The `cd ..;` in the one liner takes you up a directory instead of into the xgboost directory. This will cause that step of the installation to fail. It seems like you are meant to enter the xgboost directory as you did in the instructions for installing xgboost without openmp.
The document of xgboost is generated with recommonmark and sphinx. You can build it locally by typing "make html" in this folder. - clone https://github.com/tqchen/recommonmark to root - type make html Checkout https://recommonmark.readthedocs.org for guide on how to write markdown with extensions used in this doc, such as math formulas and table of content.