Numerical Tools for 'Rcpp' and Lambda Functions

Provides a 'C++' API for routinely used numerical tools such as integration, root-finding, and optimization, where function arguments are given as lambdas. This facilitates 'Rcpp' programming, enabling the development of 'R'-like code in 'C++' where functions can be defined on the fly and use variables in the surrounding environment.

Introduction

fntl is an R package to facilitate Rcpp programming. It provides a C++ API for routinely used numerical tools such as integration, root-finding, and optimization, where function arguments are given as lambdas. This enables the development of R-like code in C++ where functions can be defined on the fly and use variables in the surrounding environment.

See the included vignette for a more in-depth discussion of the package and an API guide.

Installation

The fntl package may be installed directly from Github using a standard R command like the following.

devtools::install_github("andrewraim/fntl", ref = "v0.1.0")

Here, v0.1.0 represents a tagged release; replace it with a later version if one exists.

Getting Started

The following example computes the integral

$$ B(a,b) = \int_0^1 x^{a-1} (1-x)^{b-1} dx. $$

Create the file example.cpp with the following contents.

// [[Rcpp::depends(fntl)]]
#include "fntl.h"

// [[Rcpp::export]]
Rcpp::List example(double a, double b)
{
    fntl::dfd f = [&](double x) {
        return std::pow(x, a - 1) * std::pow(1 - x, b - 1);
    };
    auto out = fntl::integrate(f, 0, 1);
    return Rcpp::wrap(out);
}

The example function may be called through R as follows.

Rcpp::sourceCpp("example.cpp")
example(2, 3)