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https://issues.apache.org/jira/browse/MATH-325?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
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Luc Maisonobe resolved MATH-325.
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Resolution: Fixed
Solved since 2009-10-13 as of r824822.
> Improvement of Romberg extrapolation
> ------------------------------------
>
> Key: MATH-325
> URL: https://issues.apache.org/jira/browse/MATH-325
> Project: Commons Math
> Issue Type: Improvement
> Affects Versions: 2.0
> Reporter: Andreas mueller
> Fix For: 2.1
>
> Original Estimate: 2h
> Remaining Estimate: 2h
>
> One can use a one-dimensional array (instead of Romberg's tableau) for
> extrapolating subsequent values.
> Please have a look at following code fragments (which I've taken form the
> class RombergExtrapolator of
> my MathLibrary). Feel free to use this code.
> /**
> * Default number of maximal extrapolation steps.
> */
> public static int DEF_MAXIMAL_EXTRAPOLATION_COUNT = 8;
> /**
> * The approximation order. <br>
> * Assume that f(h) is approximated by a function a(h), so that f(h) =
> a(h) +
> * O(h<sup>p</sup>). We say that p is the approximation order.
> */
> private int approximationOrder;
> private int extrapolationCount = 0;
> private double prevResult;
>
> /**
> * The estimate and tolerance may be used to deside wether to finalize
> the
> * iteration process (|estimate| < tolerance).
> */
>
> /** Holds the current estimated error. */
> private double estimate;
> /** Holds the current reached tolerance. */
> private double tolerance;
>
> private double result[] = new double[DEF_MAXIMAL_EXTRAPOLATION_COUNT +
> 1];;
> /**
> * Set the maximal number of subsequent extrapolation steps.
> *
> * @param maximalExtrapolationCount
> * maximal extrapolation steps
> */
> public void setMaximalExtrapolationCount(int maximalExtrapolationCount)
> {
> result = new double[maximalExtrapolationCount + 1];
> }
> /**
> * Extrapolate a sequence of values by means of Romberg's algorithm.
> * Therefore a polynomial of degree maximalExtraploationCount
> * is used. Calculates the current estimate and tolerance using the
> * approximation order.
> *
> * @param value
> * value to extrapolate
> * @return extrapolated value
> */
> public double extrapolate(double value)
> {
> if (extrapolationCount == 0) {
> // first estimate
> estimate = value;
> tolerance = -1.0;
> prevResult = 0;
> }
>
> int i, m, m1 = idx(extrapolationCount);
> long k = (1 << approximationOrder);
> int imin = Math.max(0, extrapolationCount - (result.length -
> 1));
> result[m1] = value;
> for (i = extrapolationCount - 1; i >= imin; i--) {
> m = idx(i);
> m1 = idx(i + 1);
> result[m] = (k * result[m1] - result[m]) / (k - 1);
> k <<= approximationOrder;
> }
> m1 = idx(i + 1);
> estimate = result[m1] - prevResult;
> tolerance = Math.abs(result[m1]) * relativeAccuracy +
> absoluteAccuracy;
> prevResult = result[m1];
> extrapolationCount++;
> return result[m1];
> }
> /**
> * Ring buffer index
> */
> private int idx(int i)
> {
> return (i % result.length);
> }
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