PDA in Stan?

[wds15]

If you just need to integrate some function, then you may want have look at this post:

Numerical Integrals

Inspired by the tanh-sinh stuff pointed out from Ben, I figured a way to abuse our ODE integrator to do indefinite integration. Essentially by transforming from -Inf - +Inf to 0 - 1 with the inv_logit function. Probably there are smarter transforms. I also added a R version of the sinh-tanh integration scheme. This R version can be directly translated to Stan (vanilla Stan functions code). Performance won’t be great, but at least it runs…no idea if the integrator is faster or this scheme. The s…

There I am abusing the ODE integrator to do numerical integration. Not the fastest, not the most elegant solution, but it works with Stan already now.