Richardson Extrapolation. More...
#include <ql/math/richardsonextrapolation.hpp>
| Public Member Functions | |
| RichardsonExtrapolation (const boost::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 | 
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
| RichardsonExtrapolation | ( | const boost::function< Real(Real)> & | f, | 
| Real | delta_h, | ||
| Real | n = Null< Real >() | ||
| ) | 
Richardon Extrapolation
| f | function to be extrapolated to delta_h -> 0 | 
| delta_h | step size | 
| n | if known, n is the order of convergence | 
Extrapolation for known order of convergence
| t | scaling factor for the step size |