The first sentences of the answer did not work for me and left me the same error as the original question.
If I assume that your complete error message looks something like this:
C:\Users\Matt\xgboost\python-package>python setup.py install Traceback (most recent call last): File "setup.py", line 19, in <module> LIB_PATH = [os.path.relpath(libfile, CURRENT_DIR) for libfile in libpath['find_lib_path']()] File "xgboost/libpath.py", line 49, in find_lib_path 'List of candidates:\n' + ('\n'.join(dll_path))) XGBoostLibraryNotFound: Cannot find XGBoost Library in the candidate path, did you install compilers and run build.sh in root path? List of candidates: C:\Users\Matt\xgboost\python-package\xgboost\xgboost.dll C:\Users\Matt\xgboost\python-package\xgboost\../../lib/xgboost.dll C:\Users\Matt\xgboost\python-package\xgboost\./lib/xgboost.dll C:\Users\Matt\AppData\Local\Programs\Python\Python35\xgboost\xgboost.dll C:\Users\Matt\xgboost\python-package\xgboost\../../windows/x64/Release/xgboost.dll C:\Users\Matt\xgboost\python-package\xgboost\./windows/x64/Release/xgboost.dll
then the solution has the form
1) Get / find / download the library that setup.py is looking for. Locate the xgboost folder for the .dll files. See if you can find something like xgboost.dll , which can be called libxgboost.dll . If you can, go to step 2. If you cannot find it, download it here.
2) Copy the .dll file to the xgboost / python-package / xgboost folder. If this .dll is not called xgboost.dll (i.e. if it is called libxgboost.dll), change it to xgboost.dll
3) Run the commands as indicated in Gustavo's answer. Please note that they are designed to work from Git Bash.
If you want more nutshell tutorial, this was the best I have found.
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