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