\( \underset{\mathbf{U}}{\argmax}\ \ \text{Tr}\Big\{\mathbf{U}^\top \mathbf{Z} \mathbf{H} \mathbf{K}_{\mathbf{YY}} \mathbf{H} \mathbf{Z}^\top \mathbf{U}\Big\} \\
\text{s.t.} \quad \mathbf{U}^\top \mathbf{U} = \mathbf{I} \)
\( h_{\mathbf{\delta_t}}(\mathbf{z}'_t) = \mathbf{z}'_t + \lambda_t \mathbf{\delta_t},\quad t=1, \ldots, T-1\)