A numerical method usually used when explicit formulae are unavailable. The idea is that a repetition of (usually simple) calculations will result in a sequence of approximate values for the quantity of interest. The differences between successive values will usually diminish rapidly and a usual termination rule is based on the difference having reached an acceptably small value. Each repetition is called an iteration. Examples include the Deming–Stephan algorithm, the EM algorithm, and iteratively reweighted least squares.
Subjects: Probability and Statistics.