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Clone the local repo at:
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Follow these instructions to install OpenMP enabled compiler on your system: https://github.com/Rdatatable/data.table/wiki/Installation#openmp-enabled-compiler-for-mac
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Compile the xgboost C++ libraries with: make -j4
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Compile the xgboost R-package with: make Rbuild
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Install the final source package with: R CMD INSTALL ./xgboost_0.6.4.6.tar.gz
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Alternatively, can use: install.packages("/Users/olegsofrygin/GoogleDrive/Alex_SDR/xgboost/xgboost_0.6.4.6.tar.gz", repos = NULL)