We denote by $\|M\|$ the Euclidean norm associated with the inner product $(M \mid N) = \operatorname{tr}({}^t M N)$. Fix $A \in \mathcal{M}_n(\mathbb{R})$, prove that there exists a matrix $M \in \mathcal{Y}_n$ such that:
$$\forall N \in \mathcal{Y}_n \quad \|A - M\| \leqslant \|A - N\|$$