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 (currently version 3.2.2). 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.