On the Optimality of the Discrete Karhunen--Loève Expansion

  • Authors:
  • Arne Dür

  • Affiliations:
  • -

  • Venue:
  • SIAM Journal on Control and Optimization
  • Year:
  • 1998

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Abstract

A short proof of the optimality of the discrete Karhunen--Loève expansion as the best linear approximation in the quadratic mean is presented.