C ++中的矩阵/向量与R math独立库？

Question

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!

Answer 1

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.

Answer 2

I think the original questions starts at the wrong end. There is no C++ in R, and no C++ API in R itself.

So if you want to access R matrix functions, you have to go through the R API -- which is a C layer and very much not C++.

Gavin in his answer (and comments) and Josh are spot-on: You probably want something like Armadillo for high-level matrix algebra. Armadillo (just like related libraries) eventually goes to BLAS and LAPACK --- as does R. [ Doug Bates usually reminds us that there is one important difference related to pivoted decompositions; this is touched upon in the fastLm() implementation and example in RcppArmadillo. ]

Lastly, Rcpp can help with both cases:

• whether you want to extend R by calling C++ code you wrote, where Rcpp makes it easy to pass objects back and forth, or

• whether you want to embed R inside your C++ application using RInside as Rcpp once again provides the glue

The rcpp-devel list is a good place for more in-depth discussions and examples.