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.