Thanks @jonah@rok_cesnovar for cmdstanr (and many others behind the scenes I’m sure) - the improvement in complication time is legitimately amazing.
I tend to use Stan to evaluate arbitrary log-densities, as I do a lot of Gibbs updates, and need to control certain aspects of the proposal. This means I use log_prob quite a lot (ex: here where I use Stan as a log-posterior evaluator and as a way to perform a Gibbs update, and here where I just use it as a log-posterior evaluator).
Early days, but do you intend to add log_prob and/or grad_log_prob methods to the CmdStanModel object?
I’m finalising this cmdstan PR this week, which will add log_prob and grad_log_prob functionality to the stan executable. Once that’s in I’ll be exposing the method in cmdstanr, so it should be available in the near future