Past exam of the mathematics course of the University of Cambridge / 2024 / iii / Paper 225 / 3 / a / Solution

The minimizer is the arithmetic meanIt remains a positive self-adjoint trace-class operator and hence a covariance operator. The Hilbert-Schmidt inner product gives, for every Hilbert-Schmidt operator $C$,because ${\sum }_k(C_k-\overline{C})=0$. Thus $\overline{C}$ is the unique minimizer, including when the minimization is restricted to covariance operators.