Documentation of external C++ with precomputed gradients needs update?

Interfaces
1

In this recent thread, @andrjohns mentions that make_callback_var() should be used when writing external C++ functions that use precalculated gradients. I have been using precomputed_gradients() to do this. Is precomputed_gradients() deprecated? If so, is this a very recent development?

Also, I can’t find any mention of make_callback_var() in the current documentation for cmdstan or rstan. What’s the best way to stay up to date on developments like this?

2

It has not been officially deprecated and there is no current plan of doing that as of right now. The make_callback_var was added about a year and a half ago I believe - it’s definitely been around since summer/fall of 2020.

Both rstan and cmdstan are Stan interfaces and make_callback_var is more of an implementation detail of the backend that powers Stan. We dont really focus on the C++ backend in any of the interface documentation, apart from maybe when discussing including external C++ code, which is more a niche feature anyways.

If you are interested in the Stan Math backend, that docs are available here: https://mc-stan.org/math/d1/d66/getting_started.html

If you have any requests or comments on the docs, please open an issue in the Math repository. Any feedback is much appreciated.

3

Thanks for the clarification.

I should have been more clear that the cmdstan (https://mc-stan.org/docs/2_29/cmdstan-guide/using-external-cpp-code.html) and rstan (https://cran.r-project.org/web/packages/rstan/vignettes/external.html) documentation I was referring to was specifically for the use of external C++. These would need updating, no?

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4

Yeah, that might be worth expanding.

rstan is still at version 2.21, where precomputed_gradients is still the preferred and recommended way. And the cmdstan docs you linked don’t actually have any gradient related instructions, which it probably should have - at least a minimal example.

Thanks for the suggestion!

5

Just to clarify on the linked thread, that user was implementing their gradients using the precomp_v_vari function, which had subsequently been removed from the Math library. There aren’t any issues with the precomputed_gradients() function, and no need to change your current code

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