Add deprecation messages

src/Turing.jl

@@ -54,6 +54,8 @@ using .Variational
 include("optimisation/Optimisation.jl")
 using .Optimisation
 
+include("deprecated.jl") # to be removed in the next minor version release
+
 ###########
 # Exports #
 ###########
@@ -129,7 +131,11 @@ export  @model,                 # modelling
         get_parameter_bounds,
         optim_objective,
         optim_function,
-        optim_problem
+        optim_problem,
+
+        setbackend,           # deprecated
+        setchunksize,
+        setadsafe
 
 if !isdefined(Base, :get_extension)
     using Requires

src/deprecated.jl

@@ -0,0 +1,19 @@
+function setbackend(::Union{Symbol, Val})
+    Base.depwarn("`ADBACKEND` and `setbackend` are deprecated. Please specify the chunk size directly in the sampler constructor, e.g., `HMC(0.1, 5; adtype=AutoForwardDiff(; chunksize=0))`.\n This function has no effects.", :setbackend; force=true)
+    nothing
+end
+
+function setchunksize(::Int)
+    Base.depwarn("`CHUNKSIZE` and `setchunksize` are deprecated. Please specify the chunk size directly in the sampler constructor, e.g., `HMC(0.1, 5; adtype=AutoForwardDiff(; chunksize=0))`.\n This function has no effects.", :setchunksize; force=true)
+    nothing
+end
+
+function setrdcache(::Bool)
+    Base.depwarn("`RDCACHE` and `setrdcache` are deprecated. Please specify the chunk size directly in the sampler constructor, e.g., `HMC(0.1, 5; adtype=AutoReverseDiff(false))`.\n This function has no effects.", :setrdcache; force=true)
+    nothing
+end
+
+function setadsafe(::Bool)
+    Base.depwarn("`ADSAFE` and `setadsafe` are outdated and no longer in use.", :setadsafe; force=true)
+    nothing
+end