A hybrid algorithm for Caputo fractional differential equations

Abstract

This paper is concerned with the numerical solution of fractional initial value problems (FIVP) in sense of Caputo’s definition for dynamical systems. Unlike for integer-order derivatives that have a single definition, there is more than one definition of non integer-order derivatives and the solution of an FIVP is definition-dependent. In this paper, the chief differences of the main definitions of fractional derivatives are revisited and a numerical algorithm to solve an FIVP for Caputo derivative is proposed. The main advantages of the algorithm are twofold: it can be initialized with integer-order derivatives, and it is faster than the corresponding standard algorithm. The performance of the proposed algorithm is illustrated with examples which suggest that it requires about half the computation time to achieve the same accuracy than the standard algorithm.