When you close the RGui or the R console window, the system will ask if you want to save the workspace image. If you select to save the workspace image then all the objects in your current R session are saved in a file RData. This is a binary file located in the working directory of R, which is by default the installation directory of R.

During your R session, you can also explicitly save the workspace image.
Go to the \File/ Save Workspace... , or use the save.image function.

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