Fix line search to avoid non-finite gradients

[cpfiffer]

Related to #3306

Modify the WolfeLineSearch function in src/stan/optimization/bfgs_linesearch.hpp to handle non-finite gradients.

• Check if the function value func_val is finite.
• Check if the gradient gradx1 is finite.
• If either the function value or the gradient is non-finite, restart the line search with a smaller step size.

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[cpfiffer]

Add test for handling non-finite gradients in WolfeLineSearch

• Add linesearch_testfunc_nonfinite class to simulate non-finite gradients
• Add wolfeLineSearch_nonfinite_gradient test to verify that the optimization process can handle non-finite gradients
• Ensure the test checks that the line search algorithm avoids returning points with finite log density but infinite gradient

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[cpfiffer]

For what it's worth, this was a vague attempt at solving this problem using Copilot Workspace. It'd be very cool if this was all it took. Close this if it's garbage because I'm not that familiar with stan's internals. If the robot did a good job I'm happy to investigate this more.

[bob-carpenter]

The fix looks OK in that it will do the same thing for a non-finite return now as for an error code. I kicked off the integration testing.

It'd be nice if the test tested all the ways things could fail. The new test is testing a 1 return, but I didn't see how that was being triggered. The easiest is just plugging in three different functions for testing:

1. one that always returns NaN
2. one that always returns an infinite value
3. one that always returns non-finite gradients

All these should then return a 1 from the line search.

[cpfiffer]

Alright, let's give that a try. Apologies in advance, very new to the whole stan toolchain and I'll likely be pretty clumsy.

[bob-carpenter]

Thanks, @cpfiffer. We're happy to help, as our C++ is pretty complicated in a lot of places.

[nhuurre]

The test wolfeLineSearch_nonfinite_gradient fails because the functor linesearch_testfunc_nonfinite has a finite gradient, and thus does not exercise the expected error path. Actually, none of the new tests notice if I undo the fix in this PR.

The single-line fix looks correct but I'm puzzled as to why it is needed. At the previous line, func should be an instance of ModelAdaptor which already checks for non-finite gradient:

stan/src/stan/optimization/bfgs.hpp

Lines 351 to 360 in 01f5923

	for (size_t i = 0; i < _g.size(); i++) {
	if (!std::isfinite(_g[i])) {
	if (_msgs)
	*_msgs << "Error evaluating model log probability: "
	"Non-finite gradient."
	<< std::endl;
	return 3;
	}
	g[i] = -_g[i];
	}