A Modified Iterative Method for Solving the Non-symmetric Coupled Algebraic Riccati Equation

Abstract

In this paper, a modified alternately linear implicit (MALI) iteration method is derived for solving the non-symmetric coupled algebraic Riccati equation (NCARE). In the MALI iteration algorithm, the coefficient matrices of the linear matrix equations are fixed at each iteration step. In addition, the MALI iteration method utilizes a weighted average of the estimates in both the last step and current step to update the estimates in the next iteration step. Further, we give the convergence theory of the modified algorithm. Last, numerical examples demonstrate the effectiveness and feasibility of the derived algorithm.