GOOD NEWS.
i have written the "missing piece" that, i believe, was stopping us from getting advi into pystan. (thanks ben and jiqiang for your help!)
what's next? i see that you treat the result from optimization and sampling differently. can we write some helper functions for advi too? (it would basically look like a simplified version of what we do for sampling.)
how should we proceed? i don't want to start hijacking the pystan repo at will.
cheers,
alp