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Sweave and warning messages

That's something I would like to know too. If you are not
affraid by a shameless hack, you can use sink() to redirect
stderr into the LaTeX output file and redefine warning()
to encapsulate this within a Soutput environment:

Sweaving this file:
http://pbil.univ-lyon1.fr/members/lobry/R/warning.rnw
gives me this result:
http://pbil.univ-lyon1.fr/members/lobry/R/warning.pdf

Best,