I (Bob, not Andrew!) will be doing a meetup talk next Thursday in New York City. Here’s the link with registration and location and time details (summary: pizza unboxing at 6:30 pm in SoHo):
- Bayesian Data Analysis Meetup: Under the hood: Stan’s library, language, and algorithms
After summarizing what Stan does, this talk will focus on how Stan is engineered. The talk follows the organization of the Stan software.
Stan math library: differentiable math and stats functions, template metaprorgrams to manage constants and vectorization, matrix derivatives, and differential equation derivatives.
Stan language: block structure and execution, unconstraining variable transforms and automatic Jacobians, transformed data, parameters, and generated quantities execution.
Stan algorithms: Hamiltonian Monte Carlo and the no-U-turn sampler (NUTS), automatic differentiation variational inference (ADVI).
Stan infrastructure and process: Time permitting, I can also discuss Stan’s developer process, how the code repositories are organized, and the code review and continuous integration process for getting new code into the repository