I've created an Splunk R app. It's really in a very early status so don't use it in production environment.
Description from http://apps.splunk.com/app/1735/:
This app provides a new Splunk search
language command 'r' that allows
passing data from Splunk to the
R-Engine for calculation and then
passing results back to Splunk for
further computation or visualization.
The app is open source: https://github.com/rfsp/r.
Please feel free to contribute. Please provide feedback, questions and suggestions!
Check out: http://apps.splunk.com/app/1735/
Saw this several weeks back, neat R sample idea that could be pertinent. http://flowingdata.com/2010/01/21/how-to-make-a-heatmap-a-quick-and-easy-solution/
You can potentially use Java or Python bindings for R to utilize the Splunk SDK's.
http://splunk-base.splunk.com/answers/49583/r-language-support
I think you need to define your goals much more precisely, but lguinn is on the right track. Making the general request of "How do I use X with Y?" when both X and Y have a myriad of possible uses is difficult to answer. As an example, "How do I use flour with eggs?" Well, are you wanting to make a cake, some bread, a batter, pie crust, pancakes, waffles, or what?
Let's assume you have some R code that you wish to run against data stored in Splunk. Depending on how you want to "integrate" the two, this could mean one of (at least) two paths.
You can't use a programming language to manipulate Splunk data directly. However, you could use the Splunk API to run searches and then retrieve the results.
Correction: you don't have to write R code that calls the Splunk API, although that is probably one way to go.
Others have pointed out a variety of ways that I didn't consider, such as writing custom commands.
Someday I am gonna learn never to say "you can't do that."
Actually, Splunk supports both Python and Perl for full scriptable control of data on the search pipeline:
http://docs.splunk.com/Documentation/Splunk/latest/developer/searchscripts
There's also the less robust script
command in the search API that can be used to call a script.
You probably have to more specific than this.