Sitting on top of R’s external pointers, the RcppXPtr class provides a powerful and generic framework for Passing user-supplied C++ functions to a C++ backend. This technique is exploited in the RcppDE package, an efficient C++ based implementation of the DEoptim package that accepts optimisation objectives as both R ... [Read more...]

TL;DR C++ templates and function overloading are incompatible with R’s C API, so polymorphism must be achieved via run-time dispatch, handled explicitly by the programmer. The traditional technique for operating on SEXP objects in a generic manner entails a great deal of boilerplate code, which can be unsightly, ... [Read more...]

mlpack mlpack is, to quote, a scalable machine learning library, written in C++, that aims to provide fast, extensible implementations of cutting-edge machine learning algorithms. It has been written by Ryan Curtin and others, and is described in two ... [Read more...]

Background When we started the Rcpp Gallery in late 2012, a few of us spent the next four weeks diligently writing articles ensuring that at least one new article would be posted per day. Two early articles covered the then-budding support for C++11. ... [Read more...]

Armadillo is very versatile C++ library for linear algebra, brough to R via the RcppArmadillo package. It has proven to be very useful and popular, and is (as of February 2017) used by well over 300 CRAN packages as indicated by the reverse depends / ... [Read more...]

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Summary Recent research by Marcos Lopez de Prado aims to improve Markowitz’s Critical Line Algorithm (CLA). The (currently patent-pending) methodology proposes the Hierarchical Risk Parity (HRP) approach which aims to tackle several issues with the original CLA: instability, concentration, and underperformance. HRP applies modern mathematics (graph theory and machine ... [Read more...]

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Summary Recently new research has appeared on using a co-movement measure to construct the covariance matrix as part of the Modern Portfolio Theory (MPT) style portfolio construction. Below is the abstract of the Gerber, Markowith and Pujara (2015) paper whose methodology is also currently patent pending: Markowitz’s mean-variance MPT has ... [Read more...]

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Introduction The Numerical Template Toolbox (NT2) collection of header-only C++ libraries that make it possible to explicitly request the use of SIMD instructions when possible, while falling back to regular scalar operations when not. NT2 itself is p... [Read more...]

Modern CPU processors are built with new, extended instruction sets that optimize for certain operations. A class of these allow for vectorized operations, called Single Instruction / Multiple Data (SIMD) instructions. Although modern compilers will u... [Read more...]

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