[Waiting on Stan PR] Adds psis_resample and calculate_lp as options for pathfinder

.gitignore

@@ -52,3 +52,7 @@ output*.csv
 *.o
 # gdb
 .gdb_history
+
+#vscode 
+.vscode/*
+.vscode/**

src/cmdstan/arguments/arg_pathfinder.hpp

@@ -21,6 +21,22 @@ class arg_pathfinder : public arg_lbfgs {
     _subarguments.push_back(new arg_single_bool(
         "save_single_paths", "Output single-path pathfinder draws as CSV",
         false));
+    _subarguments.push_back(new arg_single_bool(
+        "psis_resample",
+        "If true, perform psis resampling on samples returned"
+        " from individual pathfinders. If false, returns num_paths * num_draws"
+        " samples",
+        true));
+    _subarguments.push_back(new arg_single_bool(
+        "calculate_lp",
+        "If true, individual pathfinders lp calculations are calculated and"
+        " returned with the output. If false, each pathfinder will only "
+        " calculate the lp values needed for the elbo calculation."
+        " If false, psis resampling cannot be performed and"
+        " the algorithm returns num_paths * num_draws samples."
+        " The output will still contain any lp values used when"
+        " calculating ELBO scores within LBFGS iterations.",
+        true));
     _subarguments.push_back(new arg_single_int_pos(
         "max_lbfgs_iters", "Maximum number of LBFGS iterations", 1000));
     _subarguments.push_back(new arg_single_int_pos(

src/cmdstan/command.hpp

@@ -313,7 +313,10 @@ int command(int argc, const char *argv[]) {
     int num_draws = get_arg_val<int_argument>(*pathfinder_arg, "num_draws");
     int num_psis_draws
         = get_arg_val<int_argument>(*pathfinder_arg, "num_psis_draws");
-
+    bool psis_resample
+        = get_arg_val<bool_argument>(*pathfinder_arg, "psis_resample");
+    bool calculate_lp
+        = get_arg_val<bool_argument>(*pathfinder_arg, "calculate_lp");
     if (num_psis_draws > num_draws * num_chains) {
       logger.warn(
           "Warning: Number of PSIS draws is larger than the total number of "
@@ -332,7 +335,7 @@ int command(int argc, const char *argv[]) {
           history_size, init_alpha, tol_obj, tol_rel_obj, tol_grad,
           tol_rel_grad, tol_param, max_lbfgs_iters, num_elbo_draws, num_draws,
           save_single_paths, refresh, interrupt, logger, init_writer,
-          sample_writers[0], diagnostic_json_writers[0]);
+          sample_writers[0], diagnostic_json_writers[0], calculate_lp);
     } else {
       auto output_filenames = make_filenames(output_file, "", ".csv", 1, id);
       auto ofs = std::make_unique<std::ofstream>(output_filenames[0]);
@@ -348,7 +351,7 @@ int command(int argc, const char *argv[]) {
           max_lbfgs_iters, num_elbo_draws, num_draws, num_psis_draws,
           num_chains, save_single_paths, refresh, interrupt, logger,
           init_writers, sample_writers, diagnostic_json_writers,
-          pathfinder_writer, dummy_json_writer);
+          pathfinder_writer, dummy_json_writer, calculate_lp, psis_resample);
     }
     // ---- pathfinder end ---- //
   } else if (user_method->arg("generate_quantities")) {

src/cmdstan/command_helper.hpp

@@ -78,7 +78,12 @@ inline constexpr auto get_arg(List &&arg_list, const char *arg1,
  */
 template <typename caster, typename Arg>
 inline constexpr auto get_arg_val(Arg &&argument, const char *arg_name) {
-  return dynamic_cast<std::decay_t<caster> *>(argument.arg(arg_name))->value();
+  auto *arg = argument.arg(arg_name);
+  if (arg) {
+    return dynamic_cast<std::decay_t<caster> *>(arg)->value();
+  } else {
+    throw std::invalid_argument(std::string("Unable to find: ") + arg_name);
+  }
 }
 
 /**