Anyone got luck trying to install GPU support for lightgbm on Google Collab using the Notebooks there ?
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Very simple: just run
!pip install lightgbm --install-option=--gpu
or
pip install lightgbm --install-option=--gpu --install-option="--opencl-include-dir=/usr/local/cuda/include/" --install-option="--opencl-library=/usr/local/cuda/lib64/libOpenCL.so"
Remember to enable GPU support in your notebook and add'device':'gpu'
in the lightgbm setting. And don't forget to uninstall the version of lightgbm that don't support gpu version first.

JP Zhang
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8This solution works (Sep, 2020) on Google Colab...the other one has some issues - I struggled with that for a while as it's the method suggested in the lightgbm installation docs. I would like to just highlight the fact that you have to uninstall existing lightgbm package. Colab also caches packages, so you may have to restart runtime to make sure the newly-installed lightgbm is being imported, and not the old one. – rahulv88 Sep 01 '20 at 16:17
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make sure you followed the installation steps correctly
!git clone --recursive https://github.com/Microsoft/LightGBM
%cd LightGBM
!mkdir build
%cd build
!cmake ../../LightGBM
!make -j4
after this you have to execute the setupfile in LightGBM folder
%cd LightGBM/python-package
!python3 setup.py install --gpu
Once thats done , you're all set. ps: make sure you have cmake installed, if not just
!pip install cmake

zsfVishnu
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Most of it was following the documentation provided here, with two small tweaks to make it work on Google Colab.
Since the instances are renewed after 12 hours of usage, I post this at the beginning of my notebook to reinstall GPU support with lightgbm :
!apt-get -qq install --no-install-recommends nvidia-375
!apt-get -qq install --no-install-recommends nvidia-opencl-icd-375 nvidia-opencl-dev opencl-headers
!apt-get -qq install --no-install-recommends git cmake build-essential libboost-dev libboost-system-dev libboost-filesystem-dev
!pip3 install -qq lightgbm --install-option=--gpu

Propanon
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Don't forget to "Runtime" -> "Change runtime type" -> Select "GPU" as HW Accelerator. To check if the GPU is there and also to see running jobs: !nvidia-smi – Phlogi Apr 15 '20 at 06:30