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The general coupled matrix equations (including the generalized coupled Sylvester matrix equations as special cases) have numerous applications in control and system theory. In this paper, an iterative algorithm is constructed to solve the general coupled matrix equations over reflexive matrix solution. When the general coupled matrix equations are consistent over reflexive matrices, the reflexive solution can be determined automatically by the iterative algorithm within finite iterative steps in the absence of round-off errors. The least Frobenius norm reflexive solution of the general coupled matrix equations can be derived when an appropriate initial matrix is chosen. Furthermore, the unique optimal approximation reflexive solution to a given matrix group in Frobenius norm can be derived by finding the least-norm reflexive solution of the corresponding general coupled matrix equations. A numerical example is given to illustrate the effectiveness of the proposed iterative algorithm.

An Iterative Algorithm for the Reflexive Solution of the General Coupled Matrix Equations