[Numpy-discussion] Addition of new distributions: Polya-gamma

[Zolisa Bleki]

Hi All,

I would like to know if Numpy accepts addition of new distributions since the implementation of the Generator interface. If so, what is the criteria for a particular distribution to be accepted? The reason why i'm asking is because I would like to propose adding the Polya-gamma distribution to numpy, for the following reasons:

1) Polya-gamma random variables are commonly used as auxiliary variables during data augmentation in Bayesian sampling algorithms, which have wide-spread usage in Statistics and recently, Machine learning.
2) Since this distribution is mostly useful for random sampling, it since appropriate to have it in numpy and not projects like scipy [1].
3) The only python/C++ implementation of the sampler available is licensed under GPLv3 which I believe limits copying into packages that choose to use a different license [2].
4) Numpy's random API makes adding the distribution painless.

I have done preliminary work on this by implementing the distribution sampler as decribed in [3]; see: https://github.com/numpy/numpy/compare/master...zoj613:polyagamma .
There is a more efficient sampling algorithm described in a later paper [4], but I chose not to start with that one unless I know it is worth investing time in.

I would appreciate your thoughts on this proposal.

Regards,
Zolisa


Refs:
[1] https://github.com/scipy/scipy/issues/11009
[2] https://github.com/slinderman/pypolyagamma
[3] https://arxiv.org/pdf/1205.0310v1.pdf
[4] https://arxiv.org/pdf/1405.0506.pdf



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