update to Eigen 3.3.9

[spinkney]

I know there was an update not too long ago but there seems to be plenty of bug fixes since. See the changelog.

[rok-cesnovar]

Thanks!

We need to wait for 3.3.8 to also be available in RcppEigen because that is what rstan uses and we want to be in-sync.
We could also just upgrade as:

• by the time there will be the next rstan release RcppEigen will most likely use 3.3.8
• its a patch release, so there should be no interfacing changes that would break rstan

I asked the Rcppeigen devs on the timeline and if any of us can help: RcppCore/RcppEigen#91

[bgoodri]

There is a build failure with Eigen 3.3.9 (and possibly 3.3.8). I get

In file included from /home/ben/r-devel/library/StanHeaders/include/stan/math/rev/core/matrix_vari.hpp:4,
                 from /home/ben/r-devel/library/StanHeaders/include/stan/math/rev/core.hpp:16,
                 from ./stan/model/model_base.hpp:5,
                 from Module.cpp:2:
/home/ben/r-devel/library/StanHeaders/include/stan/math/rev/mat/fun/Eigen_NumTraits.hpp:200:77: error: wrong number of template arguments (8, should be 9)
                                      RhsStorageOrder, ConjugateRhs, ColMajor> {
                                                                             ^

[rok-cesnovar]

This is with Stan Headers set to develop Stan Math or Stan Math 3.4.0? Or current CRAN StanHeaders?

[bgoodri]

Current everything on CRAN except drat RcppEigen 3.3.9. I should have probably included more of the error message:

In file included from /home/ben/r-devel/library/StanHeaders/include/stan/math/rev/core/matrix_vari.hpp:4,
                 from /home/ben/r-devel/library/StanHeaders/include/stan/math/rev/core.hpp:16,
                 from ./stan/model/model_base.hpp:5,
                 from Module.cpp:2:
/home/ben/r-devel/library/StanHeaders/include/stan/math/rev/mat/fun/Eigen_NumTraits.hpp:200:77: error: wrong number of template arguments (8, should be 9)
                                      RhsStorageOrder, ConjugateRhs, ColMajor> {
                                                                             ^
In file included from /home/ben/r-devel/library/RcppEigen/include/Eigen/Core:454,
                 from /home/ben/r-devel/library/RcppEigen/include/Eigen/Dense:1,
                 from /home/ben/r-devel/library/StanHeaders/include/stan/math/prim/mat/fun/Eigen.hpp:13,
                 from /home/ben/r-devel/library/StanHeaders/include/stan/math/prim/mat/meta/append_return_type.hpp:4,
                 from /home/ben/r-devel/library/StanHeaders/include/stan/math/prim/meta.hpp:9,
                 from /home/ben/r-devel/library/StanHeaders/include/stan/math/memory/stack_alloc.hpp:7,
                 from /home/ben/r-devel/library/StanHeaders/include/stan/math/rev/core/autodiffstackstorage.hpp:4,
                 from /home/ben/r-devel/library/StanHeaders/include/stan/math/rev/core.hpp:4,
                 from ./stan/model/model_base.hpp:5,
                 from Module.cpp:2:
/home/ben/r-devel/library/RcppEigen/include/Eigen/src/Core/util/BlasUtil.h:35:8: note: provided for ‘template<class Index, class LhsScalar, int LhsStorageOrder, bool ConjugateLhs, class Rh$
 struct general_matrix_matrix_product;
        ^~~~~~~~~~~~~~~~~~~~~~~~~~~~~

[bgoodri]

It seems that an emergency StanHeaders will have to uploaded to CRAN that branches on EIGEN_MINOR_VERSION in order to preserve compatibility with all the existing CRAN packages and pave the way for RcppEigen to upgrade to 3.3.9. Do we at least understand what we have to do with the 8 vs. 9 template arguments to the NumTraits thing?