We consider an extension of the well-known Hamilton-Jacobi-Bellman (HJB)
equation for fractional order dynamical systems in which a generalized
performance index is considered for the related optimal control problem. Owing
to the nonlocality of the fractional order operators, the classical HJB
equation, in the usual form, does not hold true for fractional problems.
Effectiveness of the proposed technique is illustrated through a numerical
example.Comment: This is a preprint of a paper whose final and definite form is with
'Journal of Computational and Nonlinear Dynamics', ISSN 1555-1415, eISSN
1555-1423, CODEN: JCNDDM. Submitted 28-June-2018; Revised 15-Sept-2018;
Accepted 28-Oct-201