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Installation on Windows - compiling from sources
Building CasADi from sources of Windows is difficult and we do not recommend this option for non-expert users. If you need CasADi on a Windows computer, your best bet is to use the binary installers for Python that have been tested to work successfully on both 32 and 64-bit systems. If using the prebuilt binaries is not an option for you (e.g. if you plan to use CasADi from C++ or if you need special solvers that are not available in the binary distribution), your second best bet is probably to install a Ubuntu 14.04 Virtualbox and then follow the installation instructions for Linux, either using the BinaryInstallationLinux or building from sources.
That being said, if you are sure that you want to build CasADi on a Windows machine, there are a number of different ways to proceed. The way we recommend is to compile the tool with the MinGW compiler using MSYS. The easiest way to do this is using JModelica.org's software development kit (SDK). Follow the instructions on their website. The JModelica.org SDK will require you to install Python. If you choose to install Python(x,y), then you will get a complete Python installation with all the packages that you will need to get started, including the recommended Python IDE Spyder.