I started playing around with Rcpp
and would like to use the fastLm
function as an example (also because it\'s useful for potential later work). I know
You need to indicate dependency on RcppArmadillo
with the Rcpp::depends
pseudo attribute. This will take care of finding RcppArmadillo
headers and link against blas
, lapack
etc ...
#include
// [[Rcpp::depends(RcppArmadillo)]]
using namespace Rcpp;
// [[Rcpp::export]]
List fastLm(NumericVector yr, NumericMatrix Xr) {
int n = Xr.nrow(), k = Xr.ncol();
arma::mat X(Xr.begin(), n, k, false); // reuses memory and avoids extra copy
arma::colvec y(yr.begin(), yr.size(), false);
arma::colvec coef = arma::solve(X, y); // fit model y ~ X
arma::colvec resid = y - X*coef; // residuals
double sig2 = arma::as_scalar( arma::trans(resid)*resid/(n-k) );
// std.error of estimate
arma::colvec stderrest = arma::sqrt( sig2 * arma::diagvec( arma::inv(arma::trans(X)*X)) );
return Rcpp::List::create(
Rcpp::Named("coefficients") = coef,
Rcpp::Named("stderr") = stderrest
) ;
}
Also, it is very important that you use #include
and not #include
. RcppArmadillo.h
takes care of including Rcpp.h
at the right time, and order of include files is very important here.
Also, you can return a List
and drop the extern "C"
.