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When using the new CmdStanR to provide inits, I happen to have a case where the initial values have finite lp__, but non-finite gradient. The message coming from `stan` https://github.com/stan-dev/stan/blob/c746ad2f9455d5abc15551e07e7273e1bb3c97ac/src/stan/services/util/initialize.hpp#L217...

avehtari

Fix line search to avoid non-finite gradients

6

Related to #3306 Modify the `WolfeLineSearch` function in `src/stan/optimization/bfgs_linesearch.hpp` to handle non-finite gradients. * Check if the function value `func_val` is finite. * Check if the gradient `gradx1` is finite....

cpfiffer

Feature/3299 improve ess mcse

17

#### Submission Checklist - [x] Run unit tests: `./runTests.py src/test/unit` - [x] Run cpplint: `make cpplint` - [x] Declare copyright holder and open-source license: see below #### Summary Add split-rank-folded...

mitzimorris

Modify the opitimization lines earch to not return a point with non-finite gradient

1

There are some reports (e.g. https://discourse.mc-stan.org/t/disabling-line-search/36062) optimization returning a point that has finite log density but infinite gradient. The current line search does not check that the gradient is finite....

avehtari

use improved Rhat to implement ESS-bulk and ESS-tail

10

#### Summary: PR https://github.com/stan-dev/stan/pull/3266 implemented the rank-normalization and folding needed for Rhat-bulk and Rhat-tail. We should also add logic for ESS-bulk and ESS-tail, per Vehtari et al https://arxiv.org/abs/1903.08008. #### Description:...

mitzimorris

Bugfix/3301 stan csv reader skip warmup

11

#### Submission Checklist - [x] Run unit tests: `./runTests.py src/test/unit` - [x] Run cpplint: `make cpplint` - [x] Declare copyright holder and open-source license: see below #### Summary Added logic...

mitzimorris

#### Summary: As currently written, when `stan::io::stan_csv_reader` encounters a file with saved warmup draws, the parser will return both warmup and sample draws, but no adaptation information. Instead, the reader...

mitzimorris

Add boolean-based indexing (e.g., `Y[Z == 1]`)

11

#### Summary: A useful addition for simpler expressions with more complex indexing/subsetting would be to support logical indices. On the backend, this could just be syntactic sugar which first constructs...

andrjohns

Enable optimization within .stan programs

4

This would be similar to `integrate_ode` but instead of calling ``` theta

bgoodri

Feature/3299 chainset

13

#### Submission Checklist - [x] Run unit tests: `./runTests.py src/test/unit` - [x] Run cpplint: `make cpplint` - [x] Declare copyright holder and open-source license: see below #### Summary This is...

mitzimorris