On the Optimality of the Discrete Karhunen--Loève Expansion

DOI10.1137/S0363012997315750zbMath0914.93074MaRDI QIDQ4210194

Arne Dür

Publication date: 21 September 1998

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

linear approximationKarhunen-Loève expansionapproximation of a random variable

Mathematics Subject Classification ID

Multivariate analysis (62H99) Least squares and related methods for stochastic control systems (93E24) Approximation by arbitrary linear expressions (41A45)

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