GPU Programming

Question

I want to do some GPU programming. What's the way to go here? I want to learn something that is "open" , cross platform and a "higher" language. I don't want to be lock into just GPU vendor nor OS, platform, etc.

What are my choices here? Cuda, OpenCL, OpenMP, other? What's the pros/cons for them?

What about G/HLSL and PhysX?

I'm looking at doing "general purpose" programming, some math, number crunching, simulations, etc. Maybe spit out some pretty graphics, but not specifically graphics programming.

Answer 1

The answer marked correct is now outdated and incorrect. In particular OpenMP 4.0 supports GPU acceleration.

Answer 2

OpenMP is cpu only, but easy to implement, CUDA is basically GPU only. Ati Stream supports both, but only on Ati/AMD gpu's. OpenCL is your only "open" option that supports both.