Question of source code


I’m working on ADVI with full rank approximation. I have question about if the posterior samples are generated from fitted multivariate normal distribution (s.t. making use of the variance matrix but not only the diagonal element). Therefore, I tried to check the source code of package “rstan”. I have checked all the code including R and Cpp code. However, I didn’t find the basic code but only calling function. I’m appreciated if anyone can provide me a hint of that.


The source code for Stan’s algorithms is in the repo stan-dev/stan.

ADVI fits a multivariate normal on the unconstrained scale, samples there with the variational approximation, then converts the draws back to the constrained scale before reporting.