On 6 December 2012 at 12:33, Douglas Bates wrote:
| // [[Rcpp::depends(RcppEigen)]]
| #include <RcppEigen.h>
|
| typedef Eigen::MatrixXd Mat;
| typedef Eigen::Map<Mat> MMat;
| typedef Eigen::HouseholderQR<Mat> QR;
| typedef Eigen::VectorXd Vec;
| typedef Eigen::Map<Vec> MVec;
|
| // [[Rcpp::export]]
|
| Rcpp::List wtls(const MMat X, const MVec y, const MVec sqrtwts) {
| return Rcpp::List::create(Rcpp::Named("betahat") =
|
QR(sqrtwts.asDiagonal()*X).solve(sqrtwts.asDiagonal()*y));
| }
That is a thing of beauty. Nicely done, Doug!
Dirk
--
Dirk Eddelbuettel | e...@debian.org | http://dirk.eddelbuettel.com
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