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Richardson Extrapolation

The consideration of the result of a numerical calculation as a function of an adjustable parameter (usually the step size). The function can then be fitted and evaluated at $h=0$ to yield very accurate results. Press et al. (1992) describe this process as turning lead into gold. Richardson extrapolation is one of the key ideas used in the popular and robust Bulirsch-Stoer Algorithm of solving Ordinary Differential Equations.

See also Bulirsch-Stoer Algorithm


Acton, F. S. Numerical Methods That Work, 2nd printing. Washington, DC: Math. Assoc. Amer., p. 106, 1990.

Press, W. H.; Flannery, B. P.; Teukolsky, S. A.; and Vetterling, W. T. ``Richardson Extrapolation and the Bulirsch-Stoer Method.'' §16.4 in Numerical Recipes in FORTRAN: The Art of Scientific Computing, 2nd ed. Cambridge, England: Cambridge University Press, pp. 718-725, 1992.

© 1996-9 Eric W. Weisstein