Fast and Elegant Numerical Linear Algebra Using the RcppEigen Package

Douglas Bates and Dirk Eddelbuettel

Journal of Statistical Software, 2013, vol. 052, issue i05

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.

Date: 2013-02-07
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:052:i05

DOI: 10.18637/jss.v052.i05

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