Feature/issue 2814 warmup auto

.gitmodules

@@ -1,3 +1,3 @@
 [submodule "stan"]
 	path = stan
-        url = https://github.com/stan-dev/stan
+        url = https://github.com/bbbales2/stan

src/cmdstan/arguments/arg_auto_e.hpp

@@ -0,0 +1,17 @@
+#ifndef CMDSTAN_ARGUMENTS_ARG_AUTO_E_HPP
+#define CMDSTAN_ARGUMENTS_ARG_AUTO_E_HPP
+
+#include <cmdstan/arguments/unvalued_argument.hpp>
+
+namespace cmdstan {
+
+  class arg_auto_e: public unvalued_argument {
+  public:
+    arg_auto_e() {
+      _name = "auto_e";
+      _description = "Euclidean manifold that chooses between dense/diagonal metric at warmup";
+    }
+  };
+
+}
+#endif

src/cmdstan/arguments/arg_metric.hpp

@@ -2,6 +2,7 @@
 #define CMDSTAN_ARGUMENTS_ARG_METRIC_HPP
 
 #include <cmdstan/arguments/arg_dense_e.hpp>
+#include <cmdstan/arguments/arg_auto_e.hpp>
 #include <cmdstan/arguments/arg_diag_e.hpp>
 #include <cmdstan/arguments/arg_unit_e.hpp>
 #include <cmdstan/arguments/list_argument.hpp>
@@ -17,6 +18,7 @@ class arg_metric : public list_argument {
     _values.push_back(new arg_unit_e());
     _values.push_back(new arg_diag_e());
     _values.push_back(new arg_dense_e());
+    _values.push_back(new arg_auto_e());
 
     _default_cursor = 1;
     _cursor = _default_cursor;

src/cmdstan/command.hpp

@@ -30,6 +30,7 @@
 #include <stan/services/optimize/lbfgs.hpp>
 #include <stan/services/optimize/newton.hpp>
 #include <stan/services/sample/fixed_param.hpp>
+#include <stan/services/sample/hmc_nuts_auto_e_adapt.hpp>
 #include <stan/services/sample/hmc_nuts_dense_e.hpp>
 #include <stan/services/sample/hmc_nuts_dense_e_adapt.hpp>
 #include <stan/services/sample/hmc_nuts_diag_e.hpp>
@@ -424,7 +425,8 @@ int command(int argc, const char *argv[]) {
             "The number of warmup samples (num_warmup) must be greater than "
             "zero if adaptation is enabled.");
         return_code = stan::services::error_codes::CONFIG;
-      } else if (engine->value() == "nuts" && metric->value() == "dense_e"
+
+} else if (engine->value() == "nuts" && (metric->value() == "dense_e" || metric->value() == "auto_e")
                  && adapt_engaged == false && metric_supplied == false) {
         int max_depth = dynamic_cast<int_argument *>(
                             dynamic_cast<categorical_argument *>(
@@ -436,7 +438,7 @@ int command(int argc, const char *argv[]) {
             num_samples, num_thin, save_warmup, refresh, stepsize,
             stepsize_jitter, max_depth, interrupt, logger, init_writer,
             sample_writer, diagnostic_writer);
-      } else if (engine->value() == "nuts" && metric->value() == "dense_e"
+      } else if (engine->value() == "nuts" && (metric->value() == "dense_e" || metric->value() == "auto_e")
                  && adapt_engaged == false && metric_supplied == true) {
         int max_depth = dynamic_cast<int_argument *>(
                             dynamic_cast<categorical_argument *>(
@@ -504,7 +506,63 @@ int command(int argc, const char *argv[]) {
             stepsize_jitter, max_depth, delta, gamma, kappa, t0, init_buffer,
             term_buffer, window, interrupt, logger, init_writer, sample_writer,
             diagnostic_writer);
-      } else if (engine->value() == "nuts" && metric->value() == "diag_e"
+        } else if (engine->value() == "nuts" && metric->value() == "auto_e"
+                     && adapt_engaged == true && metric_supplied == false) {
+            int max_depth = dynamic_cast<int_argument *>(
+                                dynamic_cast<categorical_argument *>(
+                                    algo->arg("hmc")->arg("engine")->arg("nuts"))
+                                    ->arg("max_depth"))
+                                ->value();
+            double delta
+                = dynamic_cast<real_argument *>(adapt->arg("delta"))->value();
+            double gamma
+                = dynamic_cast<real_argument *>(adapt->arg("gamma"))->value();
+            double kappa
+                = dynamic_cast<real_argument *>(adapt->arg("kappa"))->value();
+            double t0 = dynamic_cast<real_argument *>(adapt->arg("t0"))->value();
+            unsigned int init_buffer
+                = dynamic_cast<u_int_argument *>(adapt->arg("init_buffer"))
+                      ->value();
+            unsigned int term_buffer
+                = dynamic_cast<u_int_argument *>(adapt->arg("term_buffer"))
+                      ->value();
+            unsigned int window
+                = dynamic_cast<u_int_argument *>(adapt->arg("window"))->value();
+            return_code = stan::services::sample::hmc_nuts_auto_e_adapt(
+                model, *init_context, random_seed, id, init_radius, num_warmup,
+                num_samples, num_thin, save_warmup, refresh, stepsize,
+                stepsize_jitter, max_depth, delta, gamma, kappa, t0, init_buffer,
+                term_buffer, window, interrupt, logger, init_writer, sample_writer,
+                diagnostic_writer);
+              } else if (engine->value() == "nuts" && metric->value() == "auto_e"
+                         && adapt_engaged == true && metric_supplied == true) {
+                int max_depth = dynamic_cast<int_argument *>(
+                                    dynamic_cast<categorical_argument *>(
+                                        algo->arg("hmc")->arg("engine")->arg("nuts"))
+                                        ->arg("max_depth"))
+                                    ->value();
+                double delta
+                    = dynamic_cast<real_argument *>(adapt->arg("delta"))->value();
+                double gamma
+                    = dynamic_cast<real_argument *>(adapt->arg("gamma"))->value();
+                double kappa
+                    = dynamic_cast<real_argument *>(adapt->arg("kappa"))->value();
+                double t0 = dynamic_cast<real_argument *>(adapt->arg("t0"))->value();
+                unsigned int init_buffer
+                    = dynamic_cast<u_int_argument *>(adapt->arg("init_buffer"))
+                          ->value();
+                unsigned int term_buffer
+                    = dynamic_cast<u_int_argument *>(adapt->arg("term_buffer"))
+                          ->value();
+                unsigned int window
+                    = dynamic_cast<u_int_argument *>(adapt->arg("window"))->value();
+                return_code = stan::services::sample::hmc_nuts_auto_e_adapt(
+                    model, *init_context, *metric_context, random_seed, id, init_radius,
+                    num_warmup, num_samples, num_thin, save_warmup, refresh, stepsize,
+                    stepsize_jitter, max_depth, delta, gamma, kappa, t0, init_buffer,
+                    term_buffer, window, interrupt, logger, init_writer, sample_writer,
+                    diagnostic_writer);
+                } else if (engine->value() == "nuts" && metric->value() == "diag_e"
                  && adapt_engaged == false && metric_supplied == false) {
         categorical_argument *base = dynamic_cast<categorical_argument *>(
             algo->arg("hmc")->arg("engine")->arg("nuts"));