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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.

Tomas
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1 Answers1

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

Ben Goodrich
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