Romberg integration is an extrapolation technique which allows us to take a sequence approximate solutions to an integral and calculate a better approximation. This technique assumes that the function we are integrating is sufficiently differentiable.
Useful background for this topic includes:
- Bradie, 6.7 Romberg Integration, p.496
- Mathews, 7.3 Recursive Rules and Romberg Integration, p.378
- Weisstein, http://mathworld.wolfram.com/RombergIntegration.html.
Copyright ©2005 by Douglas Wilhelm Harder. All rights reserved.