Sampling Polya-Gamma random variates: alternate and approximate   techniques
  Efficiently sampling from the P\'olya-Gamma distribution, ${PG}(b,z)$, is an essential element of P\'olya-Gamma data augmentation. Polson et. al (2013) show how to efficiently sample from the ${PG}(1,z)$ distribution. We build two new samplers that offer improved performance when sampling from the ${PG}(b,z)$ distribution and $b$ is not unity. 
Jesse Windle and Nicholas G. Polson and James G. Scott
stat.CO