custom "filter" = cumulative sum with multiplier, written with inline C. It is incredibly fast

CCustomCumsum.R

# looping through vector ####
library(inline)

sign <- signature(x="numeric", n="integer", d="numeric")
code <- "
      for (int i=1; i < *n; i++) {
        x[i] = x[i-1]*d[0] + x[i];
      }"

c_fn <- cfunction(sign,
                  code,
                  convention=".C"
)

# usage: CCustomCumsum(1:5, 0.5)
CCustomCumsum <- function(vector, decay){
  c_fn(x=vector, n=length(vector), d=decay)$x
}