Design of FOPID controller for higher order continuous interval system using improved approximation ensuring stability

This contribution deals with the design of a fractional-order proportional-integral-derivative (FOPID) controller through reduce-order modeling for continuous interval systems. First, a higher order interval plant (HOIP) is considered. The reduced-order interval plant (ROIP) for considered HOIP is derived by multipoint Padé approximation integrated with Routh table. Then, FOPID controller is designed for ROIP to satisfy the phase margin and gain cross over frequency. Thus obtained FOPID controller is implemented on HOIP also to validate the performance of designed FOPID on HOIP. A single-input-single-output (SISO) test system is taken up to elaborate the entire process of controller design. The outcomes affirm the validity of the designed FOPID controller. The designed FOPID controller produced stable results retaining the phase margin and gain cross-over frequency when implemented on HOIP. The results further proved that FOPID controller is working efficiently for ROIP and HOIP.

Fractional Riccati Equation and Its Applications to Rough Heston Model Using Numerical Methods

Rough volatility models are recently popularized by the need of a consistent model for the observed empirical volatility in the financial market. In this case, it has been shown that the empirical volatility in the financial market is extremely consistent with the rough volatility. Currently, fractional Riccati equation as a part of computation for the characteristic function of rough Heston model is not known in explicit form and therefore, we must rely on numerical methods to obtain a solution. In this paper, we will be giving a short introduction to option pricing theory (Black–Scholes model, classical Heston model and its characteristic function), an overview of the current advancements on the rough Heston model and numerical methods (fractional Adams–Bashforth–Moulton method and multipoint Padé approximation method) for solving the fractional Riccati equation. In addition, we will investigate on the performance of multipoint Padé approximation method for the small u values in D α h ( u − i / 2 , x ) as it plays a huge role in the computation for the option prices. We further confirm that the solution generated by multipoint Padé (3,3) method for the fractional Riccati equation is incredibly consistent with the solution generated by fractional Adams–Bashforth–Moulton method.

Constrained Optimal Pade´ Model Reduction

A frequency-domain multipoint Pade´ approximation method is given that produces optimal reduced order models, in the least integral square error sense, which are constrained to match the initial time response values of the full and reduced systems for impulse or step inputs. It is seen to overcome a perceived drawback of the unconstrained optimal models, i.e., that they do not guarantee a proper rational reduced order transfer function for a step input. The method is easy to implement when compared to existing constrained optimal methods, and consists of solving only linear sets of equations in an iterative process. It is also seen to be a natural extension of an existing optimal method. Numerical examples are given to illustrate its application.