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Fix full Wiener density underflow - #3435
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Retry full-model integration with a shared log-density scale when the natural-scale density underflows. Apply the same scale to derivative integrals so reverse-mode ratios remain finite and consistent. Add primal and reverse-mode regressions for issue stan-dev#3329 across starting-point and nondecision-time variability branches.
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avehtari
self-requested a review
October 9, 2026 09:38
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This doesn't compile for forward or mixed mode.** CI job "mix fun and prob tests 5" fails on all three platforms with 88 errors from three lines:
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Summary
Fixes #3329.
Adds an automatic log-scaled fallback for the full Wiener density when
natural-scale integration produces a zero, subnormal, or non-finite result.
The public api is unchanged.
Tests
Side Effects
None expected.
Release notes
Fixed underflow in the full Wiener log density and its gradients for extreme
valid parameter values.
Checklist
Copyright holder: Marton A. Varga
the basic tests are passing
the code is written in idiomatic C++ and changes are documented in the doxygen
the new changes are tested