How to install xgboost package in python (windows platform)?

I installed XGBoost successfully in Windows 8 64bit, Python 2.7 with Visual Studio 2013 (don't need mingw64)

Updated 15/02/2017

With newer version of XGBoost, here are my steps

Step 1. Install cmake https://cmake.org/download/

Verify cmake have been installed successfully

$ cmake
Usage

cmake [options] <path-to-source>
cmake [options] <path-to-existing-build>
...

Step 2. Clone xgboost source

$ git clone https://github.com/dmlc/xgboost xgboost_dir

Step 3. Create Visual Studio Project

$ cd xgboost_dir
$ mkdir build
$ cd build
$ cmake .. -G"Visual Studio 12 2013 Win64"

Step 4. Build Visual Studio 2013 project

• Open file xgboost_dir/build/ALL_BUILD.vcxproj with Visual Studio 2013
• In Visual Studio 2013, open BUILD > Configuration Manager...
  • choose Release in Active solution configuration
  • choose x64 in Active solution platform
• Click BUILD > Build Solution (Ctrl + Shift +B)

After build solution, two new files libxgboost.dll and xgboost.exe are created in folder xgboost_dir/lib

Step 5. Build python package

• Copy file libxgboost.dll to xgboost_dir/python-package
• Change directory to xgboost_dir/python-package folder
• Run command python setup.py install

Verify xgboost have been installed successfully

$ python -c "import xgboost"

Old Answer

Here are my steps:

1. git clone https://github.com/dmlc/xgboost
2. git checkout 9bc3d16
3. Open project in xgboost/windows with Visual Studio 2013
4. In Visual Studio 2013, open BUILD > Configuration Manager...,
   • choose Release in Active solution configuration
   • choose x64 in Active solution platform
5. Rebuild xgboost, xgboost_wrapper
6. Copy all file in xgboost/windows/x64/Release folder to xgboost/wrapper
7. Go to xgboost/python-package, run command python setup.py install
8. Check xgboost by running command python -c "import xgboost"

Note that as of the most recent release the Microsoft Visual Studio instructions no longer seem to apply as this link returns a 404 error:

https://github.com/dmlc/xgboost/tree/master/windows

You can read more about the removal of the MSVC build from Tianqi Chen's comment here.

So here's what I did to finish a 64-bit build on Windows:

1. Download and install MinGW-64: http://sourceforge.net/projects/mingw-w64/
2. On the first screen of the install prompt make sure you set the Architecture to x86_64 and the Threads to win32
3. I installed to C:\mingw64 (to avoid spaces in the file path) so I added this to my PATH environment variable: C:\mingw64\mingw64\bin
4. I also noticed that the make utility that is included in bin\mingw64 is called mingw32-make so to simplify things I just renamed this to make
5. Open a Windows command prompt and type gcc. You should see something like "fatal error: no input file"
6. Next type make. You should see something like "No targets specified and no makefile found"
7. Type git. If you don't have git, install it and add it to your PATH.

These should be all the tools you need to build the xgboost project. To get the source code run these lines:

1. cd c:\
2. git clone --recursive https://github.com/dmlc/xgboost
3. cd xgboost
4. git submodule init
5. git submodule update
6. cp make/mingw64.mk config.mk
7. make -j4

Note that I ran this part from a Cygwin shell. If you are using the Windows command prompt you should be able to change cp to copy and arrive at the same result. However, if the build fails on you for any reason I would recommend trying again using cygwin.

If the build finishes successfully, you should have a file called xgboost.exe located in the project root. To install the Python package, do the following:

1. cd python-package
2. python setup.py install

Now you should be good to go. Open up Python, and you can import the package with:

import xgboost as xgb

To test the installation, I went ahead and ran the basic_walkthrough.py file that was included in the demo/guide-python folder of the project and didn't get any errors.

In case anyone's looking for a simpler solution that doesn't require compiling it yourself:

1. download xgboost whl file from here (make sure to match your python version and system architecture, e.g. "xgboost-0.6-cp35-cp35m-win_amd64.whl" for python 3.5 on 64-bit machine)
2. open command prompt
3. cd to your Downloads folder (or wherever you saved the whl file)
4. pip install xgboost-0.6-cp35-cp35m-win_amd64.whl (or whatever your whl file is named)

If you find it won't install because of a missing dependency, download and install the dependency first and retry.

If it complains about access permissions, try opening your command prompt as Administrator and retry.

This gives you xgboost and the scikit-learn wrapper, and saves you from having to go through the pain of compiling it yourself. :)