I did try with clang (mingw-w64 headers and msvc) and with mingw-w64 headers I can build CmdStan, but it fail at compiling thread_local parts.
msvc headers fail with make somehow.
It seems that “my custom python env” + pystan + clang-cl(msvc headers) is the only way to use thread_local on Windows. So I guess thread_local is not supported.
MPI will probably fail too, but Open-CL could work.
I’m thinking that Docker + easy interface would be the best option on Windows (something that could be doable in future with httpstan)