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Question: How to compute the conditional variance of a linear combination of random variables?

Question:How to compute the conditional variance of a linear combination of random variables?

MaPal93 145 Maple
conditional covariance statistics duplicate-question variance
April 17 2023
0
This question is related to the Question Linear combination of random variables

Given a constant gamma, gaussian random variables S[1] and S[2], and a linear combination of gaussian random variables Omega, I need to compute Exp[ Omega | S[1], S[2] ] - (gamma/2)*Var[ Omega | S[1], S[2] ]. I am not experienced in Maple. In the attached script I include many step-by-step details on what I need to do, as well as some notes where I get stuck:

150423_OptimizationProblem.mw

It would be convenient if you could directly fix this and share the working version. Thanks!

The conditional means and variance terms are calculated according to the 2D version of the script 3_gaussian_mmcdara.mw provided by @mmcdara.
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