Question

I believe boost has a limitation on contiguous or at least step-wise consistent slicing of matrices. In R, I could have a random vector c(5,2,8) and use that to index into a matrix M[c(5,2,8),] for example…

Answer 1

Armadillo supports this as of version 3.0 which was released not even two weeks ago.

Here is a worked example via RcppArmadillo:

R> library(inline)
R> 
R> code <- '
+   arma::mat  M = Rcpp::as<arma::mat>(m);   // normal matrix
+   arma::uvec V = Rcpp::as<arma::uvec>(v);  // unsigned int vec
+   arma::mat  N = M.cols(V);                // index matrix by vec
+   return Rcpp::wrap(N);
+ '
R> 
R> fun <- cxxfunction(signature(m="numeric", v="integer"),
+                    code,
+                    plugin="RcppArmadillo")
R> M <- matrix(1:25,5,5)
R> V <- c(1L, 3L, 5L) - 1     # offset by one for zero indexing
R> fun(M, V)
     [,1] [,2] [,3]
[1,]    1   11   21
[2,]    2   12   22
[3,]    3   13   23
[4,]    4   14   24
[5,]    5   15   25
R> 

There is a matching function to pick rows rather than columns.