There are two forms of lua, a fast one (luaJIT) and a slow one (Lua). I reccomend you install luajit on your system instead of lua:

A. Setting up luaJIT on linux

luaJIT must be installed from source, i.e. compiled. If step number 3 fails for you, you need to install a package called "dev-essential" on ubuntu/debian or subscribe to "development-tools" for redhat/centos/fedora

1. Download the source

wget https://luajit.org/download/LuaJIT-2.1.0-beta3.tar.gz

2. Extract the source

tar zxf LuaJIT-2.1.0-beta3.tar.gz
cd LuaJIT-2.1.0-beta3

3. Compile and install

make && sudo make install
sudo ln -sf luajit-2.1.0-beta3 /usr/local/bin/luajit

You can now run any lua file like so:

luajit run.lua

B. Setting up vanilla Lua on linux

Debian/Ubuntu

sudo apt install lua

Redhat/Centos 7 or earlier:

sudo yum install epel-release && yum install lua

Redhat/Centos 8+/ Fedora 22+

sudo dnf install lua

You can now run lua files like so:

lua run.lua