2016-08-09 Build xgboost on Windows (again)

Hopefully xgboost won’t change their building process any more. Here are the steps I followed to build xgboost 0.6 on Windows for Python 3.5. (from Building on Windows). Prerequisites:

From the command line:

mkdir build
cd build
"c:\Program Files\CMake\bin\cmake.exe" .. -G"Visual Studio 14 2015 Win64"

Expected output:

-- The C compiler identification is MSVC 19.0.23506.0
-- The CXX compiler identification is MSVC 19.0.23506.0
-- Check for working C compiler: C:/Program Files (x86)/Microsoft Visual Studio 14.0/VC/bin/x86_amd64/cl.exe
-- Check for working C compiler: C:/Program Files (x86)/Microsoft Visual Studio 14.0/VC/bin/x86_amd64/cl.exe -- works
-- Detecting C compiler ABI info
-- Detecting C compiler ABI info - done
-- Check for working CXX compiler: C:/Program Files (x86)/Microsoft Visual Studio 14.0/VC/bin/x86_amd64/cl.exe
-- Check for working CXX compiler: C:/Program Files (x86)/Microsoft Visual Studio 14.0/VC/bin/x86_amd64/cl.exe -- works
-- Detecting CXX compiler ABI info
-- Detecting CXX compiler ABI info - done
-- Detecting CXX compile features
-- Detecting CXX compile features - done
-- Try OpenMP C flag = [/openmp]
-- Performing Test OpenMP_FLAG_DETECTED
-- Performing Test OpenMP_FLAG_DETECTED - Success
-- Try OpenMP CXX flag = [/openmp]
-- Performing Test OpenMP_FLAG_DETECTED
-- Performing Test OpenMP_FLAG_DETECTED - Success
-- Found OpenMP: /openmp
-- Performing Test COMPILER_SUPPORTS_CXX11
-- Performing Test COMPILER_SUPPORTS_CXX11 - Failed
-- Performing Test COMPILER_SUPPORTS_CXX0X
-- Performing Test COMPILER_SUPPORTS_CXX0X - Failed
-- The compiler C:/Program Files (x86)/Microsoft Visual Studio 14.0/VC/bin/x86_amd64/cl.exe has no C++11 support. Please use a different C++ compiler.
-- Could NOT find PythonInterp (missing:  PYTHON_EXECUTABLE) (Required is at least version "2")
-- Found PythonInterp: C:/Python35_x64/python.exe (found suitable version "3.5.2", minimum required is "3")
-- Configuring done
-- Generating done
-- Build files have been written to: C:/github/xgboost/build

Open the file xgboost.sln and build. The compilation works despite the warning saying that Visual Studio does not C++ 11 support. Last steps:

* copy *libxgboost.dll* in *python-package/xgboost*
* type ``python setup.py bdist_wheel``

Last remark, xgboost is back on pypi today