No - sorry. There is no method in DataTables to construct complex headers itself. What you would need to do is put the complex header in using standard DOM/ jQuery methods and then construct the table.
It might be possible to use some of the DataTables code to make DataTables construct a complex header since the basic layout information is available, but I think it would probably be a fair bit of work to do.
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It might be possible to use some of the DataTables code to make DataTables construct a complex header since the basic layout information is available, but I think it would probably be a fair bit of work to do.
Allan