Note

Taking $a_1^{\prime }=a_1-a_2,a_2^{\prime }=a_2$ and $b_1^{\prime }=b_1-b_2,b_2^{\prime }=b_2$, and $\bar{T}=T-{\mu }_1^{\prime }\mathbf{x}$, we have
$$[b_1\lambda +b_2]\eta +[a_1\lambda +a_2]\bar{T}\le {\sigma }_1\left|a_1\right|\sqrt{\lambda (1-\lambda )}$$
令
$$f(\lambda )=(b_1\eta +a_1\bar{T})\lambda -{\sigma }_1\left|a_1\right|\sqrt{\lambda (1-\lambda )}+b_2\eta +a_2\bar{T}$$
$$f^{\prime }(\lambda )=(b_1\eta +a_1\bar{T})-{\sigma }_1\left|a_1\right|\frac{1-2\lambda }{2\sqrt{\lambda (1-\lambda )}}$$
Let $M_1=b_1\eta +a_1\bar{T},M_2=b_2\eta +a_2\bar{T},N={\sigma }_1\left|a_1\right|,Q=4N^2+4M_1^2\ge 0$,
$$f^{\prime }(\lambda )=0\Rightarrow 4M_1^2\lambda (1-\lambda )=N^2(1-2\lambda {)}^2\Rightarrow Q{\lambda }^2-Q\lambda +N^2=0$$
$${\lambda }_1=\frac{1}{2}-\frac{1}{2}\sqrt{1-4\frac{N^2}{Q}},{\lambda }_2=\frac{1}{2}+\frac{1}{2}\sqrt{1-4\frac{N^2}{Q}}$$
sup ⁡ f ( λ ) = max ⁡ { f ( 0 ) , f ( 1 ) , f ( λ 1 ) , f ( λ 2 ) } \sup f(\lambda)=\max\left\{ f(0), f(1), f(\lambda_1), f(\lambda_2) \right\} supf(λ)=max{f(0),f(1),f(λ1​),f(λ2​)}
$f(0)=M_2$
$f(1)=M_1+M_2$
$f({\lambda }_1)=M_1{\lambda }_1-N^2\sqrt{\frac{1}{Q}}+M_2$
$f({\lambda }_2)=M_1{\lambda }_2-N^2\sqrt{\frac{1}{Q}}+M_2$

Case 1. $M_1\ge 0$

In this case, $f({\lambda }_1)\le f({\lambda }_2)$, $f(0)\le f(1)$, 显然有$f({\lambda }_2)\le f(1)$, so $\sup f(\lambda )=f(1)=M_1+M_2$.

Case 2. $M_1<0$
In this case, $f({\lambda }_2)<f({\lambda }_1)<0$, $f(1)<f(0)$,所以 $\sup f(\lambda )=f(0)=M_2$