nobis squared distances for the distributions projected onto the subspace spanned by <span class="arithmatex">\(U\)</span>.</p>
</details>
<details class="done"><summary>Soln. 12.4</summary><p>Consider the SVD <span class="arithmatex">\(W=\hat U D \hat U^T\)</span>, and write <span class="arithmatex">\(\hat U = (\hat U_L : \hat U_\bot)\)</span> where <span class="arithmatex">\(\hat U_L\)</span> represents the first <span class="arithmatex">\(L\le K-1\)</span> columns and <span class="arithmatex">\(\hat U_\b