Could I use R function lm or nlm in C code?

| I'm doing some simulation work and it takes me a lot of time to do it
| in R. So I try to implement it in C code, but I want to use some R
| functions directly for my lazy and the robustness of code. For
| example, I will use lm and nlm in my program. How could I use R's lm
| and nlm function directly? I thinks these functions are not included
| in the R's include directory. Do I need to get full R's source first?
| If I have get all R's source, is it enough that I only include the
| source file for function lm or nlm?

The CRAN packages RcppArmadillo and RcppGSL both implement a function
fastLM() that does just that: faster linear model fits.

Two caveats, though.

First, these functions are provided to illustrate how to do something like
this more easily in C/C++ from R thanks to Rcpp and Rcpp extensions. But as
Doug Bates will remind you, one should not necessarily do linear model fits
this way R does internally is different, and more robust in corner cases.
See help(fastLM) in RcppArmadillo for a worked example.

Second, as Gabor said, there are also easier way to get faster lm fits so
make sure you have those options exhausted.

Dirk

Gauss has an Erdos number of -1.
   -- #63 at http://www.gaussfacts.com