Overview

RcppArmadillo provides an interface from R to and from Armadillo by utilising the Rcpp R/C++ interface library.

So what is Armadillo?

Armadillo is a C++ linear algebra library aiming towards a good balance between speed and ease of use. Integer, floating point and complex numbers are supported, as well as a subset of trigonometric and statistics functions. Various matrix decompositions are provided through optional integration with LAPACK and ATLAS libraries.

A delayed evaluation approach is employed (during compile time) to combine several operations into one and reduce (or eliminate) the need for temporaries. This is accomplished through recursive templates and template meta-programming.

This library is useful if C++ has been decided as the language of choice (due to speed and/or integration capabilities), rather than another language.

So give me an example!

Sure, glad you asked. Here is a simple implementation of a fast linear regression (provided by RcppArmadillo via the fastLm() function):

#include <RcppArmadillo.h>

extern "C" SEXP fastLm(SEXP ys, SEXP Xs) {

    Rcpp::NumericVector yr(ys);                 // creates Rcpp vector from SEXP
    Rcpp::NumericMatrix Xr(Xs);                 // creates Rcpp matrix from SEXP
    int n = Xr.nrow(), k = Xr.ncol();

    arma::mat X(Xr.begin(), n, k, false);       // reuses memory and avoids extra copy
    arma::colvec y(yr.begin(), yr.size(), false);

    arma::colvec coef = arma::solve(X, y);      // fit model y ~ X
    arma::colvec resid = y - X*coef;            // residuals

    double sig2 = arma::as_scalar( arma::trans(resid)*resid/(n-k) );
                                                // std.error of estimate
    arma::colvec stderrest = arma::sqrt( sig2 * arma::diagvec( arma::inv(arma::trans(X)*X)) );

    return Rcpp::List::create(
        Rcpp::Named("coefficients") = coef,
        Rcpp::Named("stderr")       = stderrest
    ) ;

}

Where do I get it

RcppArmadillo is now a CRAN package, lives otherwise in its own habitat on R-Forge within Rcpp and can also be downloaded from the local Rcpp archive.

Authors

RcppArmadillo is being written by Romain Francois, Dirk Eddelbuettel and Doug Bates using Rcpp and building on top of the excellent Armadillo library by Conrad Sanderson.

License

Armadillo is licensed under the MPL version 2, while RcppArmadillo (the Rcpp bindings/bridge to Armadillo) is license under GNU GPL version 2 or later, as is the rest of Rcpp.

Last modified: Sat Mar 2 16:10:03 CST 2013