Feature/issue 587 expose hessians

[rgiordan]

This PR is to clarify and focus conversation on #587.

Summary:

Expose Hessian methods of the stan model in the stanfit object.

Intended Effect:

Provide the functions rstan::hessian_log_prob and rstan::hessian_times_vector_log_prob that work analogously to rstan::grad_log_prob.

How to Verify:

TBD with the help of the Stan team.

Side Effects:

None.

Documentation:

TBD with the help of the Stan team.

Reviewer Suggestions:

Copyright and Licensing

Please list the copyright holder for the work you are submitting (this will be you or your assignee, such as a university or company):

Ryan Giordano

By submitting this pull request, the copyright holder is agreeing to license the submitted work under the following licenses:

• Code: GPLv3 (http://opensource.org/licenses/GPL-3.0)
• Documentation: CC-BY 4.0 (https://creativecommons.org/licenses/by/4.0/)

[rgiordan]

This depends on stan-dev/stan#2701.

[stan-buildbot]

Can one of the admins verify this patch?

[jgabry]

Looks like this old PR is still open. @bgoodri @rgiordan Is this still a work in progress or should this be closed?

[rgiordan]

This particular PR is surely out of date. I do think it would be great to have some clarity over whether Stan might support exposing these methods even if in the future.