You could try executing your script using the command:
$ taskset 0xffff R --slave -f parglm.R
If this fixes the problem, then you may have a version of R that was built with OpenBLAS or GotoBlas2 which sets the CPU affinity so that you can only use one core, which is a known problem.
If you want to run your example interactively, start R with:
$ taskset 0xffff R