Error bounds for Romberg quadrature

DOI10.1007/S002110050424MaRDI QIDQ1806009zbMATH OpenOpenAlexFDO

Authors Jan Fischer, Helmut Brass

Publication date 1 November 1999

Published in Numerische Mathematik (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s002110050424

zbMATH Keywords

comparison of methodserror boundsextrapolation to the limitGauss quadratureRomberg quadrature

Mathematics Subject Classification ID

Approximate quadratures (41A55) Remainders in approximation formulas (41A80) Extrapolation to the limit, deferred corrections (65B05) Numerical quadrature and cubature formulas (65D32)

Review text

An important question in the theory of numerical integration rules is the relative quality of different types of integration rules. The authors derive new error bounds for the Romberg rules and compare these bounds with previously obtained bounds for Gauss rules. The bounds are derived for two large classes of integrands, integrands with bounded derivatives, and integrands with bounded total variation of derivatives. The derivations are quite technical and the main tool used is the Peano form for the error in an integration rule. The analysis explicitly shows the superiority of the Gaussian rules, except for integrands with limited smoothness.

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Cited in

(8)

• Romberg quadrature using the Bulirsch sequence
• Revisited optimal error bounds for interpolatory integration rules
• Rounding error analysis of divided differences schemes: Newton's divided differences; Neville's algorithm; Richardson extrapolation; Romberg quadrature; etc.
• A divergent sequence of Romberg integrals
• A Chebyshev-Markov-Stieltjes separation type theorem for classical Romberg quadrature
• Some numerical applications of generalized Bernstein operators
• Error bounds for numerical integration of functions of lower smoothness and Gauss-Legendre quadrature rule
• On extrapolation of Jagerman and Stetter rules

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