Add Appveyor for windows CI (#634)

* add appveyor

* add nuget and artifacts

* Update appveyor.yml

* remove python27 test

README.md

@@ -1,6 +1,7 @@
 LightGBM, Light Gradient Boosting Machine
 =========================================
 [![Build Status](https://travis-ci.org/Microsoft/LightGBM.svg?branch=master)](https://travis-ci.org/Microsoft/LightGBM)
+[![Windows Build status](https://ci.appveyor.com/api/projects/status/1ys5ot401m0fep6l/branch/master?svg=true)](https://ci.appveyor.com/project/guolinke/lightgbm/branch/master)
 [![Documentation Status](https://readthedocs.org/projects/lightgbm/badge/?version=latest)](http://lightgbm.readthedocs.io/)
 
 LightGBM is a gradient boosting framework that uses tree based learning algorithms. It is designed to be distributed and efficient with the following advantages:

appveyor.yml

@@ -0,0 +1,34 @@
+
+version: 1.0.{build}
+environment:
+  matrix:
+    - PYTHON: "C:/Python36-x64"
+      PYTHON_VERSION: 3.6
+      MINICONDA: "C:/Miniconda36-x64"
+
+clone_depth: 50
+
+init:
+  - "ECHO %PYTHON_VERSION% %MINICONDA%"
+
+install:
+  - "set PATH=%MINICONDA%;%MINICONDA%/Scripts;%PATH%"
+  - conda config --set always_yes yes --set changeps1 no
+  - conda update -q conda
+  - conda info -a
+  - conda install --yes numpy scipy scikit-learn pandas matplotlib
+  - pip install pep8 pytest
+  
+build_script:
+  - mkdir build && cd build
+  - cmake -DCMAKE_GENERATOR_PLATFORM=x64 .. && cmake --build . --target ALL_BUILD --config Release
+  - cd ../python-package && python setup.py install && cd ..
+  - pytest tests/c_api_test/test.py
+  - pytest tests/python_package_test
+  - pep8 --ignore=E501 --exclude=./compute,./docs .
+
+nuget:
+  project_feed: true
+artifacts:
+- path: Release/lib_lightgbm.dll
+  name: Library

tests/c_api_test/test.py

@@ -2,18 +2,41 @@
 # pylint: skip-file
 import ctypes
 import os
+import sys
 
 import numpy as np
 import pytest
 from scipy import sparse
 
 
-def LoadDll():
+def find_lib_path():
+    if os.environ.get('LIGHTGBM_BUILD_DOC', False):
+        # we don't need lib_lightgbm while building docs
+        return []
+
+    curr_path = os.path.dirname(os.path.abspath(os.path.expanduser(__file__)))
+    dll_path = [curr_path, os.path.join(curr_path, '../../lib/'),
+                os.path.join(curr_path, '../../'),
+                os.path.join(curr_path, './lib/'),
+                os.path.join(sys.prefix, 'lightgbm')]
     if os.name == 'nt':
-        lib_path = os.path.join(os.path.dirname(os.path.realpath(__file__)), '../../windows/x64/DLL/lib_lightgbm.dll')
+        dll_path.append(os.path.join(curr_path, '../../Release/'))
+        dll_path.append(os.path.join(curr_path, '../../windows/x64/DLL/'))
+        dll_path = [os.path.join(p, 'lib_lightgbm.dll') for p in dll_path]
     else:
-        lib_path = os.path.join(os.path.dirname(os.path.realpath(__file__)), '../../lib_lightgbm.so')
-    lib = ctypes.cdll.LoadLibrary(lib_path)
+        dll_path = [os.path.join(p, 'lib_lightgbm.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 not lib_path:
+        dll_path = [os.path.realpath(p) for p in dll_path]
+        raise Exception('Cannot find lightgbm Library in following paths: ' + ','.join(dll_path))
+    return lib_path
+
+
+def LoadDll():
+    lib_path = find_lib_path()
+    if len(lib_path) == 0:
+        return None
+    lib = ctypes.cdll.LoadLibrary(lib_path[0])
     return lib