I have compiled lightgbm with GPU support for python from sources following this guide http://lightgbm.readthedocs.io/en/latest/GPU-Windows.html
Test usage from console was succesful:
C:\github_repos\LightGBM\examples\binary_classification>"../../lightgbm.exe" config=train.conf data=binary.train valid=binary.test objective=binary device=gpu
[LightGBM] [Warning] objective is set=binary, objective=binary will be ignored. Current value: objective=binary
[LightGBM] [Warning] data is set=binary.train, data=binary.train will be ignored. Current value: data=binary.train
[LightGBM] [Warning] valid is set=binary.test, valid_data=binary.test will be ignored. Current value: valid=binary.test
[LightGBM] [Info] Finished loading parameters
[LightGBM] [Info] Loading weights...
Then I tried to import in Python with no luck. It import anaconda version without GPU support:
from sklearn.datasets import load_iris
iris = load_iris() 
import lightgbm as lgb 
lgtrain = lgb.Dataset(iris.data, iris.target)
lgb_clf = lgb.train(
        {
    'objective' : 'regression',
    'metric' : 'rmse',
    'num_leaves' : 350,
    #'max_depth': 14,
    'learning_rate' : 0.017,
    'feature_fraction' : 0.5,
    'bagging_fraction' : .8,
    'verbosity' : -1 ,
    'device' : 'gpu'
},
        lgtrain,
        num_boost_round=3500,
        verbose_eval=100
    )
LightGBMError: b'GPU Tree Learner was not enabled in this build. Recompile with CMake option -DUSE_GPU=1'
I believe I have to specify the location but how?
 
     
    