[R] Help with integrating R and c/c++

[David Winsemius]

On Feb 6, 2011, at 10:28 AM, Rohit Pandey wrote:

> Hi,
>
> I have been using R for close to two years now and have grown quite
> comfortable with the language. I am presently trying to implement an
> optimization routine in R (Newton Rhapson). I have some R functions  
> that
> calculate the gradient and hessian (pre requisite matrices) fairly
> efficiently. Now, I have to call this function iteratively until some
> convergance criterion is reached. I think the standard method of  
> doing this
> in most programming languages is a while loop. However, I know R can  
> get
> pretty slow when you use loops. In order to make this efficient, I  
> want to
> transfer this part of my code to a more efficient programming  
> language like
> c++ or c. However, I have been trying to learn this all day without  
> any
> luck. I found a package called Rcpp that makes this easier. However,  
> it
> seems some functional knowledge of writing R packages is a pre  
> requisite. I
> tried to follow the standard manual for doing this, but could not  
> find a
> simple example to get me started. I know I am supposed to make a cpp  
> file
> and put it some where before it can be called from R, but I'm  
> confused as to
> how this can be done.

Dirk Eddelbuettel has 8 vignettes linked from his Rcpp page:

http://dirk.eddelbuettel.com/code/rcpp.html

And reading further you will see about 20 packages written with Rcpp.

And there is a mailing list link which I had originally sought on the  
main Mailing List page (unsuccessfully):

http://lists.r-forge.r-project.org/pipermail/rcpp-devel/

-- 
David.
>
> My requirement is to start with a parameter vector, update it  
> according to
> the gradient and hessian, check if the parameter satisfies some  
> convergance
> criterion and continue doing this until it does. Is there a way to
> efficiently do this through an R function (replicate?). The problem  
> is that
> the number of iterations is not fixed. If there is no function in R,  
> is
> there a way I can quickly use Rcpp or some thing to have this last  
> part of
> my code in a C or C++ program which repeatedly calls my R functions  
> for
> updating the parameters?
>
> -- 
> Thanks in advance,
> Rohit
> Mob: 91 9819926213
>
> 	[[alternative HTML version deleted]]
>
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David Winsemius, MD
West Hartford, CT