PyStan+msvc works with a subset of functions. The vector and matrix algebra (Eigen) does not work. There is an issue in github for the updated instructions for windows. It is not official yet, because there are still some issues with forcing gcc over msvc.
The problem as far as I know is that the template behaviour is broken with MSVC 14 (2015) and MSVC 14.1 (2017). It looks like MSVC can deduce variable only once / one step (if that even makes sense to you).
They did change alot of the functions and structure in 14.0 edition. This may or may not be the reason for the failure. It would be great if there was a simple commandline option for this problem.
(Python 3.4 and earlier)
Python used either 2010 or 2008. And I believe it is one of those that did work with Eigen.
See different compiler versions here:
And github issue here:
And compilation error for the MSVC here: