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  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.

REFERENCES:

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

Jeffreys, H. and Jeffreys, B. S. "L. F. Richardson's Method." §9.091 in Methods of Mathematical Physics, 3rd ed. Cambridge, England: Cambridge University Press, p. 288, 1988.