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Fast and Elegant Numerical Linear Algebra Using the RcppEigen Package

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  • Bates, Douglas
  • Eddelbuettel, Dirk

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.

Suggested Citation

  • Bates, Douglas & Eddelbuettel, Dirk, 2013. "Fast and Elegant Numerical Linear Algebra Using the RcppEigen Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 52(i05).
    • Handle: RePEc:jss:jstsof:v:052:i05
    DOI: http://hdl.handle.net/10.18637/jss.v052.i05
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    Cited by:

    1. Aaron T L Lun & Hervé Pagès & Mike L Smith, 2018. "beachmat: A Bioconductor C++ API for accessing high-throughput biological data from a variety of R matrix types," PLOS Computational Biology, Public Library of Science, vol. 14(5), pages 1-15, May.
    2. Øystein Sørensen & Anders M. Fjell & Kristine B. Walhovd, 2023. "Longitudinal Modeling of Age-Dependent Latent Traits with Generalized Additive Latent and Mixed Models," Psychometrika, Springer;The Psychometric Society, vol. 88(2), pages 456-486, June.
    3. Michael Braun & Paul Damien, 2016. "Scalable Rejection Sampling for Bayesian Hierarchical Models," Marketing Science, INFORMS, vol. 35(3), pages 427-444, May.
    4. F. Paton & P.D. McNicholas, 2020. "Detecting British Columbia coastal rainfall patterns by clustering Gaussian processes," Environmetrics, John Wiley & Sons, Ltd., vol. 31(8), December.
    5. Harold Doran, 2023. "A Collection of Numerical Recipes Useful for Building Scalable Psychometric Applications," Journal of Educational and Behavioral Statistics, , vol. 48(1), pages 37-69, February.
    6. Braun, Michael, 2014. "trustOptim: An R Package for Trust Region Optimization with Sparse Hessians," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 60(i04).
    7. Pötscher, Benedikt M. & Preinerstorfer, David, 2023. "How Reliable Are Bootstrap-Based Heteroskedasticity Robust Tests?," Econometric Theory, Cambridge University Press, vol. 39(4), pages 789-847, August.
    8. Jos'e Vin'icius de Miranda Cardoso & Jiaxi Ying & Daniel Perez Palomar, 2020. "Algorithms for Learning Graphs in Financial Markets," Papers 2012.15410, arXiv.org.
    9. Bogdan Oancea & Tudorel Andrei & Raluca Mariana Dragoescu, 2015. "Accelerating R with high performance linear algebra libraries," Romanian Statistical Review, Romanian Statistical Review, vol. 63(3), pages 109-117, September.
    10. Eric Golinko & Xingquan Zhu, 2019. "Generalized Feature Embedding for Supervised, Unsupervised, and Online Learning Tasks," Information Systems Frontiers, Springer, vol. 21(1), pages 125-142, February.
    11. Martinetti, Davide & Geniaux, Ghislain, 2017. "Approximate likelihood estimation of spatial probit models," Regional Science and Urban Economics, Elsevier, vol. 64(C), pages 30-45.
    12. Marchese, Scott & Diao, Guoqing, 2018. "Joint regression analysis of mixed-type outcome data via efficient scores," Computational Statistics & Data Analysis, Elsevier, vol. 125(C), pages 156-170.

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