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Fast and Elegant Numerical Linear Algebra Using the RcppEigen Package | Bates | Journal of Statistical Software
Authors: Douglas Bates, Dirk Eddelbuettel
Title: Fast and Elegant Numerical Linear Algebra Using the RcppEigen Package
Abstract: The RcppEigen package provides access from R (R Core Team 2012a) to the Eigen (Guennebaud, Jacob, and others 2012) C++ template library for numerical linear algebra. Rcpp (Eddelbuettel and François 2011, 2012) classes and specializations of the C++ templated functions as and wrap from Rcpp provide the "glue" for passing objects from R to C++ and back. Several introductory examples are presented. This is followed by an in-depth discussion of various available approaches for solving least-squares problems, including rank-revealing methods, concluding with an empirical run-time comparison. Last but not least, sparse matrix methods are discussed.

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Paper: Fast and Elegant Numerical Linear Algebra Using the RcppEigen Package     Download PDF (Downloads: 6405)
Supplements:
RcppEigen_0.3.1.2.1.tar.gz: R source package Download (Downloads: 586; 1MB)
v52i05.R: R example code from the paper Download (Downloads: 783; 7KB)
DOI: 10.18637/jss.v052.i05

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Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.