1R and Eigen integration using Rcpp. Eigen is a C++ template library 2for linear algebra: matrices, vectors, numerical solvers and related 3algorithms. It supports dense and sparse matrices on integer, 4floating point and complex numbers, decompositions of such matrices, 5and solutions of linear systems. Its performance on many algorithms 6is comparable with some of the best implementations based on Lapack 7and level-3 BLAS. The RcppEigen package includes the header files 8from the Eigen C++ template library (currently version 3.2.2). Thus 9users do not need to install Eigen itself in order to use RcppEigen. 10Since version 3.1.1, Eigen is licensed under the Mozilla Public 11License (version 2); earlier version were licensed under the GNU 12LGPL version 3 or later. RcppEigen (the Rcpp bindings/bridge to 13Eigen) is licensed under the GNU GPL version 2 or later, as is the 14rest of Rcpp. 15