Sampling Polya-Gamma random variables. Python wrapper for R/C++ code by Jesse Windle.

pyPG is a set of python/C++ wrappers around the C++ code originally written by Jesse Windle. Instead of being written in using cython, this is written in C++ with an include of <Python.h> to allow python objects to interface with the C++. No particular reason for this decision, but this is just the first way I learned about to interface C++ code with python, before learning about cython.

Installation requires the GNU Scientific library gsl, found here. Be sure to note where you choose to install the include files and libraries, because those values will be needed in the setup.py script.

To install, unpack pyPG in its own directory, say ${HOME}/pyPG, and run the install script.

cd ${HOME}/pyPG
python setup.py install --use_openmp

This installs pyPG in python library under site-packages, which on my system is /Library/Frameworks/Python.framework/Versions/2.7/lib/python2.7/site-packages

If you don't want to install in the system-wide python installation, do

python setup.py build --use_openmp

This installs pyPG in python library under the ${HOME}/pyPG/build/..../ directory. There will be a directory called pyPG, with contents __init__.py, and _pyPG.so. You can then point the environment variable PYTHONPATH to this directory, or move the pyPG directory to any desired location, and included that location in the PYTHONPATH environment variable.

If the C++ compiler doesn't support OpenMP, upgrade to one that does, or simply leave the --use_openmp flag off.

If compile fails, the incldir and libdir may need to be modified for your environment.