"The R programming language ... has become an industry standard for statistical analysis with nearly a dozen graphical interfaces as well as packages for various IDEs and text editors.
Commercial support for R is offered by Revolution Analytics, ... company recently acquired by Microsoft as part of their big data and machine learning initiatives. The result of this acquisition is support for R in the upcoming SQL Server 2016.
...With R running in the database, you eliminate the performance hit normally associated with moving the data from your DB server to your R server. ...
The gateway for this is sp_execute_external_script. This stored procedure allows you to pipe data from SQL Server to R using standard queries. An R variable, usually a data frame, can likewise be returned back to SQL Server upon completion of the R script.
... a plugin model for other scripting languages will be offered."
There is a similar integration for Oracle DB also:
R Enterprise @ Oracle"Oracle R Enterprise, a component of the Oracle Advanced Analytics Option, makes the open source R statistical programming language and environment ready for the enterprise and big data. Designed for problems involving large volumes of data, Oracle R Enterprise integrates R with Oracle Database. R users can run R commands and scripts for statistical and graphical analyses on data stored in Oracle Database."