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 3.2.9). 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'.

Rcpp Integration for the Eigen Templated Linear Algebra Library

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 3.2.5). Thus users do not need to install Eigen itself in order to use RcppEigen.