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30.3 Continuous choices

Many choices, such as how much to invest for retirement or how long to spend at the gym are not discrete, but continuous. In these cases, the continuous choice can be coded as data in the Stan program. Then the expected utilities may be calculated. In other words, Stan can be used as a function from a choice to expected utilities. Then an external optimizer can call that function. This optimization can be difficult without gradient information. Gradients could be supplied by automatic differentiation, but Stan is not currently instrumented to calculate those derivatives.