Continuous integration is the process of "software integration" continuously, as often as possible (ultimately, after each set of changes) in order to avoid large-bang integration and all subsequent problems, receiving immediate feedback.
To implement Continuous Integration, you first need to automate the assembly of your software (where the build tools, of course, compile the sources, package them, but also compile the tests, perform the tests, check the quality, etc., all that will help to get feedback about the health of your code). Then you need to call the assembly on the latest version of the sources on a specific event (a change in the repository, a temporary event) to create reports and send notifications in case of failure (by mail, twitter, etc.).
And this is precisely the duty of the CI mechanism: to offer trigger mechanisms, to get the latest version of sources, start assembly, generate and publish reports, send notifications. CI engines implement this.
And since assembly startup is the intensity of the processor and disk, CI engines usually run on a dedicated machine (or even a farm of machines if you want to build many projects).
Let's get back to your question now. Once you start Hudson, configure it ( Manage Hudson> Configure System ): configure JDK, build tools, etc. Then set up the Hudson Job and follow the steps: set up the location of the source repository, build tool, trigger, notification channel, and you're done (you can do more complicated things, but this is the beginning).
For more configuration information, check:
Pascal thivent
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