Using Functions from Rmath.h

Dirk Eddelbuettel — written Dec 18, 2012 — source

R, as a statistical language and environment, has very well written and tested statistical distribution functions providing probability density, cumulative distribution, quantiles and random number draws for dozens of common and not so common distribution functions. This code is used inside R, and available for use from standalone C or C++ programs via the standalone R math library which Debian / Ubuntu have as a package r-mathlib (and which can be built from R sources).

The short example below shows this for a simple function taking a vector, and returning its pnorm computed using the R pnorm function:

#include <Rcpp.h>

// [[Rcpp::export]]
Rcpp::NumericVector mypnorm(Rcpp::NumericVector x) {
    
   int n = x.size();
   Rcpp::NumericVector y(n);

   for (int i=0; i<n; i++) 
      y[i] = R::pnorm(x[i], 0.0, 1.0, 1, 0);

   return y;
}

We can now use the function to compute the probability distribution:

x <- seq(0, 1, length=1e3)
res <- mypnorm(x)
head(res)

[1] 0.5000 0.5004 0.5008 0.5012 0.5016 0.5020

Note that the C++ code, through its use via Rcpp attributes, will be augmented with an automatic instantiation of a RNGScope object which ensures a proper state of the R random number generator.

tags: rmath

Extending R with C++ and Fortran — Dirk Eddelbuettel and JBrandon Duck-Mayr
Benchmarking Rcpp code with RcppClock — Zach DeBruine
Simulation Smoother using RcppArmadillo — Tomasz Woźniak

Using Functions from Rmath.h

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