Hi, I was wondering if there has been any progress on this question here . The idea is being able to use Stan from C++ as easily as it is from R or Python. My use case is that I am doing data acquisition and pre-processing in C++ and writing files to pass the data to cmdstan is a real bottleneck. N…

[image] garjola: Wouldn’t it be useful to reuse what has been done for python and R ? What do you mean? I think the direction is going the wrong way… what was done in Stan (now CmdStan) was reused for Python and R. As @mitzimorris has mentioned, there are actually a bunch of examples in the …

Not intend to hijack the thread, I think a C API for Stan & Math would be more helpful. The immediate benefit would be in extending with a module system as well as interfacing with other languages. It’d be a chore, though, especially when comes to specializing and wrapping all the templated function…

That would actually be amazing and simplify the integration with other languages! But you’re right: a ton of work. That’s why most platforms have a specialized package for dealing with C++ that usually relies on name mangling.

I am also interested in calling stan from C++, in particular so I can run over say Gigabytes of data inside the likelihood. This is crucial for particle-physics applications. My context: I can evaluate my posterior and the gradient in C++, how do I call stan to run HMC on my posterior? A tutorial e…

[image] fredRos: My context: I can evaluate my posterior and the gradient in C++, how do I call stan to run HMC on my posterior? Take a look at this test code. It calls the default algorithm when sampling. This is directly in C++. [image] fredRos: I am also interested in calling stan fro…

Take a look at this test code. It calls the default algorithm when sampling. This is directly in C++. Did you forget to paste some code here? I take it you mean you have a way to evaluate the joint up to a proportionality constant, not the actual log posterior with all the normalizing constants…

[image] fredRos: Did you forget to paste some code here? Sorry about that – typed that on my phone and the link didn’t make it: https://github.com/stan-dev/stan/blob/develop/src/test/unit/services/sample/hmc_nuts_diag_e_adapt_test.cpp [image] fredRos: Of course I just have likelihood and…

Thank you very much for the quick reply. Now I need to sit and build the prototype. If I get stuck (prior for that quite high), I will open a new thread.

Does anyone have an example of implementations like these, yet? [image] fredRos: My context: I can evaluate my posterior and the gradient in C++, how do I call stan to run HMC on my posterior? A tutorial example (github gist?) would be terrific. I have a similar situation. I think it would b…

This thread is a bit different I think – asking how to call the samplers themselves from C++. You can build C++ code into Rstan pretty easily though (and let Rstan orchestrate all the sampling and interfacing stuff). Info on how to hook up Stan/math compatible C++ with Rstan is here: https://cran.r…

Use Stan easily from c++

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bbbales2 May 14, 2018, 7:48pm 20

This is possible in Stan though, unless I’m misunderstanding what you’re saying. This thread shows how to do it in CmdStan if that is preferable to Rstan: What is the best way to add a user function that is used in likelihood calculation? - #6 by philipm

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Use Stan easily from c++

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