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Conrad Sanderson is preparing version 2.0.0 of his Armadillo templated C++ library for linear algebra and has released a first public beta version 1.99.2. This has been folded into a new release of the RcppArmadillo wrapper for R based on our Rcpp library.

Also added in this version is a new example of a simulation of a vector autoregression process which I had blogged about earlier. The example had been prepared for the Rcpp workshop / class at last month’s R/Finance conference, and demonstrates a rather nice speed gain from using Rcpp and RcppArmadillo.

The short NEWS file extract follows below.

0.2.20  2011-05-25

o   Upgraded to Armadillo release 1.99.2 "v2.0 beta 2" (and 1.99.1 before)

* faster inverse of symmetric matrices
* faster element access for fixed size matrices
* faster multiplication of tiny matrices (eg. 4x4)
* faster compund expressions containing submatrices
* added handling of arbitrarily sized empty matrices (eg. 5x0)
* htrans() has been deprecated; use trans() instead
* trans() now takes the complex conjugate when transposing a
complex matrix
* .is_vec() now outputs true for empty matrices
* most functions with matrix inputs no longer throw exceptions when
given empty matrices (eg. 5x0)

o   Added a new subdirectory examples/ seeded with a nice Vector
Autoregression simulation simulation example by Lance Bachmeier

o   Rewrote armadillo_version as to no longer require an instance
of arma::arma_version, with tanks to Conrad for the suggestion


And courtesy of CRANberries, here is the diff to the previous release.
Diff between RcppArmadillo versions 0.2.19 dated 2011-04-24 and 0.2.20 dated 2011-05-26