I am encountering the same warning as the OP in this thread (namely “‘C:/rtools40/usr/mingw_/bin/g++’ not found”). Like the OP I don’t have a directory called C:/rtools40/usr/mingw_/bin (although I do have C:\rtools40\mingw64\bin). However, I notice that RStan Getting Started · stan-dev/rstan Wiki · GitHub says:
On Windows you may get a warning about
g++not being found but this appears to be harmless.
I assume this refers to the warning we are getting. Is that right?
In my case it does seem to be harmless, although I have not kept timings, and therefore I don’t know whether it has affected compilation times, or sampling times.
Update: The combined thread on these kinds of issues has the definitive reply (I think) to this warning: Rstan on Windows - #123 by bgoodri