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RcppArmadillo: R and Armadillo via Rcpp

Synopsis

RcppArmadillo provides an interface from R to and from Armadillo by utilising the Rcpp R/C++ interface library.

What is Armadillo?

Armadillo is a high-quality linear algebra library for the C++ language, aiming towards a good balance between speed and ease of use. It provides high-level syntax and functionality deliberately similar to Matlab (TM). See its website more information about Armadillo.

So give me an example!

Glad you asked. Here is a light-weight and fast implementation of linear regression:

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

// [[Rcpp::export]]
Rcpp::List fastLm(const arma::mat& X, const arma::colvec& y) {
    int n = X.n_rows, k = X.n_cols;

    arma::colvec coef = arma::solve(X, y);     // fit model y ~ X
    arma::colvec res  = y - X*coef;            // residuals
    double s2 = arma::dot(res, res) / (n - k); // std.errors of coefficients
    arma::colvec std_err = arma::sqrt(s2 * arma::diagvec(arma::pinv(arma::trans(X)*X)));

    return Rcpp::List::create(Rcpp::Named("coefficients") = coef,
                              Rcpp::Named("stderr")       = std_err,
                              Rcpp::Named("df.residual")  = n - k);
}

You can Rcpp::sourceCpp() the file above to compile the function. A version is also included in the package as the fastLm() function.

The RcppArmadillo/Lighter header includes Rcpp via its Rcpp/Lighter header which precludes some more compile-time heavy features such as 'Rcpp Modules' which we may not need. See the Rcpp docs more details about 'Light', 'Lighter' and 'Lightest'. In the example above, the switch saves about 15% of total compilation time.

Status

The package is mature yet under active development with releases to CRAN about once every other month, and widely-used by other CRAN packages as can be seen from the CRAN package page. As of April 2024, there are 1135 CRAN packages using RcppArmadillo.

Documentation

The package contains a pdf vignette which is a pre-print of the paper by Eddelbuettel and Sanderson in CSDA (2014), as well as an introductory vignette for the sparse matrix conversions.

Installation

RcppArmadillo is a CRAN package, and lives otherwise in its own habitat on GitHub within the RcppCore GitHub organization.

Run

install.packages("RcppArmadillo")

to install from your nearest CRAN mirror.

Authors

Dirk Eddelbuettel, Romain Francois, Doug Bates, Binxiang Ni, and Conrad Sanderson

License

GPL (>= 2)

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Version

Install

install.packages('RcppArmadillo')

Monthly Downloads

451,435

Version

14.0.2-1

License

GPL (>= 2)

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Last Published

September 12th, 2024

Functions in RcppArmadillo (14.0.2-1)

RcppArmadillo-package

R and Armadillo Integration
armadillo_set_seed_random

Set the Armadillo Random Number Generator to a random value
armadillo_set_seed

Set the Armadillo Random Number Generator to the given value
armadillo_throttle_cores

Throttle (or Reset) (Rcpp)Armadillo to Two Cores
armadillo_get_number_of_omp_threads

Report (or Set) Maximum Number of OpenMP Threads
armadillo_version

Report the version of Armadillo
fastLm

Bare-bones linear model fitting function
RcppArmadillo.package.skeleton

Create a skeleton for a new package that intends to use RcppArmadillo