R and Eigen integration using Rcpp. Eigen is a C++ template library
for linear algebra: matrices, vectors, numerical solvers and related
algorithms. It supports dense and sparse matrices on integer,
floating point and complex numbers, decompositions of such matrices,
and solutions of linear systems. Its performance on many algorithms
is comparable with some of the best implementations based on Lapack
and level-3 BLAS. The RcppEigen package includes the header files
from the Eigen C++ template library (currently version 3.2.2).

Homepage:
https://CRAN.R-project.org/package=RcppEigen
