Question

I started playing around with Rcpp and would like to use the fastLm function as an example (also because it’s useful for potential later work). I know that fastLm is part of the RcppArmadillo package but I would like to compile it using sourceCpp. The code can be found here and is also below.
The first problem I encounter is that I can’t simply run sourceCpp("fastLm.cpp") in R after installing and loading Rcpp and RcppArmadillo. I get this error error: RcppArmadillo.h: No such file or directory and then all kind of things, which I guess follow from that.

The second issue is that I think I need to change some stuff in the fastLm.cpp. My changes are also below but I am sure something is missing or wrong. I included #include <Rcpp.h> and using namespace Rcpp; and // [[Rcpp::export]] to export the function to R and I changed the arguments from SEXP to NumericVector and NumericMatrix. I don’t see why that shouldn’t work and a similar adjustment is probably possible for the return value?

fastLm.cpp

#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
    ) ;

}

fastLm.cpp changed

#include <Rcpp.h>
#include <RcppArmadillo.h>
using namespace Rcpp;

// [[Rcpp::export]]
extern "C" SEXP fastLm(NumericVector yr, NumericMatrix Xr) {

    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
    ) ;

}

Answer 1

You need to indicate dependency on RcppArmadillo with the Rcpp::depends pseudo attribute. This will take care of finding RcppArmadillo headers and link against blas, lapack etc …

#include <RcppArmadillo.h>
// [[Rcpp::depends(RcppArmadillo)]]

using namespace Rcpp;

// [[Rcpp::export]]
List fastLm(NumericVector yr, NumericMatrix Xr) {

    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
    ) ;

}

Also, it is very important that you use #include <RcppArmadillo.h> and not #include <Rcpp.h>. RcppArmadillo.h takes care of including Rcpp.h at the right time, and order of include files is very important here.

Also, you can return a List and drop the extern "C".