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.
If you use PostgreSQL, you might want to try PL/R; see: http://www.joeconway.com/plr/
It allows your R functions to run inside the backend database process, minimizing data I/O.
HTH,
Joe
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