RcppEigen
Rcpp Integration for the Eigen Templated Linear Algebra Library
Eigen is a C++ template library for linear
algebra: matrices, vectors, numerical solvers and related algorithms. It
supports dense and sparse matrices on integer, floating point and complex
numbers, decompositions of such matrices, and solutions of linear
systems. Its performance on many algorithms is comparable with some of the
best implementations based on Lapack and level-3 BLAS.
The RcppEigen package includes the header files from the Eigen C++ template library (currently version 3.2.5). Thus users do not need to install Eigen itself in order to use RcppEigen.