Build xgboost on Windows (not the python module)

machine learning, python, xgboost

2016-04-20 Build xgboost on Windows (not the python module)

Here are the steps I followed:

Install TDM-GCC, check openmp option (got gcc 64 bit), add gcc to PATH
Install cygwin, required to avoid mismatch between / and \\ for Windows paths
You might also need Java JDK, it was already installed when I tried these steps so I cannot tell.
If you forgot to add gcc to PATH, run export PATH=$PATH:<path_gcc> from cygwin command line
Clone the repositoy xgboost git clone --recursive https://github.com/dmlc/xgboost
As mentioned at Building xgboost on Windows, from the cygwin command line, copy config.mk: cp make/config.mk ./config.mk
Still from the cygwin command line, run mingw32-make -j4

If you want to build the wheel for Python, I suggest reading Build xgboost 0.4a30 for Python 3.4 and 3.5.

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Xavier Dupré