| Abstract: | For the non‐symmetric algebraic Riccati equations, we establish a class of alternately linearized implicit (ALI) iteration methods for computing its minimal non‐negative solutions by technical combination of alternate splitting and successive approximating of the algebraic Riccati operators. These methods include one iteration parameter, and suitable choices of this parameter may result in fast convergent iteration methods. Under suitable conditions, we prove the monotone convergence and estimate the asymptotic convergence factor of the ALI iteration matrix sequences. Numerical experiments show that the ALI iteration methods are feasible and effective, and can outperform the Newton iteration method and the fixed‐point iteration methods. Besides, we further generalize the known fixed‐point iterations, obtaining an extensive class of relaxed splitting iteration methods for solving the non‐symmetric algebraic Riccati equations. Copyright © 2006 John Wiley & Sons, Ltd. |
