A Discrete Method to Solve Fractional Optimal Control Problems
  We present a method to solve fractional optimal control problems, where the dynamic depends on integer and Caputo fractional derivatives. Our approach consists to approximate the initial fractional order problem with a new one that involves integer derivatives only. The latter problem is then discretized, by application of finite differences, and solved numerically. We illustrate the effectiveness of the procedure with an example. 
Ricardo Almeida, Delfim F. M. Torres
math.OC