The Stan Math Library is a C++, reverse-mode automatic differentiation library designed to be usable, extensive and extensible, efficient, scalable, stable, portable, and redistributable in order to facilitate the construction and utilization of algorithms that utilize derivatives.

Licensing

The Stan Math Library is licensed under the new BSD license.

The Stan Math Library depends on the Intel TBB library which is licensed under the Apache 2.0 license. This dependency implies an additional restriction as compared to the new BSD lincense alone. The Apache 2.0 license is incompatible with GPL-2 licensed code if distributed as a unitary binary. You may refer to the Apache 2.0 evaluation page on the Stan Math wiki.

Required Libraries

Stan Math depends on four libraries:

• Boost (version 1.69.0): Boost Home Page
• Eigen (version 3.3.3): Eigen Home Page
• SUNDIALS (version 4.1.0): Sundials Home Page
• Intel TBB (version 2019_U8): Intel TBB Home Page

These are distributed under the lib/ subdirectory. Only these versions of the dependent libraries have been tested with Stan Math.

Installation

The Stan Math Library is a C++ library which depends on the Intel TBB library and requires for some functionality (ordinary differential equations and root solving) on the Sundials library.

A simple hello world program using Stan Math is as follows:

#include <stan/math.hpp>
#include <iostream>

int main() {
  std::cout << "log normal(1 | 2, 3)="
            << stan::math::normal_log(1, 2, 3)
            << std::endl;
}

If this is in the file /path/to/foo/foo.cpp, then you can compile and run this with something like this, with the path/to business replaced with actual paths:

> cd /path/to/foo
> clang++ -std=c++1y -I /path/to/stan-math -I /path/to/Eigen -I /path/to/boost -I /path/to/sundials -I /path/to/tbb -L /path/to/tbb-libs -ltbb -D_REENTRANT  foo.cpp
> ./a.out
log normal(1 | 2, 3)=-2.07311

The -I includes provide paths pointing to the five necessary includes:

• Stan Math Library: path to source directory that contains stan as a subdirectory
• Eigen C++ Matrix Library: path to source directory that contains Eigen as a subdirectory
• Boost C++ Library: path to source directory that contains boost as a subdirectory
• SUNDIALS: path to source directory that contains cvodes and idas as a subdirectory
• Intel TBB: path to source directory that contains tbb as a subdirectory

Note that the paths should not include the final directories stan, Eigen, or boost on the paths. An example of a real instantiation:

clang++ -std=c++1y -I ~/stan-dev/math -I ~/stan-dev/math/lib/eigen_3.3.3/ -I ~/stan-dev/math/lib/boost_1.69.0/ -I ~/stan-dev/math/lib/sundials_4.1.0/include  -I ~/stan-dev/math/lib/tbb_2019_U8/include -L ~/stan-dev/math/lib/tbb -ltbb -Wl,-rpath,"~/stan-dev/math/lib/tbb" -D_REENTRANT foo.cpp

The following directories all exist below the links given to -I: ~/stan-dev/math/stan and ~/stan-dev/math/lib/eigen_3.3.3/Eigen and ~/stan-dev/math/lib/boost_1.69.0/boost and ~/stan-dev/math/lib/sundials_4.1.0/include and ~/stan-dev/math/lib/tbb_2019_U8/include. The ~/stan-dev/math/lib/tbb directory is created by the stan-math makefiles automatically when running any unit test (for example with ./runTests.py test/unit/math/rev/core/agrad_test.cpp). The -Wl,-rpath,... instruct the linker to hard-code the path to the Intel TBB library inside the stan-math directory into the final binary. This way the Intel TBB is found when executing the program.

Other Compilers

There's nothing special about clang++ --- the g++ compiler behaves the same way. You'll need to modify the commands for other compilers, which will need to be up-to-date enough to compile the Stan Math Library.