Analytic evolve functions (ODE)

[syclik]

From @betanalpha on May 21, 2015 12:55

In ODE models some components can be solved analytically such that some state components are given in closed form and some need to be solved numerically. To maintain code consistency in these models it would be nice to have a function that parallels integrate_ode but instead of calling an ODE solver to evolve the state just applies a user-defined function,

real[] evolve_state(function, y0, t0, ts, theta, x_r, x_i) {
  real y[size(y0), size(ts)];
  y[,0] = y0;
  for (n in 1:size(ts))
    y[,n] = function(y[,n - 1], ts[n], theta, x_r, x_i)
  return y;
}

Copied from original issue: stan-dev/stan#1456

[syclik]

This would be awesome to have.