One possibility is to use a DBMS like MySQL or Postgresql, and RODBC to 
connect to these. Search the archives for previous postings about these, have a 
look at the first R-Newsletter and at Data Import-Export manual.

In a message dated 8/7/03 1:26:20 PM Eastern Daylight Time, 
sigma@consultoresestadisticos.com writes:

> Dear R-users,
> 
> I am faced with the problem of analyzing a huge dataset (+ 2 million 
> records, +150 variables) which does not fit into memory. I would like to 
> know if there are pre-packaged tools (in the spirit of Insigthful 
> I-Miner, for instance) aimed at subsampling or splitting the dataset 
> into data-frameable subdatasets, applying functions record-wise, etc.
> 
> Thank you very much for your help.
> 
> Carlos J. Gil Bellosta
> Sigma Consultores Estadísticos
> http://www.consultoresestadisticos.com
> 
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