You bought/built a new PC and due to your work or personal preference, you use Windows 10. Congratulations on your new purchase! Also, I’m very sorry for all the trouble. Hopefully, this write-up will help you get your machine set up for XGBoost with CUDA.
First thing you should do is download and install Visual Studio Community 2019 and add the C++ build tools
Install Anaconda with Python 3.7
Next, install Mingw64, but create a new folder to install such as C:\mingw and then change the PATH to reflect this
Install CMAKE and allow CMAKE to set PATH
Install CUDA and make sure CUDA recognizes the VS2019 installation
Follow NVIDIA’s instructions to run the sample programs. Doing so will ensure that your PC recognizes CUDA, the GPU, and that CUDA is working correctly. Any errors during this phase must be fixed prior to trying to build XGBoost with GPU support from source.
Install Git for Windows
Open your Git command prompt and:
git clone --recursive https://github.com/dmlc/xgboost
git submodule init
git submodule update
cmake … --G"Visual Studio 16 2019" -DUSE_CUDA=ON
cmake --build . --config Release
python package install
If you have everything installed correctly and the PATH variables are correct then you will successfully build from source, XGBoost will be installed, and you’ll be heating up your room in no time!