Building XGBoost from source on Windows 10 with GPU support

!git clone --recursive https://github.com/Microsoft/LightGBM
%cd /content/LightGBM
!mkdir build
!cmake -DUSE_GPU=1
!make -j$(nproc)
!sudo apt-get -y install python-pip
!sudo -H pip install setuptools pandas numpy scipy scikit-learn -U
%cd /content/LightGBM/python-package
!sudo python setup.py install --precompile

This is what I use on colab

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