Step 1: Download XGBoost and its dependencies, and then build XGBoost
./download_and_build_xgboost.sh
When completed, the resulting XGBoost can be found in xgboost_src directory.
Step 2: To train data with XGBoost in a single process, run
make test
Step 3: To train data with a two-node XGBoost cluster, run
make test-local-cluster
Step 4 (Optional): To train data with XGBoost in a single process in Linux, run
make test-native