On forming the Romberg table (Q761762)

Let \(T(h)=I+a_ 1h^{\eta_ 1}+a_ 2h^{\eta_ 2}+...+a_ nh^{\eta_ n}+O(h^{\eta_{n+1}})\), \(0<\eta_ 1<\eta_ 2<...<\eta_{n+1}\), be the asymptotic expansion of a function T(h) with limiting value I as h tends to zero. The standard Romberg algorithm corresponds to the case \(\eta_ j=2j\) and involves evaluation of T(h) at a decreasing sequence of values \(h=h_ i\), \(i=0,1,2,..\).. In this paper the author presents an algorithm for generating the Romberg table for any sequence \(\{\eta_ j\}\) of powers and for any step-length sequence \(\{h_ j\}\). The propagation of errors across the table due to the rounding errors in the initial column is studied and a method for calculating an a priori bound is given.