Richardson Extrapolation

Panot Chaimongkol
October 29, 2010

Richardson extrapolation is a method of speeding up numerical approxima-

tion, using some known series approximation such as Taylor series.

1 General Formula
To approximate a number a, we start with some approximation series an such
that
an = a + c1 λn1 + c2 λn2 + . . . , (1)
in which known reals λi satisfy 1 > |λ1 | > |λ2 | > . . . but the coefficients ci are
unknown.
Considering an and an−1 , we can eliminate unknown ci with following equa-
tion
an − λ1 an−1 1 − λ1 /λ2
=a+ c2 λn2 + . . . . (2)
1 − λ1 1 − λ1
Here, we let an = an −λ
(1) 1 an−1
1−λ1 and this is our first degree approximation.
Likewise, if we also know λ2 , . . . , λk , we can make kth-degree approximation
(k−1) (k−1)
by eliminating c2 , . . . , ck with known an and an−1 . Ultimately, the general
formula for kth-degree approximation is
(k−1) (k−1)
an − λk an−1
a(k)
n = . (3)
1 − λk

2 Example: Approximate cos 1

Using the equality cos x = sin0 x, we will approximate cos 1 with Taylor expan-
sion of cos x and Richardson extrapolation.
In this approximating equation,
f (x + ∆x) − f (x) ∆x 00 ∆x2 000 ∆x3 (4)
f 0 (x) ≈ = f 0 (x)+ f (x)+ f (x)+ f (x)+. . . ,
∆x 2 6 24
(4)
letting an be the above equation with ∆x replaced with 2−n yields
 n  n  n
0 f 00 (x) 1 f 000 (x) 1 f (4) (x) 1
an = f (x) + + + + .... (5)
2 2 6 4 24 8

1
 Here, let f = sin and x = 1, we have,
 n  n  n
sin00 1 1 sin000 1 1 sin(4) 1 1
an = cos 1 + + + + .... (6)
2 2 6 4 24 8

Compare this with 1, we have

a = cos 1 (7)
(i+1)
sin 1
ci = (8)
(i + 1)!
λi = 2−n (9)
−n
With an = sin(1+22−n)−sin 1 , we can find the nth approximation of kth-degree
of cos 1 using 2 and 3