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Some critiques of Thruston's alternative approach v knitr: It is actually possible to create multiple outputs of plots from the one .Rnw file (only including the pdf version in the LaTeX output). In a report I did recently, each time the document was compiled, each plot was rendered as: a. a pdf b. a png c. a Windows Enhanced Metafile d. a PowerPoint ...

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Personally I do not know much about R, but helped prepare a book that used R plots throughout back in 2012. The book is set in Kp-fonts and we wanted as much as we could in that font from R as well (all titles and legends were replaced via psfrag to get proper LaTeX formatting of those, but handling the numbers on axis was a bit too much for psfrag. Here is ...

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You should use unicode-math package by adding: \usepackage{unicode-math} in the beginning of your file. remember to delete all auxiliary files including the .bbl file then run your .tex file using XeLaTeX and again using BibTeX and again using XeLaTeX.

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R syntax highlighting is defined in lstlang3.sty. The definition for R in that file contains the following: otherkeywords={!,!=,~,\$,*,\&,\%/\%,\%*\%,\%\%,<-,<<-,_,/}, alsoother={._\$}, If you want to remove the special treatment of _ then add something like this to your own definition of RStyle otherkeywords={!,!=,~,\$,*,\&,\%/\%,\%*\%,...

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