Fractional calculus

Fractional calculus is a branch of mathematical analysis that studies the possibility of taking real number powers or complex number powers of the differentiation operator

$D = \dfrac{d}{dx},$

and the integration operator J. (Usually J is used instead of I to avoid confusion with other I-like glyphs and identities.)

In this context, the term powers refers to iterative application of a linear operator acting on a function, in some analogy to function composition acting on a variable, e.g., f ²(x) = f(f(x)). For example, one may ask the question of meaningfully interpreting

$\sqrt{D} = D^{\frac{1}{2}}$

as an analog of the functional square root for the differentiation operator (an operator half iterated), i.e., an expression for some linear operator that when applied twice to any function will have the same effect as differentiation.

More generally, one can look at the question of defining the linear functional

$D^a$

for real-number values of a in such a way that when a takes an integer value, n, the usual power of n-fold differentiation is recovered for n > 0, and the −nth power of J when n < 0.

The motivation behind this extension to the differential operator is that the semigroup of powers D^a will form a continuous semigroup with parameter a, inside which the original discrete semigroup of Dⁿ for integer n can be recovered as a subgroup. Continuous semigroups are prevalent in mathematics, and have an interesting theory. Notice here that fraction is then a misnomer for the exponent a, since it need not be rational; the use of the term fractional calculus is merely conventional.

Fractional differential equations (also known as extraordinary differential equations) are a generalization of differential equations through the application of fractional calculus.

Nature of the fractional derivative

Not to be confused with Fractal derivative.

An important point is that the fractional derivative at a point x is a local property only when a is an integer; in non-integer cases we cannot say that the fractional derivative at x of a function f depends only on values of f very near x, in the way that integer-power derivatives certainly do. Therefore it is expected that the theory involves some sort of boundary conditions, involving information on the function further out. To use a metaphor, the fractional derivative requires some peripheral vision.

As far as the existence of such a theory is concerned, the foundations of the subject were laid by Liouville in a paper from 1832. The fractional derivative of a function to order a is often now defined by means of the Fourier or Mellin integral transforms.

Heuristics

A fairly natural question to ask is whether there exists a linear operator H, or half-derivative, such that

$H^2 f(x) = D f(x) = \dfrac{d}{dx} f(x) = f'(x)$.

It turns out that there is such an operator, and indeed for any a > 0, there exists an operator P such that

$(P ^ a f)(x) = f'(x),$

or to put it another way, the definition of dⁿy/dxⁿ can be extended to all real values of n.

Let f(x) be a function defined for x > 0. Form the definite integral from 0 to x. Call this

$( J f ) ( x ) = \int_0^x f(t) \; dt$.

Repeating this process gives

$( J^2 f ) ( x ) = \int_0^x ( J f ) ( t ) dt = \int_0^x \left( \int_0^t f(s) \; ds \right) \; dt,$

and this can be extended arbitrarily.

The Cauchy formula for repeated integration, namely

$(J^n f) ( x ) = { 1 \over (n-1) ! } \int_0^x (x-t)^{n-1} f(t) \; dt,$

leads in a straightforward way to a generalization for real n.

Using the gamma function to remove the discrete nature of the factorial function gives us a natural candidate for fractional applications of the integral operator.

$(J^\alpha f) ( x ) = { 1 \over \Gamma ( \alpha ) } \int_0^x (x-t)^{\alpha-1} f(t) \; dt$

This is in fact a well-defined operator.

It is straightforward to show that the J operator satisfies

$(J^\alpha) (J^\beta f)(x) = (J^\beta) (J^\alpha f)(x) = (J^{\alpha+\beta} f)(x) = { 1 \over \Gamma ( \alpha + \beta) } \int_0^x (x-t)^{\alpha+\beta-1} f(t) \; dt$

Proof

$\begin{align} (J^\alpha) (J^\beta f)(x) & = \frac{1}{\Gamma(\alpha)} \int_0^x (x-t)^{\alpha-1} (J^\beta f)(t) \; dt \\ & = \frac{1}{\Gamma(\alpha) \Gamma(\beta)} \int_0^x \int_0^t (x-t)^{\alpha-1} (t-s)^{\beta-1} f(s) \; ds \; dt \\ & = \frac{1}{\Gamma(\alpha) \Gamma(\beta)} \int_0^x f(s) \left( \int_s^x (x-t)^{\alpha-1} (t-s)^{\beta-1} \; dt \right) ds \end{align}$ where in the last step we exchanged the order of integration and pulled out the f(s) factor from the t integration. Changing variables to r defined by t = s + (x − s)r, $(J^\alpha) (J^\beta f)(x) = \frac{1}{\Gamma(\alpha) \Gamma(\beta)} \int_0^x (x-s)^{\alpha + \beta - 1} f(s) \left( \int_0^1 (1-r)^{\alpha-1} r^{\beta-1} \; dr \right) ds$ The inner integral is the beta function which satisfies the following property: $\int_0^1 (1-r)^{\alpha-1} r^{\beta-1} \; dr = B(\alpha, \beta) = \dfrac{\Gamma(\alpha)\,\Gamma(\beta)}{\Gamma(\alpha+\beta)}$ Substituting back into the equation $(J^\alpha) (J^\beta f)(x) = \frac{1}{\Gamma(\alpha + \beta)} \int_0^x (x-s)^{\alpha + \beta - 1} f(s) \; ds = (J^{\alpha + \beta} f)(x)$ Interchanging α and β shows that the order in which the J operator is applied is irrelevant and completes the proof.

This relationship is called the semigroup property of fractional differintegral operators. Unfortunately the comparable process for the derivative operator D is significantly more complex, but it can be shown that D is neither commutative nor additive in general.

Fractional derivative of a basic power function

The half derivative (purple curve) of the function f(x) = x (blue curve) together with the first derivative (red curve).

The animation shows the derivative operator oscillating between the antiderivative (α=−1: y=​¹⁄₂⋅x²) and the derivative (α=+1: y=1) of the simple power function y = x continuously.

Let us assume that f(x) is a monomial of the form

$f(x)=x^k\;.$

The first derivative is as usual

$f'(x)=\dfrac{d}{dx}f(x)=k x^{k-1}\;.$

Repeating this gives the more general result that

$\dfrac{d^a}{dx^a}x^k=\dfrac{k!}{(k-a)!}x^{k-a}\;,$

Which, after replacing the factorials with the gamma function, leads us to

$\dfrac{d^a}{dx^a}x^k=\dfrac{\Gamma(k+1)}{\Gamma(k-a+1)}x^{k-a}, \qquad k \ge 0$

For $k=1$ and $\textstyle a=\frac{1}{2}$, we obtain the half-derivative of the function $x$ as

$\dfrac{d^{\frac{1}{2}}}{dx^{\frac{1}{2}}}x=\dfrac{\Gamma(1+1)}{\Gamma(1-\frac{1}{2}+1)}x^{1-\frac{1}{2}}=\dfrac{\Gamma(2)}{\Gamma(\frac{3}{2})}x^{\frac{1}{2}} = \dfrac{1}{\frac{\sqrt{\pi}}{2}}x^{\frac{1}{2}}.$

Repeating this process yields

$\dfrac{d^{\frac{1}{2}}}{dx^{\frac{1}{2}}} \dfrac{2x^{\frac{1}{2}}}{\sqrt{\pi}}=\frac{2}{\sqrt{\pi}}\dfrac{\Gamma(1+\frac{1}{2})}{\Gamma(\frac{1}{2}-\frac{1}{2}+1)}x^{\frac{1}{2}-\frac{1}{2}}=\frac{2}{\sqrt{\pi}}\dfrac{\Gamma(\frac{3}{2})}{\Gamma(1)}x^{0}=\dfrac{2 \frac{\sqrt{\pi}}{2} x^0}{\sqrt{\pi}0!}=1,$

which is indeed the expected result of

$\left(\dfrac{d^{\frac{1}{2}}}{dx^{\frac{1}{2}}}\dfrac{d^{\frac{1}{2}}}{dx^{\frac{1}{2}}}\right)x=\dfrac{d}{dx}x=1.$

For negative integer power k, the gamma function is undefined and we have to use the following relation:

$\dfrac{d^a}{dx^a}x^{-k}=(-1)^a\dfrac{\Gamma(k+a)}{\Gamma(k)}x^{-(k+a)}$ for $k \ge 0$

This extension of the above differential operator need not be constrained only to real powers. For example, the (1 + i)th derivative of the (1 − i)th derivative yields the 2nd derivative. Also notice that setting negative values for a yields integrals.

For a general function f(x) and 0 < α < 1, the complete fractional derivative is

$D^{\alpha}f(x)=\frac{1}{\Gamma(1-\alpha)}\frac{d}{dx}\int_{0}^{x}\frac{f(t)}{(x-t)^{\alpha}}dt$

For arbitrary α, since the gamma function is undefined for arguments whose real part is a negative integer and whose imaginary part is zero, it is necessary to apply the fractional derivative after the integer derivative has been performed. For example,

$D^{\frac{3}{2}}f(x)=D^{\frac{1}{2}}D^{1}f(x)=D^{\frac{1}{2}}\frac{d}{dx}f(x)$

Laplace transform

We can also come at the question via the Laplace transform. Noting that

$\mathcal L \left\{Jf\right\}(s) = \mathcal L \left\{\int_0^t f(\tau)\,d\tau\right\}(s)=\frac1s(\mathcal L\left\{f\right\})(s)$

and

$\mathcal L \left\{J^2f\right\}=\frac1s(\mathcal L \left\{Jf\right\} )(s)=\frac1{s^2}(\mathcal L\left\{f\right\})(s)$

etc., we assert

$J^\alpha f=\mathcal L^{-1}\left\{s^{-\alpha}(\mathcal L\{f\})(s)\right\}$.

For example

$J^\alpha\left(t^k\right) = \mathcal L^{-1}\left\{\dfrac{\Gamma(k+1)}{s^{\alpha+k+1}}\right\} = \dfrac{\Gamma(k+1)}{\Gamma(\alpha+k+1)}t^{\alpha+k}$

as expected. Indeed, given the convolution rule

$\mathcal L\{f*g\}=(\mathcal L\{f\})(\mathcal L\{g\})$

and shorthanding p(x) = x^α−1 for clarity, we find that

$\begin{align} (J^\alpha f)(t) &= \frac{1}{\Gamma(\alpha)}\mathcal L^{-1}\left\{\left(\mathcal L\{p\}\right)(\mathcal L\{f\})\right\}\\ &=\frac{1}{\Gamma(\alpha)}(p*f)\\ &=\frac{1}{\Gamma(\alpha)}\int_0^t p(t-\tau)f(\tau)\,d\tau\\ &=\frac{1}{\Gamma(\alpha)}\int_0^t(t-\tau)^{\alpha-1}f(\tau)\,d\tau\\ \end{align}$

which is what Cauchy gave us above.

Laplace transforms "work" on relatively few functions, but they are often useful for solving fractional differential equations.

Fractional integrals

Riemann–Liouville fractional integral

The classical form of fractional calculus is given by the Riemann–Liouville integral, which is essentially what has been described above. The theory for periodic functions (therefore including the 'boundary condition' of repeating after a period) is the Weyl integral. It is defined on Fourier series, and requires the constant Fourier coefficient to vanish (thus, it applies to functions on the unit circle whose integrals evaluate to 0).

$_aD_t^{-\alpha} f(t)={}_aI_t^\alpha f(t)=\frac{1}{\Gamma(\alpha)}\int_a^t (t-\tau)^{\alpha-1}f(\tau)d\tau$

By contrast the Grünwald–Letnikov derivative starts with the derivative instead of the integral.

Hadamard fractional integral

The Hadamard fractional integral is introduced by J. Hadamard and is given by the following formula,

$_a\mathbf{D}_t^{-\alpha} f(t) = \frac{1}{\Gamma(\alpha)}\int_a^t \left(\log\frac{t}{\tau}\right)^{\alpha -1} f(\tau)\frac{d\tau}{\tau}, \qquad t > a.$

Fractional derivatives

Not like classical Newtonian derivatives, a fractional derivative is defined via a fractional integral.

Riemann–Liouville fractional derivative

The corresponding derivative is calculated using Lagrange's rule for differential operators. Computing n-th order derivative over the integral of order (n − α), the α order derivative is obtained. It is important to remark that n is the nearest integer bigger than α - i.e. $n = \lceil \alpha \rceil$.

$_aD_t^\alpha f(t)=\frac{d^n}{dt^n} {}_aD_t^{-(n-\alpha)}f(t)=\frac{d^n}{dt^n} {}_aI_t^{n-\alpha} f(t)$

Caputo fractional derivative

There is another option for computing fractional derivatives; the Caputo fractional derivative. It was introduced by M. Caputo in his 1967 paper. In contrast to the Riemann Liouville fractional derivative, when solving differential equations using Caputo's definition, it is not necessary to define the fractional order initial conditions. Caputo's definition is illustrated as follows.

${}_a^C D_t^\alpha f(t)=\frac{1}{\Gamma(n-\alpha)} \int_a^t \frac{f^{(n)}(\tau)d\tau}{(t-\tau)^{\alpha+1-n}}.$

The following list summarizes the fractional derivatives defined in the literature.

Other types

Classical fractional derivatives include:

• Grünwald–Letnikov derivative
• Sonin–Letnikov derivative
• Liouville derivative
• Caputo derivative
• Hadamard derivative
• Marchaud derivative
• Riesz derivative
• Riesz-Miller derivative
• Miller–Ross derivative
• Weyl derivative
• Erdélyi–Kober derivative

New fractional derivatives include:

• Machado derivative
• Chen-Machado derivative
• Udita derivative
• Coimbra derivative
• Katugampola derivative
• Caputo-Katugampola derivative
• Hilfer derivative
• Davidson derivative
• Chen derivative

Review Articles

M.D. Ortigueira, J.A. Tenreiro Machado, What is a fractional derivative? Journal ofComputationalPhysics 293 (2015) 4–13

U.N. Katugampola, Correction to ``What is a fractional derivative? by Ortigueira and Machado [Journal of Computational Physics, Volume 293, 15 July 2015, Pages 4–13. Special issue on Fractional PDEs], Submitted for publication in J. Computational Physics (2015)

V.E. Tarasov "No violation of the Leibniz rule. No fractional derivative." Communications in Nonlinear Science and Numerical Simulation. Vol.18. No.11. (2013) pp.2945-2948. arXiv:1402.7161

Generalizations

Erdélyi–Kober operator

The Erdélyi–Kober operator is an integral operator introduced by Arthur Erdélyi (1940). and Hermann Kober (1940) and is given by

$\frac{x^{-\nu-\alpha+1}}{\Gamma(\alpha)}\int_0^x (t-x)^{\alpha-1}t^{-\alpha-\nu}f(t) dt,$

which generalizes the Riemann-Liouville fractional integral and the Weyl integral.

Further generalizations

A recent generalization introduced by Udita Katugampola (2011) is the following, which generalizes the Riemann-Liouville fractional integral and the Hadamard fractional integral. It is given by,

$\left ({}^\rho \mathcal{I}^\alpha_{a+}f \right )(x) = \frac{\rho^{1- \alpha }}{\Gamma({\alpha})} \int^x_a \frac{\tau^{\rho-1} f(\tau) }{(x^\rho - \tau^\rho)^{1-\alpha}}\, d\tau, \qquad x > a.$

Even though the integral operator in question is a close resemblance of the famous Erdélyi–Kober operator, it is not possible to obtain the Hadamard fractional integral as a direct consequence of the Erdélyi–Kober operator. Also, there is a Udita-type fractional derivative, which generalizes the Riemann-Liouville and the Hadamard fractional derivatives. As with the case of fractional integrals, the same is not true for the Erdélyi–Kober operator.

Functional calculus

In the context of functional analysis, functions f(D) more general than powers are studied in the functional calculus of spectral theory. The theory of pseudo-differential operators also allows one to consider powers of D. The operators arising are examples of singular integral operators; and the generalisation of the classical theory to higher dimensions is called the theory of Riesz potentials. So there are a number of contemporary theories available, within which fractional calculus can be discussed. See also Erdélyi–Kober operator, important in special function theory (Kober 1940), (Erdélyi 1950–51).

Applications

Fractional conservation of mass

As described by Wheatcraft and Meerschaert (2008), a fractional conservation of mass equation is needed to model fluid flow when the control volume is not large enough compared to the scale of heterogeneity and when the flux within the control volume is non-linear. In the referenced paper, the fractional conservation of mass equation for fluid flow is:

$-\rho \left (\nabla^{\alpha} \cdot \vec{u} \right ) = \Gamma(\alpha +1)\Delta x^{1-\alpha}\rho \left (\beta_s+\phi \beta_w \right ) \frac{\part p}{\part t}$

Groundwater flow problem

In 2013-2014 Atangana et al. described some groundwater flow problems using the concept of derivative with fractional order. In these works, The classical Darcy law is generalized by regarding the water flow as a function of a non-integer order derivative of the piezometric head. This generalized law and the law of conservation of mass are then used to derive a new equation for groundwater flow.

Fractional advection dispersion equation

This equation has been shown useful for modeling contaminant flow in heterogenous porous media. Atangana and Kilicman extended fractional advection dispersion equation to variable order fractional advection dispersion equation. In their work, the hydrodynamic dispersion equation was generalized using the concept of variational order derivative. The modified equation was numerically solved via the Crank-Nicholson scheme. The stability and convergence of the scheme in this case were presented. The numerical simulations showed that, the modified equation is more reliable in predicting the movement of pollution in the deformable aquifers, than the constant fractional and integer derivatives

Time-space fractional diffusion equation models

Anomalous diffusion processes in complex media can be well characterized by using fractional-order diffusion equation models. The time derivative term is corresponding to long-time heavy tail decay and the spatial derivative for diffusion nonlocality. The time-space fractional diffusion governing equation can be written as

$\frac{\partial^\alpha u}{\partial t^\alpha}=-K (-\triangle)^\beta u.$

A simple extension of fractional derivative is the variable-order fractional derivative, the α, β are changed into α(x, t), β(x, t). Its applications in anomalous diffusion modeling can be found in reference.

Structural damping models

Fractional derivatives are used to model viscoelastic damping in certain types of materials like polymers.

Acoustical wave equations for complex media

The propagation of acoustical waves in complex media, e.g. biological tissue, commonly implies attenuation obeying a frequency power-law. This kind of phenomenon may be described using a causal wave equation which incorporates fractional time derivatives:

$\nabla^2 u -\dfrac 1{c_0^2} \frac{\partial^2 u}{\partial t^2} + \tau_\sigma^\alpha \dfrac{\partial^\alpha}{\partial t^\alpha}\nabla^2 u - \dfrac {\tau_\epsilon^\beta}{c_0^2} \dfrac{\partial^{\beta+2} u}{\partial t^{\beta+2}} = 0.$

See also and the references therein. Such models are linked to the commonly recognized hypothesis that multiple relaxation phenomena give rise to the attenuation measured in complex media. This link is further described in and in the survey paper, as well as the acoustic attenuation article. See for a recent paper which compares fractional wave equations which model power-law attenuation.

Fractional Schrödinger equation in quantum theory

The fractional Schrödinger equation, a fundamental equation of fractional quantum mechanics, has the following form:

$i\hbar \frac{\partial \psi (\mathbf{r},t)}{\partial t}=\mu_\alpha (-\hbar^2\Delta )^{\frac{\alpha}{2}}\psi (\mathbf{r},t)+V(\mathbf{r},t)\psi (\mathbf{r},t).$

where the solution of the equation is the wavefunction ψ(r, t) - the quantum mechanical probability amplitude for the particle to have a given position vector r at any given time t, and ħ is the reduced Planck constant. The potential energy function V(r, t) depends on the system.

Further, Δ = ∂²/∂r² is the Laplace operator, and μ_α is a scale constant with physical dimension [μ_α] = J^{1 − α}·m^α·s^−α=Kg^{1 − α}·m^2-α·s^α-2, (at α = 2, μ₂ = 1/2m for a particle of mass m), and the operator (−ħ²Δ)^α/2 is the 3-dimensional fractional quantum Riesz derivative defined by

$\left (-\hbar ^2\Delta \right )^{\frac{\alpha}{2}}\psi (\mathbf{r},t)=\frac 1{(2\pi \hbar)^3}\int d^3pe^{\frac{i}{\hbar} \mathbf{p}\cdot\mathbf{r}}|\mathbf{p}|^\alpha \varphi (\mathbf{p},t).$

The index α in the fractional Schrödinger equation is the Lévy index, 1 < α ≤ 2.

History

In applied mathematics and mathematical analysis, fractional derivative is a derivative of any arbitrary order, real or complex. Even though the term fractional is a misnomer, it has been widely accepted for such a derivative for a long time. The concept of a fractional derivative was coined by the famous mathematician Leibniz in 1695 in his letter to L'Hôpital.

See also

• Acoustic attenuation
• Differintegral
• Differential equation
• Fractional dynamics
• Fractional Fourier transform
• Erdelyi–Kober operator
• Riemann–Liouville integral
• Weyl integral
• Neopolarogram
• Fractional Schrödinger equation
• Autoregressive fractionally integrated moving average

External links

• Eric W. Weisstein. "Fractional Differential Equation." From MathWorld — A Wolfram Web Resource.
• MathWorld - Fractional calculus
• MathWorld - Fractional derivative
• Fractional Calculus at MathPages
• Specialized journal: Fractional Calculus and Applied Analysis
• Specialized journal: Fractional Differential Equations (FDE)
• Specialized journal: Progress in Fractional Differentiation and Applications
• Specialized journal: Communications in Fractional Calculus (ISSN 2218-3892)
• Specialized journal: Journal of Fractional Calculus and Applications (JFCA)
• www.nasatech.com
• Igor Podlubny's collection of related books, articles, links, software, etc.
• GigaHedron - Richard Herrmann's collection of books, articles, preprints, etc.
• s.dugowson.free.fr
• History, Definitions, and Applications for the Engineer (PDF), by Adam Loverro, University of Notre Dame
• Fractional Calculus Modelling
• Introductory Notes on Fractional Calculus
• Power Law & Fractional Dynamics
• The CRONE (R) Toolbox, a Matlab and Simulink Toolbox dedicated to fractional calculus, which is freely downloadable
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