Help with Higher-Order Autodiff Includes

[Michael Betancourt]

I’m working on implementing on the SoftAbs metric for all of the samplers,
but I’m not sure how to properly include the higher-order autodiff. To see
the current compiler errors you can run the broken test in stan-dev/stan,

make clean-all
git checkout feature/issue-304-add_rhmc
./runTests.py src/test/unit/mcmc/hmc/hamiltonians/softabs_metric_test.cpp

If anyone wants to peruse the implementation of the SoftAbs metric in
src/stan/mcmc/hmc/hamiltonians/softabs_metric.hpp I would also be
appreciative. I’m trying not to prematurely optimize, but Riemannian
HMC is going to use a lot more memory so there will likely be lots of
improvements to the code. For reference the analytical equations are
all in http://arxiv.org/abs/1212.4693.

[Rob Trangucci]

Putting:

#include <stan/math/mix/mat.hpp>

in the includes for src/test/unit/mcmc/hmc/hamiltonians/softabs_metric_test.cpp

and changing line 89 in src/stan/mcmc/hmc/hamiltonians/softabs_metric.hpp:

from:

softabs_fun<Model>(this->_model, 0), z.q, B, a);

to

softabs_fun<Model>(this->model_, 0), z.q, B, a);

I get the test to compile, but the test fails with:

Running main() from gtest_main.cc

[==========] Running 3 tests from 1 test case.

[----------] Global test environment set-up.

[----------] 3 tests from McmcSoftAbs

[ RUN      ] McmcSoftAbs.sample_p

Assertion failed: (m_isInitialized && "SelfAdjointEigenSolver is not initialized."), function eigenvectors, file /Users/RobTrangucci/math/lib/eigen_3.2.8/Eigen/src/Eigenvalues/SelfAdjointEigenSolver.h, line 232.

test/unit/mcmc/hmc/hamiltonians/softabs_metric --gtest_output="xml:test/unit/mcmc/hmc/hamiltonians/softabs_metric.xml" failed

exit now (04/13/16 18:17:45 EDT)

Rob

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[Michael Betancourt]

Sweet, I can take it from here.  Thanks!