parallel bootstrapping with RcppEigen and RcppParallel

Rcpp::sourceCpp("parallel_boot_lm.cpp")  # could be found at http://pastebin.com/Xir4LYei

set.seed(1234)
N <- 1e3L
p <- 50L
R <- 500L
dmat <- cbind(1, matrix(rnorm(N * p), ncol = p))
beta <- c(2, runif(p))
yvec <- as.vector(dmat %*% beta + rnorm(N, sd = 3))
dall <- cbind(y = yvec, as.data.frame(dmat[,-1]))
myindex <- matrix(sample(0:(N - 1), N * R, TRUE), ncol = R)

system.time(res1 <- parallelFit(dmat, yvec, myindex))
#  user  system elapsed
#  1.00    0.00    0.14
system.time(res2 <- apply(myindex, 2, function(i) coef(lm(y ~ ., data = dall[i+1, ]))))
#  user  system elapsed
#  4.59    0.00    4.59

stopifnot(all(abs(res1 - res2) < 1e-8))