System Monotonicity and Subspace Tracking: A Geometric Perspective of the Frisch–Shapiro Scheme

Abstract

The Shapiro scheme, together with the closely related Frisch–Kalman scheme, has been an important approach to system identification and statistical analysis. A longstanding result on this scheme, known as the Shapiro theorem, is both informative and significant. This article imparts a geometric understanding to the Shapiro theorem and generalizes it to the asymmetric setting using the notion of cone-invariance. In particular, we establish the equivalence between two important properties of a real-valued square matrix—irreducible orthant-invariance and simplicity of its dominant eigenvalue under arbitrary diagonal perturbations. The result can be regarded as a converse Perron–Frobenius theorem. Furthermore, we investigate two applications of the proposed result in systems and control, namely, characterization of irreducibly orthant-monotone nonlinear systems and subspace tracking via decentralized control. We also extend the established result to accommodating polyhedral cones and obtain several insights.