Rcpp call F77 BLAS/LAPACK

Sys.setenv("PKG_LIBS" = "$(LAPACK_LIBS) $(BLAS_LIBS) $(FLIBS)")
Rcpp::sourceCpp("eigen_sym_cpp.cpp")

n_row <- 1e4L
n_col <- 5e1L
A <- matrix(rnorm(n_row * n_col), n_row, n_col)
S <- cov(A)

library(microbenchmark)
microbenchmark(
  Rcpp_BLAS = eigen_sym_cpp(S),
  R = eigen(S),
  times = 100L)
# Unit: microseconds
#      expr      min       lq      mean    median       uq      max neval
# Rcpp_BLAS  789.644  874.196  904.5647  891.4575  943.974 1545.057   100
#         R 1194.267 1344.793 1444.1375 1404.7695 1516.385 3655.062   100