is the solution of the eigenvalue decomposition

A X = W X L

The matrices A and W both have *n* rows, and matrix W must be positive semi-definite. The latent roots are the *n* elements of the diagonal matrix L and are the successive maxima of

*l* = (*x*′ A *x*) / (*x*′ W *x*)

where *x* is the corresponding column of the *n*-by-*n* matrix X, normalized so that

X′ W X = I.