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Install zeromq (zmq) library on fresh Amazon Linux (tested with amzn-ami-hvm-2016.03.3.x86_64-gp2)
# compilers
sudo yum install -y gcc gcc-c++
# libsodium: download, compile, install, remove intermediate files
curl | tar -xz
cd libsodium-1.0.11
./configure && make && sudo make install
cd ../ && rm -rf libsodium-1.0.11
# zmq 4.2.0
tar xfz zeromq-4.2.0.tar.gz && rm zeromq-4.2.0.tar.gz
cd zeromq-4.2.0
export PKG_CONFIG_PATH=$PKG_CONFIG_PATH:/usr/local/lib/pkgconfig
sudo make install
cd ../ && rm -rf zeromq-4.2.0
# make sure zmq lib can be found
export LD_LIBRARY_PATH=$LD_LIBRARY_PATH:/usr/local/lib
# remove compilers
sudo yum remove -y gcc-c++ gcc
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