May 26, 2018
Rcpp integration for the Eigen templated linear algebra library
R and Eigen integration using Rcpp. Eigen is a C++ template library for linear algebra matrices, vectors, numerical solvers and related algorithms. It supports dense and sparse matrices on integer, floating point and complex numbers, decompositions of such matrices, and solutions of linear systems. Its performance on many algorithms is comparable with some of the best implementations based on Lapack and level-3 BLAS. The RcppEigen package includes the header files from the Eigen C++ template library currently version 3.2.2. Thus users do not need to install Eigen itself in order to use RcppEigen. Since version 3.1.1, Eigen is licensed under the Mozilla Public License version 2; earlier version were licensed under the GNU LGPL version 3 or later. RcppEigen the Rcpp bindings/bridge to Eigen is licensed under the GNU GPL version 2 or later, as is the rest of Rcpp.