Fast routines for solving large systems of linear equations in R. Makes Eigen Cholesky-, LU-, QR-, and iterative (Conjugate Gradient, BiCGSTAB) solvers for both dense and sparse problems available.
Currently, CG estimates that fail to converge lead to an error. It might make sense to change this to a warning, and return the latest guess -- especially if the number of iterations is capped. Happens here: