µ µi = E(Ri ) Ri

C Ci,j = E[(Ri − µi)(Rj − µj)]

h hi
i
λ
 hT Ch
U (h) = µT h −
2λ

N
Σ
hi = 1
i=1

hi ≥ 0 i.

U (h) h

U (h) = µT h

hT Ch = σ02

hT 1 = 1
U (h) = hT Ch

µT h = µ0

hT 1 = 1

λ
µ C
 µ1 µ2
σ11 σ12
C = λ.
σ21 σ22

µ1σ22 − µ2σ12
h1 = λ
σ11σ22 − σ12σ21

µ1σ21 − µ2σ11
h2 = λ
σ11σ22 − σ12σ21
√
σ12 = σ21 σ12 = ρ12 σ11 σ22 σii ≥ 0

∂h1 σ22 1 1
=λ =λ =λ
∂µ1 σ11σ22 − σ12σ21 σ11 − ρ12
2σ
11 σ11(1 − ρ12
2)

h1 µ1 ρ12

σ11(1 − ρ12
2 ) ρ12
ρ
 n

ρij ρ = 0.2

ρij ≥ 0.2

ρ
ρ = 0.2 ρ
 ρ∗ ρ∗

ρ∗.
ρ∗ = 0.2
3000

2500

2000

1500

1000

500

0
−0.3 −0.2 −0.1 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7

2500

2000

1500

1000

500

0
−0.3 −0.2 −0.1 0 0.1 0.2 0.3 0.4 0.5
ρ = 0.2

ρ = 0.2
 ρ = 0.2 ρ > 0.2

ρ < 0.2

±
hold,i i
hnew,i i
ΣN
i=1 (|hnew,i − hold,i |)
ρ=
ρ