Eigendecomposition with Rust ndarray in R via 'extendr'

r-ndarray-eigendecomposition.R

library(rextendr)

rust_source(
  code = readLines("r-ndarray-eigendecomposition.rs"),
  dependencies = list("ndarray-linalg" = "0.17.0"),
  features = "ndarray",
  profile = "dev"
)

X_dim <- 5
X <- cov(matrix(rnorm(n = X_dim^2), X_dim, X_dim))

eigen_ndarray(X)

r-ndarray-eigendecomposition.rs

use extendr_api::prelude::*;
use ndarray::ArrayView2;
use ndarray_linalg::{Eigh, UPLO};

#[extendr]
fn eigen_ndarray(x: ArrayView2<f64>) -> List {
    let Ok((eigvals, eigvecs)) = x.eigh(UPLO::Lower) else {panic!("Eigendecomposition failed!")};
    let eigvecs: Robj = eigvecs.try_into().unwrap();
    let eigvals: Robj = eigvals.try_into().unwrap();
    list!(values = eigvals, vectors = eigvecs)
}