ArticleJournal of the Royal Statistical Society. Series B, Statistical methodology2025
Probabilistic Richardson extrapolation.
Article in Journal of the Royal Statistical Society. Series B, Statistical methodology, 2025. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Not yet cited in PubMed.
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Abstract
For over a century, extrapolation methods have provided a powerful tool to improve the convergence order of a numerical method. However, these tools are not well-suited to modern computer codes, where multiple continua are discretized and convergence orders are not easily analysed. To address this challenge, we present a probabilistic perspective on Richardson extrapolation, a point of view that unifies classical extrapolation methods with modern multi-fidelity modelling, and handles uncertain convergence orders by allowing these to be statistically estimated. The approach is developed using Gaussian processes, leading to
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