How to run maximum likelihood optimization (BFGS) in STAN?

Question

According to the STAN homepage, STAN is capable of penalized maximum likelihood (BFGS) optimization. I am using R package rstan but I haven't found any way how to use this method. I tried to look at the ?stan help for the stan() function, but the only available options algorithms are "NUTS" and "HMC".

I am using rstan version 2.5.0.

Answer 1

You want to look at help(optimizing, package = "rstan"), i.e. the optimizing() function in the RStan package.