C++ and Rcpp

Advanced R

Slides

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Resources

Reading

• Similar scope to this module: Gillespie, C and Lovelace, R, Efficient R programming, Rcpp section

  https://csgillespie.github.io/efficientR/performance.html#rcpp

• Going a bit further: Wickham, H, Advanced R (2nd edn), Rewriting R code in C++ chapter

  https://adv-r.hadley.nz/rcpp.html

• Not very polished, but broader coverage of Rcpp functionality: Tsuda, M.E., Rcpp for everyone

  https://teuder.github.io/rcpp4everyone_en/300_Rmath.html

• The Rcpp vignettes, accessed via browseVignettes("Rcpp") or CRAN

• The unofficial Rcpp API documentation

• Case studies (optimising by improving R code and/or using C++)

  • https://robotwealth.com/optimising-the-rsims-package-for-fast-backtesting-in-r/
  • https://gallery.rcpp.org/articles/bayesian-time-series-changepoint/
  • The Rcpp Gallery has all sorts of examples, many illustrating advanced features of Rcpp).

Packages

• Rcpp
  • https://www.rcpp.org
  • https://github.com/RcppCore/Rcpp
  • https://dirk.eddelbuettel.com/code/rcpp.html