I’d like to use Stan under Matlab, but I’m unhappy with the idea of working through CmdStan and passing data back and forth as files. This has been a headache using MatJags, for instance, when data or sampling gets big.
I’m wondering if anyone has thought of porting Stan into native Matlab. It’s possible to build an interface to Matlab on top of any C++ program, basically, so that functions can be called directly from Matlab. There are also compile issues with CmdStan under Windows, so I feel like I need to get involved with understanding the code in any case.
It would be great if anyone would be interested in helping me figure out what needs to be done to build a Stan interface or telling me where I should start reading, and if people would be willing to let me now what I should be thinking about to figure out if the project is feasible.