(0) The premise is, you have to download good anaconda, and install it, my following (Python3 Windows 64 bit)
Https://repo.continuum.io/archive/Anaconda3-4.4.0-Windows-x86_64.exe
(1) Download Xgboost source code (here directly with the official latest source code, here we do not need to use Git clone--recursive, because the use of a compiled DLL, so do not need to download so complete, only need to python-package complete), You can download the source code via the link below.
Https://github.com/dmlc/xgboost/archive/master.zip
(3) Unzip the download Good source code
After unpacking, go to the folder and locate the Master\python-package\xgboost directory.
(4) Download the compiled xgboost library file under Windows
Select the latest compiled DLL, that is, the current source code corresponding to the day of the DLL
Everyone, on the page: Http://ssl.picnet.com.au/xgboost/20180515/x64/xgboost.dll
Select the latest compiled DLL, because the latest DLL is more adaptable to the Xgboost source code.
After downloading, put this library file into the Master\python-package\xgboost directory.
Note: If you have nvidia GPU, you can download Http://ssl.picnet.com.au/xgboost/20170610/x64_gpu/libxgboost.dll, this is the GPU version of the dynamic link library
(5) Install xgboost can be
Enter the Master\python-package directory and execute the following command line
Python setup.py Install
Note that Python here must use the anaconda below Python.exe to set the environment variables or not use the NumPy library contained in Anaconda.
You can complete the installation
How to install the Xgboost library under Windows