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Wrap GSL.jl in extension #213

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Wrap GSL.jl in extension #213

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1d22a1a
initial commit: cquad
lxvm Dec 29, 2023
9c01acc
update gsl issue link
lxvm Dec 29, 2023
562400b
Update ext/IntegralsGSLExt.jl
ChrisRackauckas Dec 31, 2023
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6 changes: 5 additions & 1 deletion Project.toml
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Original file line number Diff line number Diff line change
Expand Up @@ -19,6 +19,7 @@ Cuba = "8a292aeb-7a57-582c-b821-06e4c11590b1"
Cubature = "667455a9-e2ce-5579-9412-b964f529a492"
FastGaussQuadrature = "442a2c76-b920-505d-bb47-c5924d526838"
ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
GSL = "92c85e6c-cbff-5e0c-80f7-495c94daaecd"
Zygote = "e88e6eb3-aa80-5325-afca-941959d7151f"

[extensions]
Expand All @@ -27,6 +28,7 @@ IntegralsCubaExt = "Cuba"
IntegralsCubatureExt = "Cubature"
IntegralsFastGaussQuadratureExt = "FastGaussQuadrature"
IntegralsForwardDiffExt = "ForwardDiff"
IntegralsGSLExt = "GSL"
IntegralsZygoteExt = ["Zygote", "ChainRulesCore"]

[compat]
Expand All @@ -40,6 +42,7 @@ Distributions = "0.25.87"
FastGaussQuadrature = "0.5"
FiniteDiff = "2.12"
ForwardDiff = "0.10.19"
GSL = "1"
HCubature = "1.5"
LinearAlgebra = "1.9"
MonteCarloIntegration = "0.0.3, 0.1"
Expand All @@ -64,6 +67,7 @@ Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
FastGaussQuadrature = "442a2c76-b920-505d-bb47-c5924d526838"
FiniteDiff = "6a86dc24-6348-571c-b903-95158fe2bd41"
ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
GSL = "92c85e6c-cbff-5e0c-80f7-495c94daaecd"
Pkg = "44cfe95a-1eb2-52ea-b672-e2afdf69b78f"
SafeTestsets = "1bc83da4-3b8d-516f-aca4-4fe02f6d838f"
SciMLSensitivity = "1ed8b502-d754-442c-8d5d-10ac956f44a1"
Expand All @@ -72,4 +76,4 @@ Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
Zygote = "e88e6eb3-aa80-5325-afca-941959d7151f"

[targets]
test = ["Aqua", "Arblib", "SciMLSensitivity", "StaticArrays", "FiniteDiff", "Pkg", "SafeTestsets", "Test", "Distributions", "ForwardDiff", "Zygote", "ChainRulesCore", "FastGaussQuadrature", "Cuba", "Cubature"]
test = ["Aqua", "Arblib", "SciMLSensitivity", "StaticArrays", "FiniteDiff", "GSL", "Pkg", "SafeTestsets", "Test", "Distributions", "ForwardDiff", "Zygote", "ChainRulesCore", "FastGaussQuadrature", "Cuba", "Cubature"]
48 changes: 48 additions & 0 deletions ext/IntegralsGSLExt.jl
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@@ -0,0 +1,48 @@
module IntegralsGSLExt

using GSL
using Integrals
using Integrals: IntegralCache

mutable struct GSLCache{T}
value::T
end
getvalue(cache::GSLCache) = cache.value

function Integrals.init_cacheval(alg::GSLIntegration{typeof(integration_cquad)}, prob::IntegralProblem)
ws = integration_cquad_workspace_alloc(alg.kws.wssize)
gslcache = GSLCache(ws)
finalizer(integration_cquad_workspace_free∘getvalue, gslcache)
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result = Cdouble[0]
abserr = Cdouble[0]
nevals = C_NULL # Csize_t[0]
return (; gslcache, result, abserr, nevals)
end

function Integrals.__solvebp_call(cache::IntegralCache, alg::GSLIntegration{typeof(integration_cquad)}, sensealg, domain, p;
reltol = 1e-8, abstol = 1e-8, maxiters = nothing)

prob = Integrals.build_problem(cache)

if !all(isone∘length, domain)
error("GSLIntegration only accepts one-dimensional quadrature problems.")
end
@assert prob.f isa IntegralFunction

f = if isinplace(prob)
@assert isone(length(prob.f.integrand_prototype)) "GSL only supports scalar, real-valued integrands"
y = similar(prob.f.integrand_prototype, Cdouble)
x -> (prob.f(y, x, p); only(y))
else
x -> Cdouble(only(prob.f(x, p)))
end
# gslf = @gsl_function(f) # broken, see: https://github.com/JuliaMath/GSL.jl/pull/128
ptr = @cfunction($((x,p) -> f(x)), Cdouble, (Cdouble, Ptr{Cvoid}))
gslf = GC.@preserve ptr gsl_function(Base.unsafe_convert(Ptr{Cvoid},ptr), 0)
a, b = map(Cdouble∘only, domain)
(; gslcache, result, abserr, nevals) = cache.cacheval
integration_cquad(gslf, a, b, abstol, reltol, getvalue(gslcache), result, abserr, nevals)
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return SciMLBase.build_solution(prob, alg, only(result), only(abserr), retcode = ReturnCode.Success)
end

end
1 change: 1 addition & 0 deletions src/Integrals.jl
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Expand Up @@ -221,5 +221,6 @@ export QuadGKJL, HCubatureJL, VEGAS, GaussLegendre, QuadratureRule, TrapezoidalR
export CubaVegas, CubaSUAVE, CubaDivonne, CubaCuhre
export CubatureJLh, CubatureJLp
export ArblibJL
export GSLIntegration

end # module
13 changes: 13 additions & 0 deletions src/algorithms.jl
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Expand Up @@ -370,3 +370,16 @@
function ArblibJL(; check_analytic=false, take_prec=false, warn_on_no_convergence=false, opts=C_NULL)
return ArblibJL(check_analytic, take_prec, warn_on_no_convergence, opts)
end


"""
GSLIntegration(routine; kws...)

One-dimensional quadrature of Float64-valued function using `routine` from GSL with
additional arguments. For example `using Integrals, GSL; GSLIntegration(integration_cquad; wssize=100)`
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We should probably document the available functions. How many are there?

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There are quite a few, since the GSL includes a rewrite of quadpack. I'll put a full list below and I hope that most of them can be wrapped metaprogramatically

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integration_cquad
integration_fixed
integration_glfixed
integration_qag
integration_qagi
integration_qagil
integration_qagiu
integration_qagp
integration_qags
integration_qawc
integration_qawf
integration_qawo
integration_qaws
integration_qcheb
integration_qk
integration_qk15
integration_qk21
integration_qk31
integration_qk41
integration_qk51
integration_qk61
integration_qng
integration_romberg

"""
struct GSLIntegration{F,A<:NamedTuple} <: SciMLBase.AbstractIntegralAlgorithm
f::F
kws::A
end
GSLIntegration(f; kws...) = GSLIntegration(f, NamedTuple(kws))

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7 changes: 4 additions & 3 deletions test/interface_tests.jl
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Original file line number Diff line number Diff line change
@@ -1,5 +1,5 @@
using Integrals
using Cuba, Cubature, Arblib
using Cuba, Cubature, Arblib, GSL
using Test

max_dim_test = 2
Expand All @@ -9,7 +9,7 @@ abstol = 1e-3


algs = [QuadGKJL, HCubatureJL, CubatureJLh, CubatureJLp, #VEGAS, #CubaVegas,
CubaSUAVE, CubaDivonne, CubaCuhre]
CubaSUAVE, CubaDivonne, CubaCuhre, ArblibJL, () -> GSL(integration_cquad; wssize=100)]

alg_req = Dict(QuadGKJL => (nout = 1, allows_batch = true, min_dim = 1, max_dim = 1,
allows_iip = true),
Expand All @@ -29,7 +29,8 @@ alg_req = Dict(QuadGKJL => (nout = 1, allows_batch = true, min_dim = 1, max_dim
max_dim = Inf, allows_iip = true),
CubaCuhre => (nout = Inf, allows_batch = true, min_dim = 2, max_dim = Inf,
allows_iip = true),
ArblibJL => (nout=1, allows_batch=false, min_dim=1, max_dim=1, allows_iip=true))
ArblibJL => (nout=1, allows_batch=false, min_dim=1, max_dim=1, allows_iip=true,
GSLIntegration => (nout=1, allows_batch=false, min_dim=1, max_dim=1, allows_iip=true)))

integrands = [
(x, p) -> 1.0,
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