Enrico,
I was in a similar position with a small likelihood function which was not
vectorizable (is that a word?) and in one morning I had a working function
using Rcpp which was 60 times faster than my reference function in R. I
*strongly* recommend that you use C++ through the Rcpp interface whic
I would like to write a fast version of a function which contains slow
loops that I cannot vectorize.
I would like to rewrite it in C, but in the loops I need to call a few
(two) R functions.
Which is the best way to do so? I have read that one can call a C library
which import all the R functions