GitHub - eddelbuettel/rcppgsl: Rcpp integration for GNU GSL vectors and matrices (original) (raw)

RcppGSL: Rcpp Integration for GNU GSL Vectors and Matrices

This package uses Rcpp to connect theR 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

// [[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 RcppGSLand 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)