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[D] Trying to understand the proof in “Weight Uncertainty in Neural Networks” by DeepMind

[D] Trying to understand the proof in "Weight Uncertainty in Neural Networks" by DeepMind

Can someone please explain this proof from one of DeepMind’s papers ( https://arxiv.org/pdf/1505.05424.pdf ). I am having difficulty understanding where the second term in the expectation comes from?

https://i.redd.it/8083hi5y0qt31.png

submitted by /u/brandinho77
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