All,
I have been playing with the R math standalone library in C++. I quite like being able to generate random numbers and use distribution functions that I am comfortable with from R. My question is: is it possible to use the matrix operations (multiplication, transpose, inverse, Chol, etc) that are available in R in a standalone library? I don’t see them in Rmath.h.
If matrix operations are available to use in standalone C++ code, it seems that the R API becomes the perfect open source computational engine. Are people using it in this fashion?
Thanks so much for your guidance and suggestions!
Most, if not all, of the things you mention are provided by LAPACK or BLAS Fortran code that R links to, not something R provides new code for itself.
If you are interested in using C++ with R, look at the Rcpp package by Dirk Eddelbuettel and Romain Francois. Dirk has also written the RcppArmadillo package as an interface to the Armadillo C++ linear algebra library that can do the matrix operations you mention.
Whether this is of use will depend on whether you are wanting to write separate C++ code that is accessed outside R, or interfacing C++ code that you access within R. Rcpp facilitates (greatly) the latter. Take a look at Armadillo directly if it is the former situation.