CmdStan User's guide - sampler auxiliary output file option `diagnostic-file` needs more doc

[mitzimorris]

The CmdStan documentation should say a bit more about the output diagnostic-file option. The sample methods use the output option diagnostic-file to designate files which contain the per-draw gradients of all parameters. This is a .csv file, almost like the output file option's Stan CSV file (default name output.csv).

• Explain difference between CmdStan utility diagnose, Stan sampler method diagnose, and output diagnostics-file.

• Document the format of the output diagnostics-file - compare to output file=output.csv file:

  • Both files have config, header-rows, and timing.
  • The first columns of the data tables are the sampler state variables, lp__, accept_stat__, etc.
  • Only the output.csv file has adaptation information (as a comment following the data table header row)