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TaPaKaH
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Homework Statement
##u(x)=1-e^{-ax}##.
Random variable ##Y\in\mathbb{R}^d## is a multivariate normal distribution with mean vector ##m## and invertible covariance matrix ##\Sigma##.
Task: Find ##\xi^*\in\mathbb{R}^d## that maximises ##\mathbb{E}u(\xi\cdot Y)## over ##\xi##.
Homework Equations
.[/B]For ##Y## above, its density function is $$f_Y(x)=\frac{1}{(2\pi)^{d/2}|\Sigma|^{1/2}}e^{-\frac{(x-m)^T\Sigma^{-1}(x-m)}{2}}$$
The Attempt at a Solution
Do I get it right that in order to find ##\xi^*## I need to solve ##\frac{d}{d\xi_i}\mathbb{E}u(\xi\cdot Y)=0## for ##i=1..d## and then check whether all ##\frac{d}{d\xi_i^2}\mathbb{E}u(\xi\cdot Y)## are negative?