Using R Tools for Visual Studio (RTVS) 2015 or higher

With SQL Server 2016, Microsoft recommended installing missing packages through RTVS. The user should have installed RTVS (https://www.visualstudio.com/vs/rtvs/) on a client in order to install packages. Check the default paths:

sessionInfo()
.libPaths()  

This also returns the paths to the library folders on my machine-for R Server (by default C:/Program Files/Microsoft SQL Server/MSSQL14.MSSQLSERVER/R_SERVICES/library) and for the user (C:/Users/Tomaz/Documents/R/win-library/3.2) who is currently using RTVS:

Checking the Options... section:

Then select R Tools | Advanced (as shown next):

You will see that the R Engine has a path defined. This path is the root path for installing R packages. R packages are installed under the subfolder-library (C:\Program Files\Microsoft SQL Server\MSSQL14.MSSQLSERVER\R_SERVICES\Library).

So, by running install.packages("AUC"), I can see that the server path was ignored and the library was installed into the user specified folder:

To install the package in the R Server folder, you need to have administrator-level access or have an administrator do it for you. Microsoft has discussed this issue on MSDN (https://docs.microsoft.com/en-us/sql/advanced-analytics/r/installing-and-managing-r-packages). Running Visual Studio and RTVS as an administrator does not change the result. To avoid this problem, you need to declare the path to the library folder of the R Server where you want package to be installed:

install.packages("AUC", dependencies = TRUE, lib = "C:/Program Files/Microsoft SQL Server/MSSQL14.MSSQLSERVER/R_SERVICES/library")  

The package will automatically be installed in the R Server repository folder: