Installation¶

The C++ implementation of BQReg is a header-only library, and we provide bindings for Python and R.

C++¶

The C++ library requires only the Eigen(3) C++ linear algebra library, as well as the submodules included in the source code. (Note that Eigen version 3.4.0 requires a C++14-compatible compiler.)

First clone the library and required submodules:

# clone optim into the current directory
git clone https://github.com/kthohr/BayesianQuantileRegression ./BayesianQuantileRegression

# change directory
cd ./BayesianQuantileRegression

# clone necessary submodules
git submodule update --init

Then simply add the header files (found under cpp/include) to your project using:

#include "bqreg.hpp"

The following options should be declared before including the BQReg header files.

OpenMP functionality is enabled by default if the _OPENMP macro is detected (e.g., by invoking -fopenmp with GCC or Clang).
- To explicitly enable OpenMP features, use:
```
#define BQREG_USE_OPENMP
```
- To explicitly disable OpenMP functionality, use:
```
#define BQREG_DONT_USE_OPENMP
```

Python¶

If you do not already have Eigen3 and Pybind11, clone and set environment variables:

# clone Eigen3
git clone https://gitlab.com/libeigen/eigen.git

# clone Pybind11
git clone https://github.com/pybind/pybind11.git

# set environment variables
export EIGEN_INCLUDE_PATH = "<path to this directory>/eigen"
export PYBIND11_INCLUDE_PATH = "<path to this directory>/pybind11/include"

Then install from the Python subdirectory:

# change directory into the Python subdirectory
cd BayesianQuantileRegression/Python

# install the package
python3 -m pip install . --user

R¶

First install the RcppEigen package from R:

install.packages("RcppEigen")

Then install the package from the R subdirectory:

# change directory into the R subdirectory
cd BayesianQuantileRegression/R

# install the package
R CMD INSTALL .