
Z= .
sC

Converting back from the Laplace domain,

∆V (t) = I 1/2 (i),


Z t
(R/C)1/2 i(τ )
= dτ,
Γ(1/2) 0 (t − τ )1/2

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°
CHAPTER 3. APPLICATIONS 3.1. NETWORKS

(sC)−1

R
Z

Figure 3.4: Equivalent to fractance tree.

3.1.2 Self-similar ladders


Circuits
A “domino” ladder is shown in Fig. 3.5. The total impedence Z can be calculated from

1
Z =R+ ,
1
sC +
1
R+
1
sC +
R + ...
which is equivalent to

1
Z =R+ ,
1
sC +
Z
Z
=R+ ,
sCZ + 1
so that

(sCZ + 1) (Z − R) = Z,
2
sCZ + ¡
Z − sCRZ − R = ¡Z,
R
Z 2 − RZ − = 0,
sC
from which
" r #
1 2
4R
Z= R± R + ,
2 sC

of which we choose only the plus sign. For R ≪ 1/sC or sCR ≪ 1,


r
4R
Z≈ ,
sC

41 c Mihir Sen, 2014


°
3.2. NON-LOCAL EFFECTS CHAPTER 3. APPLICATIONS

R R R

C C C

Figure 3.5: Domino ladder.

Figure 3.6: Schematic of network.

3.1.3 Complex networks


X
St (φi ) = uji , (nodal equation),
j

Tt (uji ) = kji (φj − φi ), (coupling equation).

3.2 Non-local effects


3.2.1 History effects
In fluids
Coimbra & Rangel, 2000: ”. . . temperature response of small particles subjected to diffusive and
radiative heat transfer in a homogeneous medium . . . the history term . . . is . . . a Riemann-Liouville-
Weyl half-derivative of the temperature potential between the free-stream and the particle surface.”

³ ρ c a ´ dT Z t ³ ρ c a ´ dT̃
p p p κ κm 1 d(Tp − T̃m ) m m m
+ (Tp − Tm ) + √ √ dτ =
3 dt a παm 0 t−τ dτ 3 dt

http://www3.nd.edu/~msen/Teaching/FracDer/Papers/Coimbra2000.pdf

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°
CHAPTER 3. APPLICATIONS 3.2. NON-LOCAL EFFECTS

x x′

Figure 3.7: Non-local effect in porous medium.

3.2.2 Spatially non-local effects


Spatially non-local porous medium
See Fig. 3.7. Sen & Ramos, 2010

http://www3.nd.edu/~msen/Teaching/FracDer/Papers/Sen2012.pdf

Z∞
u(x) = f (x′ , x) {φ(x′ ) − φ(x)} dx′
−∞

where the flow rate at x is due to the pressure differences between x and all other points x′ . f (x′ , x)
is a flow conductivity that relates the driving pressure difference to the resulting flow.
Special cases:
• Local: If

f (x′ , x) = k(x)δ ′ (x′ − x)

we get Darcy’s law


∂φ
u = −k
∂x
which is a local relationship.
Dirac delta distribution and its derivative

http://en.wikipedia.org/wiki/Dirac_delta_function

• Almost local: One can use nascent delta functions δǫ (x′ − x) for which

lim δǫ (x′ − x) = δ(x′ − x).


ǫ→0+

For example, the Gaussian nascent delta function is


( µ ¶2 )
′ 1 x′ − x
δǫ (x − x) = √ exp − ,
ǫ π ǫ

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°
3.2. NON-LOCAL EFFECTS CHAPTER 3. APPLICATIONS

x
Figure 3.8: Superposition of grains and tubes.

( µ ¶2 )
2(x′ − x) x′ − x
δǫ′ (x′ − x) = − 3 √ exp − .
ǫ π ǫ

For a porous medium that is almost-local, we can take

f (x′ , x) = k(x)δǫ′ (x′ − x),

where ǫ is small but not zero, so that


Z∞
u(x) = k(x) δǫ′ (x′ − x) {φ(x′ ) − φ(x)} dx′ .
−∞

Fig. 3.8 shows the granularity of a porous medium which leads to almost-local behavior.
• Power-law non-local: If
α−1
f (x′ , x) = k (x − x′ )

then

q(x) = kΓ(α) [−∞ Dxα + x D∞


α
] {p(x′ ) − p(x)},

where
Zx
α 1
−∞ Dx g(x) = (x − x′ )α−1 g(x′ ) dx′ ,
Γ(α)
−∞

44 c Mihir Sen, 2014


°
CHAPTER 3. APPLICATIONS 3.3. PROBABILISTIC

Z∞
α 1
x D∞ g(x) = (x − x′ )α−1 g(x′ ) dx′ .
Γ(α)
x

3.3 Probabilistic
[36, 16]

http://www3.nd.edu/~msen/Teaching/FracDer/Papers/Machado2009.pdf

http://www3.nd.edu/~msen/Teaching/FracDer/Papers/Goodwine2014b.pdf

3.4 Fractal and random media


3.5 Fractionally-dependent component
[63]
Bode plot [15]

http://www3.nd.edu/~msen/Teaching/FracDer/Papers/Dzielinski2010.pdf

3.6 Applications to mechanics


3.6.1 Vibrations and elasticity
Non-locality [9], [34]

http://www3.nd.edu/~msen/Teaching/FracDer/Papers/DiPaola2009.pdf

3.6.2 Viscoelasticity
A viscoelastic material is schematically modeled in Fig. 3.9 [2, 19, 25]. The governing equations are

k(x1,1 − x0 ) + µ(ẋ1,2 − ẋ0 ) = f (t),


k(x2,1 − x1,1 ) + µ(ẋ2,2 − ẋ1,1 ) − k(x1,1 − x0 ) = 0,
k(x2,3 − x1,2 ) + µ(ẋ2,4 − ẋ1,2 ) − µ(ẋ1,2 − ẋ0 ) = 0,
k(x3,1 − x2,1 ) + µ(ẋ3,2 − ẋ2,1 ) − k(x2,1 − x1,1 ) = 0,
k(x3,3 − x2,2 ) + µ(ẋ3,4 − ẋ2,2 ) − µ(ẋ2,2 − ẋ1,1 ) = 0,
k(x3,5 − x2,3 ) + µ(ẋ3,6 − ẋ2,3 ) − k(x2,3 − x1,2 ) = 0,
k(x3,7 − x2,4 ) + µ(ẋ3,8 − ẋ2,4 ) − µ(ẋ2,4 − ẋ1,2 ) = 0,
k(x4,1 − x3,1 ) + µ(ẋ4,2 − ẋ3,1 ) − k(x3,1 − x2,1 ) = 0,

45 c Mihir Sen, 2014


°
3.6. APPLICATIONS TO MECHANICS CHAPTER 3. APPLICATIONS

k(x4,3 − x3,2 ) + µ(ẋ4,4 − ẋ3,2 ) − µ(ẋ3,2 − ẋ2,1 ) = 0,


k(x4,5 − x3,3 ) + µ(ẋ4,6 − ẋ3,3 ) − k(x3,3 − x2,2 ) = 0,
k(x4,7 − x3,4 ) + µ(ẋ4,8 − ẋ3,4 ) − µ(ẋ3,4 − ẋ2,2 ) = 0,
k(x4,9 − x3,5 ) + µ(ẋ4,10 − ẋ3,5 ) − k(x3,5 − x2,3 ) = 0,
k(x4,11 − x3,6 ) + µ(ẋ4,12 − ẋ3,6 ) − µ(ẋ3,6 − ẋ2,3 ) = 0,
k(x4,13 − x3,7 ) + µ(ẋ4,14 − ẋ3,7 ) − k(x3,7 − x2,4 ) = 0,
k(x4,15 − x3,8 ) + µ(ẋ4,16 − ẋ3,8 ) − µ(ẋ3,8 − ẋ2,4 ) = 0,
..
.

The Laplace transform is

k(X1,1 − X0 ) + µs(X1,2 − X0 ) = F (s),


k(X2,1 − X1,1 ) + µs(X2,2 − X1,1 ) − k(X1,1 − X0 ) = 0,
k(X2,3 − X1,2 ) + µs(X2,4 − X1,2 ) − µs(X1,2 − X0 ) = 0,
k(X3,1 − X2,1 ) + µs(X3,2 − X2,1 ) − k(X2,1 − X1,1 ) = 0,
k(X3,3 − X2,2 ) + µs(X3,4 − X2,2 ) − µs(X2,2 − X1,1 ) = 0,
k(X3,5 − X2,3 ) + µs(X3,6 − X2,3 ) − k(X2,3 − X1,2 ) = 0,
k(X3,7 − X2,4 ) + µs(X3,8 − X2,4 ) − µs(X2,4 − X1,2 ) = 0,
k(X4,1 − X3,1 ) + µs(X4,2 − X3,1 ) − k(X3,1 − X2,1 ) = 0,
k(X4,3 − X3,2 ) + µs(X4,4 − X3,2 ) − µs(X3,2 − X2,1 ) = 0,
k(X4,5 − X3,3 ) + µs(X4,6 − X3,3 ) − k(X3,3 − X2,2 ) = 0,
k(X4,7 − X3,4 ) + µs(X4,8 − X3,4 ) − µs(X3,4 − X2,2 ) = 0,
k(X4,9 − X3,5 ) + µs(X4,10 − X3,5 ) − k(X3,5 − X2,3 ) = 0,
k(X4,11 − X3,6 ) + µs(X4,12 − X3,6 ) − µs(X3,6 − X2,3 ) = 0,
k(X4,13 − X3,7 ) + µs(X4,14 − X3,7 ) − k(X3,7 − X2,4 ) = 0,
k(X4,15 − X3,8 ) + µs(X4,16 − X3,8 ) − µs(X3,8 − X2,4 ) = 0,
..
.

This can be reduced to


F (s)
X(s) − X0 = ,
1 1
+
1 1 1 1
+ +
k 1 1 µs 1 1
+ +
1 1 1 1
+ ... + ... + ... + ...
k µs k µs
1
= √ s−1/2 F (s).

In the time domain


1
x(t) − x0 = √ I 1/2 f (t),

46 c Mihir Sen, 2014


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CHAPTER 3. APPLICATIONS 3.7. APPLICATIONS TO CONTROLS

x(t) x0
x2,1
x1,1

f (t)

x1,2

x2,4

Figure 3.9: Viscoelastic material.

Z t
(kµ)−1/2
= (t − τ )−3/2 f (τ )dτ.
Γ(1/2) a

Tissue

A ladder model to describe ultrasonic power law attenuation in mammalian tissue is shown in
Fig. 3.10 [28]. The transfer function for stress-strain relationship

1
g(s) = ηs +
1
E −1 +
1
ηs + −1
E + ...
· r ³ ´¸
E ηs ηs ηs
= − + +4
2 E E E
p ηs
≈ ηsE for ≪1
E

Stress-strain relationship

4 ηE 1/2
σ= D ǫ
3

3.7 Applications to controls


[6, 13, 11]

47 c Mihir Sen, 2014


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3.8. APPLICATIONS TO TRANSPORT PHENOMENA CHAPTER 3. APPLICATIONS

Figure 3.10: Ladder model of mammalian tissue.

3.7.1 PIλ Dµ control


Conventional PID controller
¡ ¢
u(t) = a + I 1 + D1 e(t)

Fractional PIλ Dµ controller


¡ ¢
u(t) = a + I λ + Dµ e(t)

3.7.2 Robotic trees


[17]

http://www3.nd.edu/~msen/Teaching/FracDer/Papers/Goodwine2014a.pdf

3.8 Applications to transport phenomena


[32, 33, 68, 70, 1, 53, 54, 62, 23, 56]

3.8.1 Conduction heat transfer

http://www3.nd.edu/~msen/Teaching/FracDer/Papers/Pineda2011.pdf

See Fig. 3.11. Podlubny

∂T ∂2T
=α 2
∂t ∂x

48 c Mihir Sen, 2014


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CHAPTER 3. APPLICATIONS 3.8. APPLICATIONS TO TRANSPORT PHENOMENA

Figure 3.11: Wall with thermocouple.

Figure 3.12: Mass transfer schematic.

Laplace transform in time

d2 Tb
sTb = α
dx2
Heat flux
∂T
q = −k
∂x
k
= √ D1/2 Twall (t)
α

3.8.2 Mass diffusion


Look at Fig. 3.12. If probability of a particle moving a given distance is a power law, then [61]

∂C ∂C
+v = kDβα (C)
∂t ∂x
and

http://www3.nd.edu/~msen/Teaching/FracDer/Papers/Schumer2001.pdf

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3.9. FRACTIONAL EQUATIONS AND CHAOS CHAPTER 3. APPLICATIONS

3.8.3 Fractional time derivative


Fractional model for solute spreading through heterogeneous, fluid-saturated porous media with
random porosity [27].

3/2
∂t hui − ∂x22 hui = η∂t3/2 hui

3.9 Fractional equations and chaos


Seredyńska and Hanyga (2004). Chaos in dynamical system with dimension less than 3. ”A nonlinear
differential equation of fractional order µ between two and three is studied. . . . For µ = 3 the
equation represents a chaotic dynamical system. As µ varies from 2 through 3 the dynamical system
experiences period doublings and triplings and for two ranges of µ becomes chaotic.”

3.10 Experimental evidence


3.10.1 Visco-elasticity
[38, 44]

http://www3.nd.edu/~msen/Teaching/FracDer/Papers/Makris1991.pdf

http://www3.nd.edu/~msen/Teaching/FracDer/Papers/Meral2010.pdf

3.10.2 Circuits

http://www3.nd.edu/~msen/Teaching/FracDer/Papers/Meral2010.pdf

3.10.3 Mass transfer


See Fig. 3.13 [61, 4]

http://www3.nd.edu/~msen/Teaching/FracDer/Papers/Benson2001.pdf

3.10.4 Heat transfer


Shell-and-tube heat exchanger, Mayes (2009) shown in Fig. 3.14. Regression results in Fig. 3.15.
Approximations

first-order c1 D1 y(t) + c2 y(t) = u(t)


second-order c1 D2 y(t) + c2 D1 y(t) + c3 y(t) = u(t)
1 c2
fractional-order c1 Dα y(t) + c2 y(t) = u(t) [Sol. tα Eα,α+1 (− tα )]
c1 c1

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CHAPTER 3. APPLICATIONS 3.10. EXPERIMENTAL EVIDENCE

Figure 3.13: Mass transfer results.

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3.10. EXPERIMENTAL EVIDENCE CHAPTER 3. APPLICATIONS

Tc,o

Th,o

Th,i

Tc,i

Figure 3.14: Shell and tube heat exchanger.

0.8

0.6
θ(t)

0.4

0.2

0 0.2 0.4 0.6 0.8 1


τ

Figure 3.15: Regression fits. dotted = data; dash = first-order; dash-dot = second-order; continuous
= fractional-order

52 c Mihir Sen, 2014


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CHAPTER 3. APPLICATIONS 3.11. FUTURE IDEAS

1.2
(b) (a)
1

0.8

θ
0.6
(c)
0.4

0.2

−0.2
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
τ

Figure 3.16: Variation with time of air temperature for relaxation process. (a) exact; (b) D2 θ +
1.9352Dθ + 0.8897θ = 0, (c) D1.2624 θ + 3.9774 θ = 0.

P
Model c1 c2 c3 α error2
First-order 1.0401 0.028554 3.5284e-03
Data Set #1 Second-order 0.097011 0.59086 0.89968 7.6902e-04
Fractional-order 0.22381 2.1700 1.8911 9.5609e-05
α = 1.8196 0.24855 2.0221 1.3355e-04
P
Model c1 c2 c3 α error2
First-order 1.2536 -0.32904 1.4135e-03
Data Set #2 Second-order 0.12359 0.65039 0.85564 1.0973e-04
Fractional-order 0.33183 1.8782 1.7481 2.7757e-05
α = 1.8196 0.2976 2.0476 4.9404e-05

3.10.5 Another heat-transfer experiment


Aoki, Sen & Paolucci (2007). Results are in Fig. 3.16.

http://www3.nd.edu/~msen/Teaching/FracDer/Papers/Aoki2008.pdf

3.11 Future ideas


3.11.1 Scaling
What does the scaling property mean? [67]
Dxα f (βx) = β α Dβx
α

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3.11. FUTURE IDEAS CHAPTER 3. APPLICATIONS

What relation do fractional differential equations have with power laws? With fractals?
Both have similar scaling laws,

f (ax) = bf (x).

E.g. If f (x) = axn , then f (βx) = β n f (x).

3.11.2 Anomalous diffusion


What relation do fractional derivatives have with heavy-tailed probability distributions, anomalous
diffusion and Lévy flights? With turbulence?

wikipedia.org/wiki/Stable_distribution

wikipedia.org/wiki/Heavy-tailed_distribution

wikipedia.org/wiki/Levy_flight

3.11.3 Generalized Taylor series


How to work with a generalized Taylor series, such as the following [26]?

X hαk
f (x + h) = Dαk (x).
Γ(1 + αk)
k=0

3.11.4 Fractional relaxation

http://en.wikipedia.org/wiki/Stretched_exponential_function

http://en.wikipedia.org/wiki/Fractional_relaxation

www.m-hikari.com/ams/forth/rahimyAMS49-52-2010.pdf

http://dea.iquanta.info/publications/2003a_hilfer.pdf

54 c Mihir Sen, 2014


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CHAPTER 3. APPLICATIONS 3.11. FUTURE IDEAS

mi ui

f (t) ci−1 ci
ki−1 ki

Figure 3.17: Schematic of infinitely nested masses

3.11.5 Fractional oscillation


3.11.6 Infinitely nested masses
The governing equation for the outermost mass 1 is

u̇1 = v1 ,
m1 v̇1 + {c1 (v1 − v2 )} + {k1 (u1 − u2 )} = f (t).

while for the other masses

u̇i = vi ,
mi v̇i + {ci−1 (vi − vi−1 ) + ci (vi − vi+1 )} + {ki−1 (ui − ui−1 ) + ki (ui − ui+1 )} = 0.

for i = 2, 3, . . ..
These can be wrtten as

u̇ = v,
Mv̇ + cv + ku = 0,

where
   
u1 v1
u 2  v2 
u =  , v =  ,
.. ..
. .
 
m1 0 0 ...
 0 m2 0 . . . 
 
M= 0 0 m 3 0 . . . ,
 
.. ..
. 0 0 .
 
c1 −c1 0 0 ...
−c1 c1 + c2 −c 2 0 ... 
 
c= 0 −c2 c2 + c3 −c3 0 . . . ,
 
.. ..
. .

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3.11. FUTURE IDEAS CHAPTER 3. APPLICATIONS

 
k1 −k1 0 ...
−k1 k1 + k2 −k2 0 ... 
 
k= 0 −k2 k2 + k3 −k3 0 . . . ,
 
.. ..
. .

Assume

mi = m/2i−1 ,
ci = 2i−1 c,
ki = 2i−1 k.

then
 
1 0 0 ...
0 2−1 0 ... 
 
M = m 0 0 2−2
0 . . . ,
 
.. ..
. 0 0 .
 
1 −1 0 0 ...
−1 1 + 21 −21 0 ... 
 
c = c 0 −21 1
2 + 2 −2 2 2
0 . . . ,
 
.. ..
. .
 
1 −1 0 0 ...
−1 1 + 21 −21 0 ... 
 
k = k 0 −2 1
21
+ 22
−2 2
0 . . . 
 
.. ..
. .

Total mass
m m m
M =m+ + + + ...,
2 4 8
1 h m m i
=m+ m+ + + ... ,
2 2 4
M
=m+ ,
2
so that M = 2m. Question: If

M Dtα (u1 ) = f (t),

what is Dtα ?

3.11.7 Self-similar networks


Fig. 3.18.

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°
CHAPTER 3. APPLICATIONS 3.11. FUTURE IDEAS

Figure 3.18: Schematic of self-similar network.

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3.11. FUTURE IDEAS CHAPTER 3. APPLICATIONS

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°
Appendix A

Appendix

A.1 Continued fractions


A continued fraction is
1
x = a0 +
1
a1 +
1
a2 +
1
a3 +
a4 + . . .
¥ Example

Find x, where
1
x= .
1
1+
1
1+
1
1+
1
1+
···
The part in red is simply x, so that
1
x= ,
1+x
x2 + x − 1 = 0.
Thus
8 √
−1 + 5
golden mean
>
>
>
>
< 2
x=
> √
: −1 − 5
>
>
>
2

A function f (x) can be expanded in a Taylor series

f ′′ (0) 2 f ′′′ (0) 2


f (x) = f (0) + f ′ (0)x + x + x + ..., (A.1)
2! 3!

59
A.2. FACTORIAL AND GAMMA FUNCTIONS APPENDIX A. APPENDIX

or, can be written as

1
f (x) = a0 + ,
1
a1 +
1
a2 +
a3 + . . .

where

a0 = f (0).
1
a1 = ′ .
f (0)x
1 1 f ′′ (0) 2
a2 = − − 2 − x .
a1 a1 2!
..
.

So, every Taylor series can be written as a continued fraction.

A.2 Factorial and Gamma functions


The factorial of a non-negative integer n is defined as
n
Y
n! = k,
i=k

and 0! = 1. Thus

n! = n (n − 1)!

The gamma function is defined as


Z ∞
Γ(x) = y x−1 e−y dy.
0

for x ≥ 0. Integration by parts shows that


Z ∞
Γ(x + 1) = y x e−y dy,
0
¯y=∞ Z ∞
¯
x −y ¯
= −y e ¯ +x y x−1 e−y dy,
¯ 0
y=0
| {z }
=0
= x Γ(x).

For integers then Γ(n) = (n − 1)!.

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APPENDIX A. APPENDIX A.3. CAUCHY’S FORMULA FOR REPEATED INTEGRATION

Figure A.1: Gamma function.

A.3 Cauchy’s formula for repeated integration


Starting from a function f (x), we repeatedly integrate as
Z x
I 1 f (x) = f (y1 ) dy1 ,
Zax ³ Z y1 ´
I 2 f (x) = f (y2 ) dy2 dy1 ,
Zax ³ Zay1 ³ Z y2 ´ ´
I 3 f (x) = f (y3 ) dy3 dy2 dy1 ,
a a a
..
.

so that
Z x Z y1 Z yn−1
n
I f (x) = ... f (yn ) dyn . . . dy1 .
|a a
{z a
}
n integrals

Cauchy’s formula is that


Z x
1
I n f (x) = (x − y)n−1 f (y) dy.
(n − 1)! a

The proof is by induction. For n = 1, this is


Z x
I 1 f (x) = f (y1 ) dy1 ,
a

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A.3. CAUCHY’S FORMULA FOR REPEATED INTEGRATION APPENDIX A. APPENDIX

which is true by definition. Then we should show that, if it is true for n, then it must be true for
n + 1.

http://en.wikipedia.org/wiki/Cauchy_formula_for_repeated_integration

¥ Example
For f (x) = x, we have

I 0 f (x) = x,
Z x
I 1 f (x) = y1 dy1 ,
a
1` 2
x − a2 ,
´
=
2
Z x
1` 2
I 2 f (x) = y2 − a2 dy2
´
a 2
1` 3
x − a3 − a2 (x − a) ,
´
=
6
Z x“
1` 3 ”
I 3 f (x) = y3 − a3 − a2 (y3 − a) dy3 ,
´
a 6
1 ` 4 ´ a3 a2 ` 2
x − a4 − x − a2 + a3 (x − a) ,
´
= (x − a) −
24 6 2
and so on.

The algebra is simpler if, without any loss of generality, we move our x-coordinate to make a = 0. Then

I 0 f (x) = x,
x2
I 1 f (x) = ,
2
x 3
I 2 f (x) = ,
6
x4
I 3 f (x) = .
24

Cauchy’s formula for repeated integration for a = 0 and n = 1, 2, 3, . . . becomes


Z x
I 1 f (x) = f (y) dy,
0
x2
= ,
2
Z x
I 2 f (x) = (x − y)y dy,
0
˛y=x ˛y=x
y 2 ˛˛ y 3 ˛˛
=x ˛ − ,
2 ˛ 3 ˛
˛
y=0 y=0
x3
= ,
6
1 x
Z
I 3 f (x) = (x − y)2 y dy,
2 0
1 x 2
Z
= (x − 2xy + y 2 )y dy,
2 0
2 ˛y=x ˛y=x ˛y=x 3
1 4 2 y 2 ˛˛ y 3 ˛˛ y 4 ˛˛
= x − 2x ˛ + 5,
2 2 ˛ 3 ˛ 4 ˛
˛ ˛
y=0 y=0 y=0

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°
APPENDIX A. APPENDIX A.4. BINOMIAL COEFFICIENTS

x4
= ,
24
..
.

A.4 Binomial coefficients


¡ ¢
For any set containing n elements, nk , which is read as n choose k, is the number of distinct
k-element subsets of it that can be formed. It also occurs in the binomial theorem
X n µ ¶
n n−k k
(x + y)n = x y ,
k
k=0

where
µ ¶
n n!
= for 0 ≤ k ≤ n.
k k! (n − k)!

A.5 Laplace transform


The Laplace transform F (s) of the function f (t) is given by
Z ∞
˜
f (s) = e−st f (t) dt.
0

For integer n, the Laplace transform of dn f /dtn is

∼ sn + initial conditions

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A.5. LAPLACE TRANSFORM APPENDIX A. APPENDIX

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