Using the rgen Samplers

The purpose of the rgen package is to provide popular sampling distributions that are not exported by R’s Math API or available in C++11 and onwards. These samplers are written using armadillo. Please note, these samplers, just like the ones in armadillo cannot be used in parallelized code as the underlying generation routines rely upon R calls that are single-threaded.

Installation of rgen

rgen is available on CRAN and GitHub.

To install the package, you must first have a compiler on your system that is compatible with R.

For help on obtaining a compiler consult:

With a compiler in hand, install the package from CRAN with:

install.packages("rgen")

or from GitHub by:

# install.packages("devtools")

devtools::install_github("coatless/rgen")

Using rgen

There are two ways to use rgen. The first is to use rgen in a standalone script. The script is typically built using sourceCpp(). The second approach allows for rgen to be used within an R package.

Standalone file usage

Within the C++ file, the rgen package provides an Rcpp plugins’ depends statement that must be included after rgen.h header. This plugin statement indicates that a dependency is rgen.

#include <RcppArmadillo.h> 
// [[Rcpp::depends(RcppArmadillo)]]

#include <rgen.h> 
// [[Rcpp::depends(rgen)]]

Note: Since rgen relies upon RcppArmadillo, you must include the RcppArmadillo.h header and include the traditional Rcpp dependency attribute, e.g. // [[Rcpp::depends(RcppArmadillo)]].

For example, the following would allow for you to sample from an inverse wishart distribution:

#include <RcppArmadillo.h>
// [[Rcpp::depends(RcppArmadillo)]]

#include <rgen.h>
// [[Rcpp::depends(rgen)]]

// Surface the riwishart function in the rgen package into R.
// [[Rcpp::export]]
arma::mat riwishart(unsigned int df, const arma::mat& S) {
    return rgen::riwishart(df, S);
}

/*** R
# Set seed for reproducibility
set.seed(111)

# Call the C++ function from R
riwishart(3, diag(2))
*/

Package usage

To use rgen in your R package, modify the DESCRIPTION file by adding:

LinkingTo: Rcpp, RcppArmadillo, rgen
Imports:
    Rcpp (>= 0.12.10)

To use C++11, you may wish to add the following to your src/Makevars and src/Makevars.win file:

CXX_STD = CXX11