How To Build XGBoost On Windows Now With GPU Support

Congratulations to the XGBoost team who have sorted out a lot of issues with XGBoost build on windows.

This is how I managed to build XGBoost on my environment:

Install CMake

CMake can be downloaded from here: https://cmake.org/download/

I downloaded the 64 bit zip file: https://cmake.org/files/v3.6/cmake-3.6.2-win64-x64.zip and unzipped it to c:\dev\cmake-3.6.2-win64-x64.

[Edit - For GPU Support] Install CUDA and CUB

Download and install CUDA from here.

Build XGBoost

To build XGBoost follow these steps:

git clone https://github.com/dmlc/xgboost.git
cd xgboost
git submodule init
git submodule update
mkdir build
cd build
C:\dev\cmake-3.6.2-win64-x64\bin\cmake.exe .. -G”Visual Studio 14 2015 Win64”
- Edit: For GPU support use command: C:\dev\cmake-3.6.2-win64-x64\bin\cmake.exe .. -G”Visual Studio 14 2015 Win64” -DPLUGIN_UPDATER_GPU=ON -DCUB_DIRECTORY=..\..\cub-1.6.4
C:\Program Files (x86)\MSBuild\14.0\Bin\msbuild.exe /t:Clean,Rebuild /p:Configuration=Release xgboost.sln

Done

Your xgboost files are now in the xgboost\build\Release directory.

Python

To configure the python wrapper follow these steps:

cp Release\libxgboost.dll ..\windows\x64\Release (create ..\windows\x64\Release if required)
cd ..\python-package
python setup.py install

Using the python wrapper

import xgboost
xr = xgboost.XGBRegressor()
xr.fit(X, y)
xr.predict(X_test)

How to build XGBoost on Windows - Now with GPU support