Extracting Specific Lines from a Large (Compressed) Text File

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A few days ago a friend asked me the following question: how to efficiently extract some specific lines from a large text file, possibily compressed by Gzip? He mentioned that he tried some R functions such as read.table(skip = …), but found that reading the data was too slow. Hence he was looking for some alternative ways to extracting the data.
This is a common task in preprocessing large data sets, since in data exploration, very often we want to peek at a small subset of the whole data to gain some insights.

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