The risk-sensitive index and the H2 and H∞, norms for nonlinear systems

Fleming, W. H.; James, M. R.

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The risk-sensitive index and the H2 and H∞, norms for nonlinear systems

Date

1995

Authors

Fleming, W. H.

James, M. R.

Abstract

In this paper we study two measures of the "size" of systems, namely, the so-called H2 and H∞ norms. These measures are important tools for determining the influence of disturbances on performance. We show that the risk-sensitive index on an infinite time horizon contains detailed information concerning these measures, via small noise and small risk limits.