Abstract
The RcppEigen package provides an interface to the Eigen library. Eigen is a featureful C++ library which deploys modern template meta-programming techniques. It is similar to Armadillo but provides an even more granular application-programming interface (API). This chapter provides an introduction to the Rcpp Eigen package by introducing the core data structures, illustrating some of the available matrix decomposition methods and concludes with a case study of particular C++implementation (providing what is called a “factory” pattern) for different matrix decomposition approaches in order to provide a faster reimplementation of the lm method.
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Notes
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A comment from another R / Eigen developer confirming this ratio is gratefully acknowledged.
- 3.
The Eigen tutorial can be accessed via http://eigen.tuxfamily.org/dox, and more detailed documentation about matrix decompositions is at http://eigen.tuxfamily.org/dox/TopicLinearAlgebraDecompositions.html.
References
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Eddelbuettel, D. (2013). RcppEigen. In: Seamless R and C++ Integration with Rcpp. Use R!, vol 64. Springer, New York, NY. https://doi.org/10.1007/978-1-4614-6868-4_12
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DOI: https://doi.org/10.1007/978-1-4614-6868-4_12
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