Hi,
Armadillo (http://arma.sourceforge.net/docs.html) has LU. Here is an
example adapted from armadillo's documentation using Rcpp/RcppArmadillo
and inline:
require( inline )
require( RcppArmadillo )
fx <- cxxfunction( signature( A_ = "matrix"), '
using namespace arma ;
mat A = as<mat>(A_);
mat L;
mat U;
mat P;
lu(L, U, P, A);
mat B = trans(P)*L*U;
return List::create(
_["L"] = L,
_["U"] = U,
_["P"] = P,
_["A"] = A,
_["B"] = B
) ;
', plugin = "RcppArmadillo" )
fx( matrix( runif(100), 10, 10) )
Romain
Le 26/07/10 23:46, Erin Hodgess a écrit :
Dear R People:
Could someone recommend a good c/c++ code (or Fortran) for LU
decomposition, please?
Sorry to bother about this. I'm trying to do some "non-R" work that
requires a matrix inversion.
Thanks,
Erin
--
Romain Francois
Professional R Enthusiast
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http://romainfrancois.blog.free.fr
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