stan

C++ package for Bayesian inference, maximum likelihood estimation, etc

Stan is a state-of-the-art platform for statistical modeling and high-performance statistical computation. Thousands of users rely on Stan for statistical modeling, data analysis, and prediction in the social, biological, and physical sciences, engineering, and business. Users specify log density functions in Stan's probabilistic programming language and get: * full Bayesian statistical inference with MCMC sampling (NUTS, HMC) * approximate Bayesian inference with variational inference (ADVI) * penalized maximum likelihood estimation with optimization (L-BFGS)