“…Consequently, in order to solve the optimization problem in the (101), we need to solve the two optimization problemsmin u 0 t ∈R d 0 U ,qt∈Q QF Ht(m 0 t , ∅),S θt t ,(102)miñ qt∈Q(θt) m 1 t ∈M 1 tr π M 1 (m 1 t )Ht(m 0:1 t ) cov(S θt,m 1 t t )(103)Since H t (m 0 t ,z t ) is PD, it follows from [1, Lemma 4] that the optimal solution of (102) is given by(22) andmin u 0 t ∈R d 0 U ,qt∈Q QF Ht(m 0 t , ∅),S θt t = QF Pt(m 0 t , ∅), vec x 0 t , µ(θt) . (104) Furthermore, P t (m 0 , ∅) is PSD because it is Schur complement of H t (m 0 ,z) with respect to H UU t (m 0 , ∅).Similarly, sinceH t (m 0:1 t ) is also PD, from[1, Lemma 4], the optimal solution of (103) is given by(26) andmiñ qt∈Q(θt) m 1 t ∈M 1 tr π M 1 (m 1 t )Ht(m 0:1 t ) cov(S θt,m 1 t t ) m 1 t ∈M 1 miñ qt(·,m 1 t ): qt(x 1 t ,m 1 t )θt(dx 1 t )=0tr π M 1 (m 1 t )Ht(m 0:1 t ) cov(S θt,m 1 t t…”