In this paper, an iterative approach based on the GL-
LSQR method is proposed which is more general and includes all
of matrix equations and some constrained linear matrix equations
system. When the matrix equations are consistent, a least norm
solution can be obtained. Moreover, the optimal approximate so-
lution to a given group of matrices by new method, can be derived.
Finally, some numerical experiments are given to compare the new
iterative method with some existent methods.