RichardsonExtrapolation Class Reference

Richardson Extrapolation. More...

#include <ql/math/richardsonextrapolation.hpp>

Collaboration diagram for RichardsonExtrapolation:

Public Member Functions
	RichardsonExtrapolation (const ext::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

Private Attributes
const Real	delta_h_
const Real	fdelta_h_
const Real	n_
const ext::function< Real(Real)>	f_

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

Definition at line 43 of file richardsonextrapolation.hpp.

Constructor & Destructor Documentation

RichardsonExtrapolation()

RichardsonExtrapolation	(	const ext::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

Definition at line 46 of file richardsonextrapolation.cpp.

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

Definition at line 55 of file richardsonextrapolation.cpp.

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

Definition at line 65 of file richardsonextrapolation.cpp.

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Member Data Documentation

delta_h_

const Real delta_h_

private

Definition at line 66 of file richardsonextrapolation.hpp.

fdelta_h_

const Real fdelta_h_

private

Definition at line 67 of file richardsonextrapolation.hpp.

n_

const Real n_

private

Definition at line 68 of file richardsonextrapolation.hpp.

f_

const ext::function<Real (Real)> f_

private

Definition at line 69 of file richardsonextrapolation.hpp.