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RcppEigen: 'Rcpp' Integration for the 'Eigen' Templated Linear
AlgebraLibrary
R and 'Eigen' integration using 'Rcpp'. '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. Thus users do not need to install 'Eigen' itself in order to use
'RcppEigen'. Since version 3.1.1, 'Eigen' is licensed under the Mozilla
Public License (version 2); earlier version were licensed under the GNU
LGPL version 3 or later. 'RcppEigen' (the 'Rcpp' bindings/bridge to
'Eigen') is licensed under the GNU GPL version 2 or later, as is the rest
of 'Rcpp'.
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