Add option for sampler warnings

[avehtari]

Summary:

New RStan runs throw_sampler_warnings after sampling. This is fine by default, but it would be useful to have an option to disable it. For models with a large number of parameters, transformed parameters or generated quantities, running throw_sampler_warnings can take couple minutes, which can be more than the actual sampling, which is annoying if running repeated simulation studies. Furthermore, the results from rhat, ess_bulk and ess_tail are not stored anywhere and in order to find out where the potential problems are these have to be recomputed, doubling the computation time for diagnostics.

Suggestion: add an option sampler_warnings with values 0, 1, 2, where 0 is no warnings, 1 is warning which don't require additional computation, and 2 for all warnings (including rhat, ess_bulk and ess_tail). Default would be 2.

RStan Version:

github develop version

[helske]

Bumping this old issue: After the sampling rstan automatically checks the HMC convergence diagnostics as well as Rhat and ESS values which, as @avehtari notes above can take significant amount of time. Adding an option to rstan::sampling as suggested by Aki would be great to avoid computing Rhat and ESS values multiple times when implementing packages relying on rstan.

I noticed that there is an open PR #1171 regarding the rewrite of check_hmc_diagnostics.R and monitor.R, perhaps this option could be added as a part of these changes?

edit: proper link