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

[Tom Swirly]

I'm just a lurker, but I spent a minute or two to look at that commit,
which looks to be high quality.  While I personally have not used this
distribution, people I know use it all the time (for ML).


A quibble:

#define NPY_PI 3.141592653589793238462643383279502884 /* pi */

and the following defines which appear
in numpy/random/src/distributions/random_polyagamma.c are already defined
in numpy/core/include/numpy/npy_math.h

Probably it would be better to include that file instead, if it isn't
already included.


DISCLAIMER: I checked none of the math other than passing my eyes over it.



On Sun, Dec 27, 2020 at 12:05 PM Zolisa Bleki <BLKZOL001 at myuct.ac.za> wrote:

> 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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