fix python windows installation problem, enable mingw compile, but seems mingw dll was not fast in loading

Makefile

@@ -4,6 +4,11 @@ export MPICXX = mpicxx
 export LDFLAGS= -pthread -lm 
 export CFLAGS = -Wall -O3 -msse2  -Wno-unknown-pragmas -fPIC
 
+ifeq ($(OS), Windows_NT)
+	export CXX = g++ -m64
+	export CC = gcc -m64
+endif
+
 ifeq ($(no_omp),1)
 	CFLAGS += -DDISABLE_OPENMP 
 else 
@@ -33,12 +38,20 @@ else
 	LIBDMLC=dmlc_simple.o
 endif
 
+ifeq ($(OS), Windows_NT)
+	LIBRABIT = subtree/rabit/lib/librabit_empty.a
+	SLIB = wrapper/xgboost_wrapper.dll
+else
+	LIBRABIT = subtree/rabit/lib/librabit.a
+	SLIB = wrapper/libxgboostwrapper.so
+endif
+
 # specify tensor path
 BIN = xgboost
 MOCKBIN = xgboost.mock
 OBJ = updater.o gbm.o io.o main.o dmlc_simple.o
 MPIBIN =
-SLIB = wrapper/libxgboostwrapper.so 
+TARGET = $(BIN) $(OBJ) $(SLIB)
 
 .PHONY: clean all mpi python Rpack
 
@@ -52,8 +65,8 @@ dmlc_simple.o: src/io/dmlc_simple.cpp src/utils/*.h
 gbm.o: src/gbm/gbm.cpp src/gbm/*.hpp src/gbm/*.h 
 io.o: src/io/io.cpp src/io/*.hpp src/utils/*.h src/learner/dmatrix.h src/*.h
 main.o: src/xgboost_main.cpp src/utils/*.h src/*.h src/learner/*.hpp src/learner/*.h 
-xgboost:  updater.o gbm.o io.o main.o subtree/rabit/lib/librabit.a $(LIBDMLC)
-wrapper/libxgboostwrapper.so: wrapper/xgboost_wrapper.cpp src/utils/*.h src/*.h src/learner/*.hpp src/learner/*.h  updater.o gbm.o io.o subtree/rabit/lib/librabit.a $(LIBDMLC)
+xgboost:  updater.o gbm.o io.o main.o $(LIBRABIT) $(LIBDMLC)
+wrapper/xgboost_wrapper.dll wrapper/libxgboostwrapper.so: wrapper/xgboost_wrapper.cpp src/utils/*.h src/*.h src/learner/*.hpp src/learner/*.h  updater.o gbm.o io.o $(LIBRABIT) $(LIBDMLC)
 
 # dependency on rabit
 subtree/rabit/lib/librabit.a: subtree/rabit/src/engine.cc
@@ -72,7 +85,7 @@ $(MOCKBIN) :
 	$(CXX) $(CFLAGS) -o $@ $(filter %.cpp %.o %.c %.cc %.a, $^) $(LDFLAGS) 
 
 $(SLIB) :
-	$(CXX) $(CFLAGS) -fPIC -shared -o $@ $(filter %.cpp %.o %.c %.a %.cc, $^) $(LDFLAGS) 
+	$(CXX) $(CFLAGS) -fPIC -shared -o $@ $(filter %.cpp %.o %.c %.a %.cc, $^) $(LDFLAGS) $(DLLFLAGS)
 
 $(OBJ) : 
 	$(CXX) -c $(CFLAGS) -o $@ $(firstword $(filter %.cpp %.c %.cc, $^) )

src/tree/updater_basemaker-inl.hpp

@@ -343,7 +343,9 @@ class BaseMaker: public IUpdater {
             // push to sketch
             sketch->temp.data[sketch->temp.size] =
                 utils::WXQuantileSketch<bst_float, bst_float>::
-                Entry(rmin, rmax, wmin, last_fvalue);
+                Entry(static_cast<bst_float>(rmin),
+			          static_cast<bst_float>(rmax),
+					  static_cast<bst_float>(wmin), last_fvalue);
             utils::Assert(sketch->temp.size < max_size,
                           "invalid maximum size max_size=%u, stemp.size=%lu\n",
                           max_size, sketch->temp.size);
@@ -377,7 +379,9 @@ class BaseMaker: public IUpdater {
         // push to sketch
         sketch->temp.data[sketch->temp.size] =
             utils::WXQuantileSketch<bst_float, bst_float>::
-            Entry(rmin, rmax, wmin, last_fvalue);
+            Entry(static_cast<bst_float>(rmin),
+			      static_cast<bst_float>(rmax),
+				  static_cast<bst_float>(wmin), last_fvalue);
         ++sketch->temp.size;
       }
       sketch->PushTemp();

src/tree/updater_histmaker-inl.hpp

@@ -525,7 +525,7 @@ class CQHistMaker: public HistMaker<TStats> {
     if (c[0].fvalue  == c[c.length-1].fvalue) {
       for (size_t i = 0; i < this->qexpand.size(); ++i) {
         const int nid = this->qexpand[i];
-        sbuilder[nid].sketch->Push(c[0].fvalue, sbuilder[nid].sum_total);
+        sbuilder[nid].sketch->Push(c[0].fvalue, static_cast<bst_float>(sbuilder[nid].sum_total));
       }
       return;
     }

src/tree/updater_skmaker-inl.hpp

@@ -217,7 +217,7 @@ class SketchMaker: public BaseMaker {
       for (size_t i = 0; i < this->qexpand.size(); ++i) {
         const int nid = this->qexpand[i];
         for (int k = 0; k < 3; ++k) {
-          sbuilder[3 * nid + k].sketch->Push(c[0].fvalue, sbuilder[3 * nid + k].sum_total);
+          sbuilder[3 * nid + k].sketch->Push(c[0].fvalue, static_cast<bst_float>(sbuilder[3 * nid + k].sum_total));
         }
       }
       return;

wrapper/setup.py

@@ -7,22 +7,26 @@ class XGBoostLibraryNotFound(Exception):
     pass
 
 
-cur_dir = os.path.dirname(os.path.abspath(__file__))
+curr_dir = os.path.dirname(os.path.abspath(__file__))
+dll_path = [curr_dir]
 
 if os.name == 'nt':
-    dll_path = os.path.join(cur_dir,
-                            '../windows/x64/Release/xgboost_wrapper.dll')
-else:
-    dll_path = os.path.join(cur_dir, 'libxgboostwrapper.so')
+    dll_path.append(os.path.join(curr_dir, '../windows/x64/Release/'))
 
-if not os.path.exists(dll_path):
+if os.name == 'nt':
+    dll_path = [os.path.join(p, 'xgboost_wrapper.dll') for p in dll_path]
+else:
+    dll_path = [os.path.join(p, 'libxgboostwrapper.so') for p in dll_path]
+
+lib_path = [p for p in dll_path if os.path.exists(p) and os.path.isfile(p)]
+
+if len(lib_path) == 0:
     raise XGBoostLibraryNotFound("XGBoost library not found. Did you run "
                                  "../make?")
-
 setup(name="xgboost",
       version="0.32",
       description="Python wrappers for XGBoost: eXtreme Gradient Boosting",
       zip_safe=False,
       py_modules=['xgboost'],
-      data_files=[dll_path],
+      data_files=[('.', [lib_path[0]])],
       url="https://github.com/dmlc/xgboost")

wrapper/xgboost.py

@@ -26,6 +26,8 @@ try:
 except ImportError:
     SKLEARN_INSTALLED = False
 
+class XGBoostLibraryNotFound(Exception):
+    pass
 
 __all__ = ['DMatrix', 'CVPack', 'Booster', 'aggcv', 'cv', 'mknfold', 'train']
 
@@ -36,14 +38,18 @@ else:
 
 
 def load_xglib():
-    dll_path = os.path.dirname(os.path.abspath(os.path.expanduser(__file__)))
-    if os.name == 'nt':
-        dll_path = os.path.join(dll_path, '../windows/x64/Release/xgboost_wrapper.dll')
-    else:
-        dll_path = os.path.join(dll_path, 'libxgboostwrapper.so')
+    curr_path = os.path.dirname(os.path.abspath(os.path.expanduser(__file__)))
+    dll_path = [curr_path]
+    dll_path.append(os.path.join(curr_path, '../windows/x64/Release/'))
 
-    # load the xgboost wrapper library
-    lib = ctypes.cdll.LoadLibrary(dll_path)
+    if os.name == 'nt':
+        dll_path = [os.path.join(p, 'xgboost_wrapper.dll') for p in dll_path]
+    else:
+        dll_path = [os.path.join(p, 'libxgboostwrapper.so') for p in dll_path]
+    lib_path = [p for p in dll_path if os.path.exists(p) and os.path.isfile(p)]
+    if len(dll_path) == 0:
+        raise XGBoostLibraryNotFound('cannot find find the files in the candicate path ' + str(dll_path))
+    lib = ctypes.cdll.LoadLibrary(lib_path[0])
 
     # DMatrix functions
     lib.XGDMatrixCreateFromFile.restype = ctypes.c_void_p
@@ -762,12 +768,16 @@ def cv(params, dtrain, num_boost_round=10, nfold=3, metrics=(),
     return results
 
 
+# used for compatiblity without sklearn
 XGBModelBase = object
+XGBClassifier = object
+XGBRegressor = object
 if SKLEARN_INSTALLED:
     XGBModelBase = BaseEstimator
+    XGBRegressor = RegressorMixin
+    XGBClassifier = ClassifierMixin
 
-
-class XGBModel(BaseEstimator):
+class XGBModel(XGBModelBase):
     """
     Implementation of the Scikit-Learn API for XGBoost.
 
@@ -844,7 +854,7 @@ class XGBModel(BaseEstimator):
         return self._Booster.predict(testDmatrix)
 
 
-class XGBClassifier(XGBModel, ClassifierMixin):
+class XGBClassifier(XGBModel, XGBClassifier):
     def __init__(self, max_depth=3, learning_rate=0.1, n_estimators=100, silent=True, objective="binary:logistic", 
                  nthread=-1, gamma=0, min_child_weight=1, max_delta_step=0, subsample=1, colsample_bytree=1, 
                  base_score=0.5, seed=0):
@@ -895,5 +905,5 @@ class XGBClassifier(XGBModel, ClassifierMixin):
             return np.vstack((classzero_probs, classone_probs)).transpose()
 
 
-class XGBRegressor(XGBModel, RegressorMixin):
+class XGBRegressor(XGBModel, XGBRegressor):
     pass

wrapper/xgboost_wrapper.h

@@ -6,7 +6,7 @@
  * \brief a C style wrapper of xgboost
  *  can be used to create wrapper of other languages
  */
-#ifdef _MSC_VER
+#if defined(_MSC_VER) || defined(_WIN32)
 #define XGB_DLL __declspec(dllexport)
 #else
 #define XGB_DLL