git clone --recursive https://github.com/dmlc/xgboost
cd xgboost
make -j4
cd python-package
sudo python setup.py install
sudo apt-get install python-setuptools
export PYTHONPATH=~/xgboost/python-package
#test
python
>>import xgboost
>>

上面只支援CPU，有時候跑程式有點慢，可以試試GPU
GPU編譯版

git clone --recursive https://github.com/dmlc/xgboost
 

cd xgboost
mkdir build
cd build
cmake .. -DPLUGIN_UPDATER_GPU=ON
make -j
cd python-package
sudo python setup.py install
sudo apt-get install python-setuptools
export PYTHONPATH=~/xgboost/python-package
#test
python
>>import xgboost
>>