Rcpp integration for the Eigen templated linear algebra library

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 3.2.0). Thus users do not need to install Eigen itself in order to use RcppEigen.