Richardson extrapolation

Richardson extrapolation is a numerical analysis method for estimating a limiting value when the truncation error has a possibly one-sided power-series expansion at zero. It is commonly used to accelerate the convergence of iterative methods. The technique is named after Lewis Fry Richardson, who introduced it in the early 20th century. Applications include Romberg integration and the Bulirsch–Stoer algorithm for ordinary differential equations.

Field

Numerical analysis

Typical use

Sequence acceleration

Applications

Romberg integration and the Bulirsch–Stoer algorithm