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I I (H) + E (H) : Richardson's Extrapolation: Integration

Richardson's extrapolation is a technique to improve the accuracy of numerical integration estimates based on the estimates themselves. It uses two integration estimates with different step sizes (h1 and h2) to compute a third, more accurate approximation. If the error terms for the two estimates are known, they can be combined to eliminate the error and yield a new estimate with higher order accuracy, such as improving from O(h^2) to O(h^4) accuracy. This technique can also be applied to numerical differentiation by combining two derivative estimates in a similar way.

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61 views4 pages

I I (H) + E (H) : Richardson's Extrapolation: Integration

Richardson's extrapolation is a technique to improve the accuracy of numerical integration estimates based on the estimates themselves. It uses two integration estimates with different step sizes (h1 and h2) to compute a third, more accurate approximation. If the error terms for the two estimates are known, they can be combined to eliminate the error and yield a new estimate with higher order accuracy, such as improving from O(h^2) to O(h^4) accuracy. This technique can also be applied to numerical differentiation by combining two derivative estimates in a similar way.

Uploaded by

Ankush Roy
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Richardson’s

Extrapolation: Integration
Error-correction techniques are also available to improve the results of numerical
integration on the basis of the integral estimates themselves. Generally called
Richardson’s extrapolation, these methods use two estimates of an integral to
compute a third, more accurate approximation.

I = I(h) + E(h) (1)


where I the exact value of the integral, I (h ) is the approximation from an n
–segment integration with error E(h)
If we make two separate estimates using step sizes of h1 and h2 and have exact
values for the error,
I(h1 ) + E(h1 ) = I(h2 ) + E(h2 ) (2)
Let us recall the error in the Trapezoidal method,
(b a)h2 f¯”(⇣)
E(h) ⇡
12
If it is assumed that if the double derivative of the function is constant regardless of
step size, Above eq. can be used to determine that the ratio of the two errors will be

(3)
Richardson’s Extrapolation: Integration

If we substitute for the error the outcome will be,

I = I(h2 ) + E(h2 )
(4)

It can be shown (Ralston and Rabinowitz, 1978) that the error of this estimate is O(h4).
Thus, we have combined two trapezoidal rule estimates of O(h2) to yield a new estimate
of O(h4). For the particular case if we consider h1=h and h2=h1/2 then above equation
can be,

Which will yield the final equation as,

(5)
Richardson’s Extrapolation: Differentiation
Recall the Richardson extrapolation provided a means to obtain
an improved integral estimate by the formula

If we substitute for the Error in the outcome of, (1)

Here I(h1) and I(h2) are integral estimates using two step sizes h1 and h2.
For the convenience we can write above expression as for the case where
h2 =h1 /2

(2)

In a similar fashion above equation can be written for derivatives as


4 1
D ⇡= D(h2 ) D(h1 ) (3)
3 3
For the centered difference approximations with O (h2 ), the application of this
formula will yield a new derivative estimate of O (h4 ).
Home Work

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