Let A R m,n be a matrix. Assume that u R n is a vector-valued
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Let A ∈ Rm,n be a matrix. Assume that u ∈ Rn is a vector-valued random variable, with zero mean and covariance matrix In. That is, E{u} = 0, and E{uuT} = In.
1. What is the covariance matrix of the output, y = Au?
2. Define the total output variance as is the output’s expected value. Compute the total output variance and comment.
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Related Book For
Optimization Models
ISBN: 9781107050877
1st Edition
Authors: Giuseppe C. Calafiore, Laurent El Ghaoui
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