RichardsonExtrapolation Class Reference

Richardson Extrapolation. More...

#include <ql/math/richardsonextrapolation.hpp>

Public Member Functions
	RichardsonExtrapolation (const std::function< Real(Real)> &f, Real delta_h, Real n=Null< Real >())
Real	operator() (Real t=2.0) const
Real	operator() (Real t, Real s) const

Detailed Description

Richardson Extrapolation.

Richardson Extrapolation is a sequence acceleration technique for

\[ f(\Delta h) = f_0 + \alpha\cdot (\Delta h)^n + O((\Delta h)^{n+1}) \]

References: http://en.wikipedia.org/wiki/Richardson_extrapolation

Constructor & Destructor Documentation

RichardsonExtrapolation()

RichardsonExtrapolation	(	const std::function< Real(Real)> &	f,
		Real	delta_h,
		Real	n = Null< Real >() )

Richardon Extrapolation

Parameters

f	function to be extrapolated to delta_h -> 0
delta_h	step size
n	if known, n is the order of convergence

Member Function Documentation

operator()() [1/2]

Real operator()

(

Real

t = 2.0

)

const

Extrapolation for known order of convergence

Parameters

t	scaling factor for the step size

operator()() [2/2]

Real operator()	(	Real	t,
		Real	s ) const

Extrapolation for unknown order of convergence

Parameters

t	first scaling factor for the step size
s	second scaling factor for the step size