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
The RcppEigen package includes the header files from the Eigen C++ template library (currently version 3.2.9). Thus users do not need to install Eigen itself in order to use RcppEigen.
The package is reasonably mature and under active development, following the Eigen release cycle.
The package contains a pdf vignette which is a pre-print of the paper by Bates and Eddelbuettel in JSS (2013, v52i05).
Douglas Bates, Dirk Eddelbuettel, Romain Francois, and Yixuan Qiu
GPL (>= 2)