Build LightGBM with GPU support

official tutorial

1) Build LightGBM

git clone --recursive https://github.com/Microsoft/LightGBM
cd LightGBM
mkdir build ; cd build
cmake -DUSE_GPU=1 -DOpenCL_LIBRARY=/usr/local/cuda/lib64/libOpenCL.so -DOpenCL_INCLUDE_DIR=/usr/local/cuda/include/ ..
make -j$(nproc)
cd ..

2) Install Python Interface (optional)

source activate pyenv
cd python-package/
python setup.py install --precompile
cd ..

Here pyenv is virtual environment created by conda create,  and setuptools numpy scipy scikit-learn have been here.