Add native Julia methods and regression coverage

.github/workflows/CI.yml

@@ -16,8 +16,8 @@ env:
   JULIA_PKG_PRECOMPILE_AUTO: "0"
 
 jobs:
-  base:
-    name: base Julia ${{ matrix.version }} / ${{ matrix.dependency-set }}
+  integration:
+    name: Julia ${{ matrix.version }} / ${{ matrix.dependency-set }}
     runs-on: ubuntu-latest
     strategy:
       fail-fast: false
@@ -37,9 +37,8 @@ jobs:
         with:
           version: ${{ matrix.version }}
       - uses: julia-actions/cache@v2
-      - name: Run base tests and optional-extension fallback checks
+      - name: Run integration tests
         env:
-          RISKLABAI_TEST_DEEP_BSDE: "0"
           RISKLABAI_DEPENDENCY_SET: ${{ matrix.dependency-set }}
         run: |
           julia --startup-file=no -e '
@@ -48,91 +47,42 @@ jobs:
             Pkg.develop(path = pwd())
             if ENV["RISKLABAI_DEPENDENCY_SET"] == "minimum"
                 Pkg.add([
+                    Pkg.PackageSpec(name = "Clarabel", version = v"0.11.1"),
                     Pkg.PackageSpec(name = "Clustering", version = v"0.15.8"),
                     Pkg.PackageSpec(name = "Combinatorics", version = v"1.1.0"),
+                    Pkg.PackageSpec(name = "CovarianceEstimation", version = v"0.2.13"),
                     Pkg.PackageSpec(name = "DataFrames", version = v"1.8.2"),
                     Pkg.PackageSpec(name = "DecisionTree", version = v"0.12.4"),
                     Pkg.PackageSpec(name = "Distributions", version = v"0.25.128"),
                     Pkg.PackageSpec(name = "HypothesisTests", version = v"0.11.8"),
-                    Pkg.PackageSpec(name = "QuadGK", version = v"2.11.3"),
-                    Pkg.PackageSpec(name = "SpecialFunctions", version = v"2.8.0"),
-                ])
-            else
-                Pkg.add([
-                    Pkg.PackageSpec(name = "Clustering"),
-                    Pkg.PackageSpec(name = "Combinatorics"),
-                    Pkg.PackageSpec(name = "DataFrames"),
-                    Pkg.PackageSpec(name = "DecisionTree"),
-                    Pkg.PackageSpec(name = "Distributions"),
-                    Pkg.PackageSpec(name = "HypothesisTests"),
-                    Pkg.PackageSpec(name = "QuadGK"),
-                    Pkg.PackageSpec(name = "SpecialFunctions"),
-                ])
-            end
-            using RiskLabAI
-            include(joinpath(pwd(), "test", "runtests.jl"))
-          '
-
-  deep-bsde:
-    name: Deep-BSDE Julia ${{ matrix.version }} / ${{ matrix.dependency-set }}
-    runs-on: ubuntu-latest
-    strategy:
-      fail-fast: false
-      matrix:
-        include:
-          - version: "1.10.12"
-            dependency-set: minimum
-          - version: "1.10.12"
-            dependency-set: current
-          - version: "1.12.7"
-            dependency-set: minimum
-          - version: "1.12.7"
-            dependency-set: current
-    steps:
-      - uses: actions/checkout@v4
-      - uses: julia-actions/setup-julia@v2
-        with:
-          version: ${{ matrix.version }}
-      - uses: julia-actions/cache@v2
-      - name: Run tests with the weak dependencies loaded
-        env:
-          RISKLABAI_TEST_DEEP_BSDE: "1"
-          RISKLABAI_DEPENDENCY_SET: ${{ matrix.dependency-set }}
-        run: |
-          julia --startup-file=no -e '
-            using Pkg
-            Pkg.activate(; temp = true)
-            Pkg.develop(path = pwd())
-            if ENV["RISKLABAI_DEPENDENCY_SET"] == "minimum"
-                Pkg.add([
-                    Pkg.PackageSpec(name = "Clustering", version = v"0.15.8"),
-                    Pkg.PackageSpec(name = "Combinatorics", version = v"1.1.0"),
-                    Pkg.PackageSpec(name = "DataFrames", version = v"1.8.2"),
-                    Pkg.PackageSpec(name = "DecisionTree", version = v"0.12.4"),
-                    Pkg.PackageSpec(name = "Distributions", version = v"0.25.128"),
-                    Pkg.PackageSpec(name = "HypothesisTests", version = v"0.11.8"),
-                    Pkg.PackageSpec(name = "QuadGK", version = v"2.11.3"),
-                    Pkg.PackageSpec(name = "SpecialFunctions", version = v"2.8.0"),
+                    Pkg.PackageSpec(name = "JuMP", version = v"1.32.1"),
                     Pkg.PackageSpec(name = "Lux", version = v"1.31.4"),
+                    Pkg.PackageSpec(name = "Optim", version = v"2.3.2"),
                     Pkg.PackageSpec(name = "Optimisers", version = v"0.4.7"),
+                    Pkg.PackageSpec(name = "QuadGK", version = v"2.11.3"),
+                    Pkg.PackageSpec(name = "SpecialFunctions", version = v"2.8.0"),
                     Pkg.PackageSpec(name = "Zygote", version = v"0.7.11"),
                 ])
             else
                 Pkg.add([
+                    Pkg.PackageSpec(name = "Clarabel"),
                     Pkg.PackageSpec(name = "Clustering"),
                     Pkg.PackageSpec(name = "Combinatorics"),
+                    Pkg.PackageSpec(name = "CovarianceEstimation"),
                     Pkg.PackageSpec(name = "DataFrames"),
                     Pkg.PackageSpec(name = "DecisionTree"),
                     Pkg.PackageSpec(name = "Distributions"),
                     Pkg.PackageSpec(name = "HypothesisTests"),
-                    Pkg.PackageSpec(name = "QuadGK"),
-                    Pkg.PackageSpec(name = "SpecialFunctions"),
+                    Pkg.PackageSpec(name = "JuMP"),
                     Pkg.PackageSpec(name = "Lux"),
+                    Pkg.PackageSpec(name = "Optim"),
                     Pkg.PackageSpec(name = "Optimisers"),
+                    Pkg.PackageSpec(name = "QuadGK"),
+                    Pkg.PackageSpec(name = "SpecialFunctions"),
                     Pkg.PackageSpec(name = "Zygote"),
                 ])
             end
-            using Lux, Optimisers, Zygote, RiskLabAI
+            using RiskLabAI
             include(joinpath(pwd(), "test", "runtests.jl"))
           '