This package uses Rcpp to connect the R system to the GNU GSL, a collection of numerical routines for scientific computing, particularly its vector and matrix classes.
Examples
Faster lm() for OLS regression
The fastLm() function included as file src/fastLm.cpp in the package:
#include <RcppGSL.h> #include <gsl/gsl_multifit.h> #include <cmath> // [[Rcpp::export]] Rcpp::List fastLm(const RcppGSL::Matrix &X, const RcppGSL::Vector &y) { int n = X.nrow(), k = X.ncol(); double chisq; RcppGSL::Vector coef(k); // to hold the coefficient vector RcppGSL::Matrix cov(k,k); // and the covariance matrix // the actual fit requires working memory we allocate and free gsl_multifit_linear_workspace *work = gsl_multifit_linear_alloc (n, k); gsl_multifit_linear (X, y, coef, cov, &chisq, work); gsl_multifit_linear_free (work); // assign diagonal to a vector, then take square roots to get std.error Rcpp::NumericVector std_err; std_err = gsl_matrix_diagonal(cov); // need two step decl. and assignment std_err = Rcpp::sqrt(std_err); // sqrt() is an Rcpp sugar function return Rcpp::List::create(Rcpp::Named("coefficients") = coef, Rcpp::Named("stderr") = std_err, Rcpp::Named("df.residual") = n - k); }
A simple column norm
This example comes from the complete example package included in RcppGSL
and is from the file inst/examples/RcppGSLExample/src/colNorm.cpp
#include <RcppGSL.h> #include <gsl/gsl_matrix.h> #include <gsl/gsl_blas.h> // [[Rcpp::export]] Rcpp::NumericVector colNorm(const RcppGSL::Matrix & G) { int k = G.ncol(); Rcpp::NumericVector n(k); // to store results for (int j = 0; j < k; j++) { RcppGSL::VectorView colview = gsl_matrix_const_column (G, j); n[j] = gsl_blas_dnrm2(colview); } return n; // return vector }
Dependencies
- GNU GSL library (eg libgsl0-dev on Debian or Ubuntu)
- Rcpp for seamless R and C++ integration
Availabililty
On CRAN and here.
Authors
Dirk Eddelbuettel and Romain Francois
License
GPL (>= 2)