This was discussed today during the Stan developer meeting, and this thread serves to document the process and try to find other users who can help.
Some discussion is also visible here, along with the existing attempt: FR: Support complete installation via conda · Issue #395 · stan-dev/cmdstanpy · GitHub
Summary: We would like to simplify the installation of CmdStan for CmdStanPy. In particular, we would like to use the conda package manager to install CmdStan automatically when CmdStanPy is installed.
Why? Because conda can handle the additional requirements for compilers and other unix tools automatically. This means Windows users for example won’t need to separately install RTools.
We have various attempts which succeed in building cmdstan in the docker test images conda-forge uses. The main problem we’ve encountered is that the pre-compiled stanc3 seems to segfault when called. A combination of infamiliarity with conda recipes and with the specifics of the cmdstan installation make debugging this rather difficult.