Managementberatung

Eintrag vom: 25.12.2013.

In numerical analysis and in applied mathematics one has often to deal with sequences which converge slowly to their limit. Extrapolation methods can be used to accelerate the convergence of a slow converging sequence or even to sum up divergent series.

 

We now have the tools to build high-order accurate approximations to the derivative.

 

This pro-cedure is Richardson extrapolation an essential but easily overlooked technique that should be part of every numerical analyst?s toolbox. When applied to quadrature rules the procedure is called Romberg integration.

 

In this paper interpolation and extrapolation techniques and their algorithms are overviewed and compared on the basis of better smoothing results.

 

The technique known as extrapolation can be used whenever the truncation error has a predictable form (as above) and depends on a parameter such as h the step size.