Using LaTeX font in R (Computer Modern)

This is how I did it in Windows:

1. Install the extrafont package.
2. Install Latin Modern fonts, e.g. from http://www.fontsquirrel.com/fonts/latin-modern-roman. Watch out, you need to install the TTF version of the font, font_import() can't handle OTF.
3. Import the fonts using font_import().
4. Load the fonts using loadfonts(device = "win"). Use the device = "Win" parameter to make the preview in R Studio work.
5. Set the font family graphics parameter using par(family = "LM Roman 10").
6. Plotting in R Studio now works and so does pdf export (see the pictures below).

This is the full code you need to use:

    # Run once
    install.packages("extrafont")
    library(extrafont)
    # Install **TTF** Latin Modern Roman fonts from www.fontsquirrel.com/fonts/latin-modern-roman
    # Import the newly installed LModern fonts, change the pattern according to the 
    # filename of the lmodern ttf files in your fonts folder
    font_import(pattern = "lmodern*")


    # Run each time
    library(extrafont)
    loadfonts(device = "win")
    par(family = "LM Roman 10")
    x <- seq(1, 10, 1)
    y <- seq(1, 10, 1)
    plot(y ~ x, main="This plot uses LaTeX font!", ylab = expression(alpha))

R Studio preview:

Exported pdf:

The selected solution.

It seems to be imposible to do without installing an external library. I tried using extrafont, but then my default PDF Viewer did not have the font used.

I ended up using the library tikzDevice, which exposes the method/device tikz, acts exactly like the pdf device, but outputs TikZ code instead. This seems more powerful, since the font is then entirely dependent on my LaTeX setting and I can include arbitrary math symbols.

Below is the code I am using, which plots the running time of my algorithms with standard deviation error bars and writes the output to a .tex-file.

tikz(file = outputFile, width=11.692, height=8.267)
ggplot(tgc, aes(x=E, y=wall.time, colour=Algorithm)) + 
  geom_errorbar(aes(ymin=wall.time-se, ymax=wall.time+se), width=.1) +
  geom_point() +
  xlab("Number of edges (|E|)") +
  ylab("Wall time (secs)") +
  ggtitle(paste0("Running time with |V| = ", dt$X.V.[1])) +
  theme_bw()
endoffile <- dev.off() 

I also tried several times and found that one need to use device=cairo_pdf to save the pdf figure. It looks like that (by the way, I used ggplot2):

library(extrafont)
library(ggplot2)
d <- data.frame(x = seq(1, 10, 1), y = seq(1, 10, 1))
ggplot(d, aes(x, y)) +
  geom_line() +
  geom_point() +
  theme(text=element_text(family="LM Roman 10", size=20)) +
  ggtitle("This plot uses LaTeX font!")
ggsave("fig.pdf", width = 6, height = 4, device=cairo_pdf)