I had the same problem man, captain rodney is his name.
If you do the quest involving saving the guard with his grappling hook, rodney stays on the roof until you go up there to finish the quest.
Also, if you do the quest involving a diary at the farm (won't give to much away) rodney will go to the farm if you grass up the offender.
Just letting you know 'cos i lost him for like three hours until someone reminded me he could be at the farm....
