I've got a particular MCMC algorithm which I would like to port to C/C++. Much of the expensive computation is in C already via Cython, but I want to have the whole sampler written in a compiled language so that I can just write wrappers for Python/R/Matlab/whatever.
After poking around I'm leaning towards C++. A couple of relevant libraries I know of are Armadillo (http://arma.sourceforge.net/) and Scythe (http://scythe.wustl.edu/). Both try to emulate some aspects of R/Matlab to ease the learning curve, which I like a lot. Scythe squares a little better with what I want to do I think. In particular, its RNG includes a lot of distributions where Armadillo only has uniform/normal, which is inconvenient. Armadillo seems to be under pretty active development while Scythe saw its last release in 2007.
So what I'm wondering is if anyone has experience with these libraries -- or others I have almost surely missed -- and if so, whether there is anything to recommend one over the others for a statistician very familiar with Python/R/Matlab but less so with compiled languages (not completely ignorant, but not exactly proficient...).