Create wheel.yml

First try on a github workflow

.github/workflows/wheel.yml

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+# This workflow is in a test stage. 
+# simplified version from the scikit-learn's wheel.yml
+# original version: https://github.com/scikit-learn/scikit-learn/blob/main/.github/workflows/wheels.yml
+# Workflow to build and test wheels
+name: Wheel builder
+
+on:
+  push:
+    branches:
+      - master
+  pull_request:
+    branches:
+      - master
+  # Manual run
+  workflow_dispatch:
+
+concurrency:
+  group: ${{ github.workflow }}-${{ github.head_ref || github.run_id }}
+  cancel-in-progress: true
+
+jobs:
+  # Build the wheels for Linux, Windows and macOS for Python 3.9 and newer
+  build_wheels:
+    name: Build wheel for cp${{ matrix.python }}-${{ matrix.platform_id }}-${{ matrix.manylinux_image }}
+    runs-on: ${{ matrix.os }}
+
+    strategy:
+      # Ensure that a wheel builder finishes even if another fails
+      fail-fast: false
+      matrix:
+        include:
+          # Window 64 bit
+          # Note: windows-2019 is needed for older Python versions:
+          # https://github.com/scikit-learn/scikit-learn/issues/22530
+          - os: windows-latest
+            python: 39
+            platform_id: win_amd64
+          - os: windows-latest
+            python: 310
+            platform_id: win_amd64
+          - os: windows-latest
+            python: 311
+            platform_id: win_amd64
+          - os: windows-latest
+            python: 312
+            platform_id: win_amd64
+
+          # Linux 64 bit manylinux2014
+          - os: ubuntu-latest
+            python: 39
+            platform_id: manylinux_x86_64
+            manylinux_image: manylinux2014
+
+          # NumPy on Python 3.10 only supports 64bit and is only available with manylinux2014
+          - os: ubuntu-latest
+            python: 310
+            platform_id: manylinux_x86_64
+            manylinux_image: manylinux2014
+
+          - os: ubuntu-latest
+            python: 311
+            platform_id: manylinux_x86_64
+            manylinux_image: manylinux2014
+          - os: ubuntu-latest
+            python: 312
+            platform_id: manylinux_x86_64
+            manylinux_image: manylinux2014
+
+          # MacOS x86_64
+          - os: macos-latest
+            python: 39
+            platform_id: macosx_x86_64
+          - os: macos-latest
+            python: 310
+            platform_id: macosx_x86_64
+          - os: macos-latest
+            python: 311
+            platform_id: macosx_x86_64
+          - os: macos-latest
+            python: 312
+            platform_id: macosx_x86_64
+
+          # MacOS arm64
+          # The wheel for the latest Python version is built and tested on
+          # Cirrus CI but due to limited build time for free accounts on Cirrus
+          # CI, we build the macOS arm64 wheels for the other Python versions on
+          # Github Actions via cross-compilation (without running the tests).
+          - os: macos-latest
+            python: 39
+            platform_id: macosx_arm64
+          - os: macos-latest
+            python: 310
+            platform_id: macosx_arm64
+          - os: macos-latest
+            python: 311
+            platform_id: macosx_arm64
+
+    steps:
+      - name: Checkout cmf
+        uses: actions/checkout@v3
+
+      - name: Setup Python
+        uses: actions/setup-python@v4
+        with:
+          python-version: '3.9'  # update once build dependencies are available
+
+      - name: Install cibuildwheel
+        run: python -m pip install cibuildwheel
+
+      - name: Build wheels
+        env:
+          CIBW_PRERELEASE_PYTHONS: ${{ matrix.prerelease }}
+          CIBW_BUILD: cp${{ matrix.python }}-${{ matrix.platform_id }}
+          CIBW_ARCHS: all
+          CIBW_BEFORE_BUILD: python -m pip install numpy cmake setuptools
+          CIBW_MANYLINUX_X86_64_IMAGE: ${{ matrix.manylinux_image }}
+          CIBW_MANYLINUX_I686_IMAGE: ${{ matrix.manylinux_image }}
+          CIBW_BUILD_VERBOSITY: 1
+
+        run: python -m cibuildwheel --output-dir wheelhouse
+
+      - name: Store artifacts
+        uses: actions/upload-artifact@v3
+        with:
+          path: wheelhouse/*.whl
+
+  # Build the source distribution under Linux
+  build_sdist:
+    name: Source distribution
+    runs-on: ubuntu-latest
+    steps:
+      - name: Checkout cmf
+        uses: actions/checkout@v3
+
+      - name: Setup Python
+        uses: actions/setup-python@v4
+        with:
+          python-version: '3.9'  # update once build dependencies are available
+
+      - name: Build source distribution
+        run: python setup.py sdist
+
+      - name: Test source distribution
+        run: bash build_tools/github/test_source.sh
+
+      - name: Store artifacts
+        uses: actions/upload-artifact@v3
+        with:
+          path: dist/*.tar.gz
+