`Rcpp` integration for the [`Eigen`](http://eigen.tuxfamily.org) templated linear algebra library
[`Eigen`](http://eigen.tuxfamily.org) 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). Thus users do not need to
install `Eigen` itself in order to use `RcppEigen`.