Add Windows wheel builds using faer pure Rust linear algebra

.github/workflows/publish.yml

@@ -15,7 +15,7 @@ jobs:
 
       - name: Install dependencies
         run: |
-          dnf install -y openblas-devel openssl-devel perl-IPC-Cmd
+          dnf install -y openssl-devel perl-IPC-Cmd
           curl --proto '=https' --tlsv1.2 -sSf https://sh.rustup.rs | sh -s -- -y --no-modify-path
           /opt/python/cp312-cp312/bin/pip install maturin
 
@@ -54,24 +54,48 @@ jobs:
       - name: Install Rust
         uses: dtolnay/rust-toolchain@stable
 
-      - name: Install OpenBLAS
-        run: brew install openblas
-
       - name: Install maturin
         run: pip install maturin
 
       - name: Build wheel
-        run: |
-          export OPENBLAS_DIR=$(brew --prefix openblas)
-          export PKG_CONFIG_PATH=$(brew --prefix openblas)/lib/pkgconfig
-          maturin build --release --out dist --features extension-module
+        run: maturin build --release --out dist --features extension-module
 
       - name: Upload wheels
         uses: actions/upload-artifact@v4
         with:
           name: wheels-macos-arm64-py${{ matrix.python-version }}
           path: dist/*.whl
 
+  # Build wheels on Windows
+  build-windows:
+    name: Build Windows wheels
+    runs-on: windows-latest
+    strategy:
+      matrix:
+        python-version: ['3.9', '3.10', '3.11', '3.12']
+    steps:
+      - uses: actions/checkout@v4
+
+      - name: Set up Python
+        uses: actions/setup-python@v5
+        with:
+          python-version: ${{ matrix.python-version }}
+
+      - name: Install Rust
+        uses: dtolnay/rust-toolchain@stable
+
+      - name: Install maturin
+        run: pip install maturin
+
+      - name: Build wheel
+        run: maturin build --release --out dist --features extension-module
+
+      - name: Upload wheels
+        uses: actions/upload-artifact@v4
+        with:
+          name: wheels-windows-py${{ matrix.python-version }}
+          path: dist/*.whl
+
   # Build source distribution
   build-sdist:
     name: Build source distribution
@@ -97,10 +121,9 @@ jobs:
           path: dist/*.tar.gz
 
   # Publish to PyPI
-  # Windows and macOS x86_64 users install from sdist and get pure Python fallback
   publish:
     name: Publish to PyPI
-    needs: [build-linux, build-macos-arm, build-sdist]
+    needs: [build-linux, build-macos-arm, build-windows, build-sdist]
     runs-on: ubuntu-latest
     environment: pypi
     permissions:

.github/workflows/rust-test.yml

@@ -22,19 +22,23 @@ env:
   CARGO_TERM_COLOR: always
 
 jobs:
-  # Run Rust unit tests
+  # Run Rust unit tests on all platforms
   rust-tests:
-    name: Rust Unit Tests
-    runs-on: ubuntu-latest
+    name: Rust Unit Tests (${{ matrix.os }})
+    runs-on: ${{ matrix.os }}
+    env:
+      PYO3_USE_ABI3_FORWARD_COMPATIBILITY: 1
+    strategy:
+      fail-fast: false
+      matrix:
+        os: [ubuntu-latest, macos-latest, windows-latest]
+
     steps:
       - uses: actions/checkout@v4
 
       - name: Install Rust toolchain
         uses: dtolnay/rust-toolchain@stable
 
-      - name: Install OpenBLAS
-        run: sudo apt-get update && sudo apt-get install -y libopenblas-dev
-
       - name: Run Rust tests
         working-directory: rust
         run: cargo test --verbose
@@ -46,8 +50,7 @@ jobs:
     strategy:
       fail-fast: false
       matrix:
-        os: [ubuntu-latest, macos-latest]
-        # Windows excluded due to Intel MKL build complexity
+        os: [ubuntu-latest, macos-latest, windows-latest]
 
     steps:
       - uses: actions/checkout@v4
@@ -57,20 +60,6 @@ jobs:
         with:
           python-version: '3.11'
 
-      - name: Install OpenBLAS (Ubuntu)
-        if: matrix.os == 'ubuntu-latest'
-        run: sudo apt-get update && sudo apt-get install -y libopenblas-dev
-
-      - name: Install OpenBLAS (macOS)
-        if: matrix.os == 'macos-latest'
-        run: brew install openblas
-
-      - name: Set OpenBLAS paths (macOS)
-        if: matrix.os == 'macos-latest'
-        run: |
-          echo "OPENBLAS_DIR=$(brew --prefix openblas)" >> $GITHUB_ENV
-          echo "PKG_CONFIG_PATH=$(brew --prefix openblas)/lib/pkgconfig" >> $GITHUB_ENV
-
       - name: Install Rust toolchain
         uses: dtolnay/rust-toolchain@stable
 
@@ -82,28 +71,66 @@ jobs:
           pip install maturin
           maturin build --release -o dist
           echo "=== Built wheels ==="
-          ls -la dist/
-          # --no-index ensures we install from local wheel, not PyPI
-          pip install --no-index --find-links=dist diff-diff
+          ls -la dist/ || dir dist
+        shell: bash
+
+      - name: Install wheel (Unix)
+        if: runner.os != 'Windows'
+        run: pip install --no-index --find-links=dist diff-diff
 
-      - name: Verify Rust backend is available
-        # Run from /tmp to avoid source directory shadowing installed package
+      - name: Install wheel (Windows)
+        if: runner.os == 'Windows'
+        run: |
+          $wheel = Get-ChildItem dist/*.whl | Select-Object -First 1
+          pip install $wheel.FullName
+        shell: pwsh
+
+      - name: Verify Rust backend is available (Unix)
+        if: runner.os != 'Windows'
         working-directory: /tmp
         run: |
           python -c "import diff_diff; print('Location:', diff_diff.__file__)"
           python -c "from diff_diff import HAS_RUST_BACKEND; print('HAS_RUST_BACKEND:', HAS_RUST_BACKEND); assert HAS_RUST_BACKEND, 'Rust backend not available'"
 
-      - name: Copy tests to isolated location
+      - name: Verify Rust backend is available (Windows)
+        if: runner.os == 'Windows'
+        working-directory: ${{ runner.temp }}
+        run: |
+          python -c "import diff_diff; print('Location:', diff_diff.__file__)"
+          python -c "from diff_diff import HAS_RUST_BACKEND; print('HAS_RUST_BACKEND:', HAS_RUST_BACKEND); assert HAS_RUST_BACKEND, 'Rust backend not available'"
+
+      - name: Copy tests to isolated location (Unix)
+        if: runner.os != 'Windows'
         run: cp -r tests /tmp/tests
 
-      - name: Run Rust backend tests
+      - name: Copy tests to isolated location (Windows)
+        if: runner.os == 'Windows'
+        run: Copy-Item -Recurse tests $env:RUNNER_TEMP\tests
+        shell: pwsh
+
+      - name: Run Rust backend tests (Unix)
+        if: runner.os != 'Windows'
         working-directory: /tmp
         run: pytest tests/test_rust_backend.py -v
 
-      - name: Run tests with Rust backend
+      - name: Run Rust backend tests (Windows)
+        if: runner.os == 'Windows'
+        working-directory: ${{ runner.temp }}
+        run: pytest tests/test_rust_backend.py -v
+
+      - name: Run tests with Rust backend (Unix)
+        if: runner.os != 'Windows'
         working-directory: /tmp
         run: DIFF_DIFF_BACKEND=rust pytest tests/ -x -q
 
+      - name: Run tests with Rust backend (Windows)
+        if: runner.os == 'Windows'
+        working-directory: ${{ runner.temp }}
+        run: |
+          $env:DIFF_DIFF_BACKEND="rust"
+          pytest tests/ -x -q
+        shell: pwsh
+
   # Test pure Python fallback (without Rust extension)
   python-fallback:
     name: Pure Python Fallback

CLAUDE.md

@@ -40,9 +40,6 @@ maturin develop
 # Build with release optimizations
 maturin develop --release
 
-# Run Rust unit tests
-cd rust && cargo test
-
 # Force pure Python mode (disable Rust backend)
 DIFF_DIFF_BACKEND=python pytest
 
@@ -53,35 +50,9 @@ DIFF_DIFF_BACKEND=rust pytest
 pytest tests/test_rust_backend.py -v
 ```
 
-#### Troubleshooting Rust Tests (PyO3 Linking)
-
-If `cargo test` fails with `library 'pythonX.Y' not found`, PyO3 cannot find the Python library. This commonly happens on macOS when using the system Python (which lacks development headers in expected locations).
-
-**Solution**: Use a Python environment with proper library paths (e.g., conda, Homebrew, or pyenv):
-
-```bash
-# Using miniconda (example path - adjust for your system)
-cd rust
-PYO3_PYTHON=/path/to/miniconda3/bin/python3 \
-DYLD_LIBRARY_PATH="/path/to/miniconda3/lib" \
-cargo test
-
-# Using Homebrew Python
-PYO3_PYTHON=/opt/homebrew/bin/python3 \
-DYLD_LIBRARY_PATH="/opt/homebrew/lib" \
-cargo test
-```
-
-**Environment variables:**
-- `PYO3_PYTHON`: Path to Python interpreter with development headers
-- `DYLD_LIBRARY_PATH` (macOS) / `LD_LIBRARY_PATH` (Linux): Path to `libpythonX.Y.dylib`/`.so`
-
-**Verification**: All 22 Rust tests should pass, including bootstrap weight tests:
-```
-test bootstrap::tests::test_webb_variance_approx_correct ... ok
-test bootstrap::tests::test_webb_values_correct ... ok
-test bootstrap::tests::test_webb_mean_approx_zero ... ok
-```
+**Note**: As of v2.2.0, the Rust backend uses the pure-Rust `faer` library for linear algebra,
+eliminating external BLAS/LAPACK dependencies. This enables Windows wheel builds and simplifies
+cross-platform compilation - no OpenBLAS or Intel MKL installation required.
 
 ## Architecture
 
@@ -173,16 +144,17 @@ test bootstrap::tests::test_webb_mean_approx_zero ... ok
   - Exports `HAS_RUST_BACKEND` flag and Rust function references
   - Other modules import from here to avoid circular imports with `__init__.py`
 
-- **`rust/`** - Optional Rust backend for accelerated computation (v2.0.0):
+- **`rust/`** - Optional Rust backend for accelerated computation (v2.0.0+):
   - **`rust/src/lib.rs`** - PyO3 module definition, exports Python bindings
   - **`rust/src/bootstrap.rs`** - Parallel bootstrap weight generation (Rademacher, Mammen, Webb)
-  - **`rust/src/linalg.rs`** - OLS solver and cluster-robust variance estimation
+  - **`rust/src/linalg.rs`** - OLS solver (SVD-based) and cluster-robust variance estimation
   - **`rust/src/weights.rs`** - Synthetic control weights and simplex projection
   - **`rust/src/trop.rs`** - TROP estimator acceleration:
     - `compute_unit_distance_matrix()` - Parallel pairwise RMSE distance computation (4-8x speedup)
     - `loocv_grid_search()` - Parallel LOOCV across tuning parameters (10-50x speedup)
     - `bootstrap_trop_variance()` - Parallel bootstrap variance estimation (5-15x speedup)
-  - Uses ndarray-linalg with OpenBLAS (Linux/macOS) or Intel MKL (Windows)
+  - Uses pure-Rust `faer` library for linear algebra (no external BLAS/LAPACK dependencies)
+  - Cross-platform: builds on Linux, macOS, and Windows without additional setup
   - Provides 4-8x speedup for SyntheticDiD, 5-20x speedup for TROP
 
 - **`diff_diff/results.py`** - Dataclass containers for estimation results: