SOR-based alternately linearized implicit iteration method for nonsymmetric algebraic Riccati equations

Abstract

In this paper, we propose a class of successive over relaxation-based alternately linearized implicit iteration method for computing the minimal nonnegative solution of nonsymmetric algebraic Riccati equations. Under certain conditions, we prove the convergence of the iterative method. Finally, numerical examples are given to show the iterative method is efficient.

Keywords

• nonsymmetric algebraic riccati equations
• minimal nonnegative solution
• convergence
• iterative
• sorali