After a consecutive trial-and-fails, I figured out a most direct way to install xgboost on Windows with MSVC; that is, you only have to download the latest RELEASE of xgboost on GitHub.
- Release Page：https://github.com/dmlc/xgboost/releases
- v 0.47 Release ：https://github.com/dmlc/xgboost/releases/tag/0.47
Then download the zipped archive — even with no need of git . After that, just as what can be found from web search, unzip the package, open the solution \windows\xgboost.sln in MSVC, compile the project xgboost_wrapper (switch build profile to RELEASE, of course). Finally, copy the freshly-built gboost_wrapper.dll to the folder \wrappers\ and the installation is ready now.
For Python, you can install the package by running \python-package\setup.py . Remember to use install parameter.
As for R… Frankly I haven’t tried it out but… Maybe it’s the same story.
All in all, IMO, do not clone the latest commit using git . First of all, the latest commit doesn’t support MSVC building. Virtually tqchen has removed \windows\ directory in the latest commit (see #736). After switching to Min-GW, I just couldn’t successfully compile rabit . Later I switched to mingw32-make in Cygwin, but came across compilation errors due to some ill-behaved macro definitions. (see #625)
So, after a day’s time, finally I decided to give up hacking makefile, and compromise myself to MSVC 🙄