Doc: add Stan PPL integration?

[gil2rok]

Add Stan PPL integration to use Stan models with Blackjax inference algorithms

With the BridgeStan library, we can efficiently access log density and gradient evaluations of Stan models. Following the Blackjax documentation, we can then use BridgeStan with custom gradients and JAX callbacks. Note that Stan, not JAX, would be computing gradients that is then used by Blackjax algorithms.

For a somewhat complete example see my small example repo and another example here. Would be open to attempting a PR if there is interest.

[junpenglao]

Oh that's a great idea - +1 to appending a more complicated example to custom gradients.

[ciguaran]

Looking forward to seeing this!

[reubenharry]

I'd also be interested in using this!