Use internal links in RMarkdown HTML output

Here is a solution for HTML documents using jQuery:

---
title: "Internal Links"
output: html_document
---

# First Section

## Second Section

### Third Section


<script type="text/javascript">
  // When the document is fully rendered...
  $(document).ready(function() {
    // ...select all header elements...
    $('h1, h2, h3, h4, h5').each(function() {
      // ...and add an id to them corresponding to their 'titles'
      $(this).attr('id', $(this).html());
    });
  });
</script>


<a href="#First Section">Go to first section</a><br>
<a href="#Second Section">Go to second section</a><br>
<a href="#Third Section">Go to third section</a>

As the comments point out, we simply select all headers, read out their content (e.g. "First Section") and add the attribute id with the value corresponding to the specific content to each header. Now you can link to any header using #HEADER (e.g. #First Section).

This is of course extendable to all other elements you wish to put an anchor on. So if you want to link to any of your chunks, simply add this script to your document:

<script type="text/javascript">
  $(document).ready(function() {
    $('pre.r').each(function(i) {
      $(this).attr('id', 'Chunk_' + i);
    });
  });
</script>

Now you can link to the chunks by using <a href="Chunk_i">My Chunk</a> where i goes from 0, the first chunk, to N, the very last chunk in your document.