Given $ M \in {R}^{NxN} $$ M \in \mathbb{R}^{N \times N} $ which is a Positive Definite Matrix.
Let $ \hat{x} $ the MMSE of $ x $ given $ z $, namely $ \hat{x} = \mathbb{E} \left[ x \mid z \right] $.
How comeProve the following are equivalentequivenalce of minimizing $ E[{(\hat{x} - x)}^{T}(\hat{x} - x)] $the following expressions:
- $ E[{(\hat{x} - x)}^{T} M (\hat{x} - x)] $
$ \arg \min_{\hat{x}} \mathbb{E} \left[ {\left( \hat{x} - x \right)}^{T} \left( \hat{x} - x \right) \mid z \right] $.
- $ trace(M E[(\hat{x} - x) {(\hat{x} - x)}^{T}]) $
$ \arg \min_{\hat{x}} \mathbb{E} \left[ {\left( \hat{x} - x \right)}^{T} M \left( \hat{x} - x \right) \mid z \right] $.
$ \arg \min_{\hat{x}} \operatorname{Tr} \left( M \mathbb{E} \left[ {\left( \hat{x} - x \right)}^{T} \left( \hat{x} - x \right) \mid z \right] \right) $
I can seeEquivalence means all are actually minimized by $ \hat{x} = \mathbb{E} \left[ x \mid z \right] $.
The equivalence of 2 and 3 is easy using the intuition in keeping "Quadratic" form yet can't seeCyclic Property of the formal proof$ \operatorname{Tr} \left( \cdot \right) $ operator.
Yet showing the invertible transformation keeps the solution (Equivalence of 1 and 2) isn't trivial.