A class of ADI method for the nonsymmetric coupled algebraic Riccati equations

The coupled algebraic Riccati equations have wide range of applications in the fields such as control theory and etc. In this paper we consider numerical solution of nonsymmetric coupled algebraic Riccati equations. A class of alternating direction iteration method is proposed to solve the equation, and convergence analysis of this method is given. Theoretical analysis and numerical experiments have shown that the ADI method proposed in this paper is feasible and is more effective compared to several existing methods under certain conditions.