Lecture

Numerical Integration: Romberg Integration

Description

This lecture covers Romberg integration, a method to improve the accuracy of numerical integration by combining multiple estimates. Starting with a basic O(h^2) estimate, the instructor explains how to iteratively refine the estimate to achieve higher orders of accuracy, such as O(h^4) and O(h^8). The lecture also introduces a general recursive scheme for Romberg integration and discusses the stopping condition for the iterative process.

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