I read here that it is possible (and I interpreted straightforward) to call Stan routines from a C++ program.
I have some complex log-likelihood functions which I have coded up in C++ and really have no idea how I could code them using the Stan language. Is it possible to call the Monte Carlo routines in Stan using the log-likelihood function I have already coded in C++? If so are there any examples of this?
It seems like quite a natural thing to do but I cannot find any examples or pointers as to how to do this.
Upon further review (you may want to unaccept my previous answer), you could try this: Write a .stan program with a user-defined function in the functions block that has the correct signature (and parses) but basically does nothing. Like this
functions {
real foo_log(real[] y, vector beta, matrix X, real sigma) {
return not_a_number(); // replace this after parsing to C++
}
}
data {
int<lower=1> N;
int<lower=1> K;
matrix[N,K] X;
real y[N];
}
parameters {
vector[K] beta;
real<lower=0> sigma;
}
model {
y ~ foo(beta, X, sigma);
// priors here
}
Then, use CmdStan to compile that model, which will generate a .hpp file as an intermediate step. Edit that .hpp file inside the body of foo_log to call your templated C++ function and also #include the header file(s) where your stuff is defined. Then recompile and execute the binary.
That might actually work for you, but if whatever you are doing is somewhat widely useful, we would love for you to contribute the C++ stuff.