A large amount of my work involves writing MCMC samplers. The models I work with have a lot of parameters and the samplers require a lot of state to be recorded. Normally, I stuff all of the parameters and state into a Python class and implement the different steps of the sampler as instance methods. One advantage of this approach is that the methods that perform the sampling don't require many arguments. Some of these methods run slowly due to for-loops that cannot be vectorized. Cython seems like a viable way to improve performance of these methods.

The simplest way to implement the sampling functions with Cython would be to define stand-alone functions in a .pyx file and pass all required data to the functions (the functions could then be added to the class if desired). This defeats the purpose of using a class to store the state of the sampler though as we would need to deal with unwieldly function prototypes. It would be better to implement the instance method in a .pyx file (i.e. the first argument to the function is a sampler object) and then add the instance method to the class.

In this post I describe how to do this for a contrived class and record some helpful references for working with Cython. This is nothing new, it is described on the Cython Wiki as well as here . I have adapted my example from these sources. Additionally, I provide an example of calling a function from the Gnu Scientific Library (GSL) from Cython code.

Let's define a (not very creative) simple class as in the following code

Suppose that (after profiling) we have determined that the (also uncreative) instance method fun is very inefficient and that we want to implement it with cython. A first attempt at this is

To incorporate the Cython implementation of fun into MyClass we would like to be able to do

MyClass.fun = cy1fun.fun

This does not work as all Cython functions are unbound (see this). The solution is to use the MethodType method of the types module shown here

This gist contains all of the code that is used in this post. The setup.py file that was used to build the code can be found there as well. This is all we have to do to implement instance methods in Cython.

One dissatisfactory aspect of cy1fun.pyx is that we are just calling the Python function scipy.special.gammaln. In cy2fun.pyx shown below I instead call the GSL function that computes the natural logarithm of the gamma function (based off of this). I could have done the same with np.random.rand and used a GSL random number function, but I think the point has been made (see this for how to use GSL random numbers in Cython code). {% gist 3173622 cy2fun.pyx %} and the corresponding Python code