The installation instructions are exactly the same as in the Installing XGBoost For Anaconda on Windows except Step 10 since the name of the DLL created is libxgboost.dll but the Python Module expects the dll of the name xgboost.dll.

Step 1 : Install Anaconda

Step 2 : Install Git on Windows

Step 3 : Launch Git Bash window

Step 4 : The directory in which the code is to be installed in my case is D:\XGBoostCode

cd D:/XGBoostCode

Step 5:

git clone --recursive https://github.com/dmlc/xgboost
cd xgboost
git submodule init
git submodule update

Build Preparation
The steps are performed to download the MinGW-64 for building the XGBoost code.

Step 6 : Download MinGW-W64-install.exe

Step 7 :

• Click on the installer.

• Select the x86_64 item in the architecture menu
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• Then click Next

• Changed the installation directory to D:/MinGW-W64.

• The make command and the runtime libraries are in this directory (look for the directory that contains mingw32-make).The files are downloaded in D:/MinGW-W64/mingw64/bin.

• Add this path to the Windows PATH variable.

Step 8 : Then close the Git Bash terminal, and launch it again. This will take into account the new Path variable. To check you are fine, type the following

which mingw32-make

This should return the path D:/MinGW-W64/mingw64/bin/mingw32-make

To make our life easier, let us alias it as follows:

alias make='mingw32-make'

Build XGBoost

Step 8 :Navigate to the directory where the XGBoost code exists. In my case it is D:/XGBoostCode/xgboost

cd  D:/XGBoostCode/xgboost

Step 9 : Build the XGBoost code

$ cd dmlc-core
$ make -j4
$ cd ../rabit
$ make lib/librabit_empty.a -j4
$ cd ..
$ cp make/mingw64.mk config.mk
$ make -j4

The Build should produce the libraries libxgboost.dll in D:\XGBoostCode\xgboost\lib

Step 10 : Rename libxgboost.dll to xgboost.dll

Install Python Module
Step 11 :
Navigate to the python-package location.

cd D:/XGBoostCode/xgboost/python-package

python setup.py install

END.