For those who wish to build with LLVM (clang++)

[dezzeus]

I already have LLVM 5 installed on my MacOS system with Homebrew, so I didn't really need GCC, but OpenMP doesn't get recognized when you try to build issuing Cmake with
-DCMAKE_CXX_COMPILER=$(which clang++), (please note that I've never used Cmake before) so I managed to get it work by editing the following lines in CMakeLists.txt:

Lines 17–19 (OpenMP flags hard-coded):

# require support of OpenMP
#find_package(OpenMP REQUIRED)
#set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} ${OpenMP_CXX_FLAGS}")
set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} -L/usr/local/opt/llvm/lib -I/usr/local/opt/llvm/lib/clang/5.0.0/include -fopenmp")

Line 28 (I have removed the unneeded -Wa,-q at the end):

# Compiler flags
if(${CMAKE_SYSTEM_NAME} MATCHES "Darwin")
set(CMAKE_CXX_FLAGS_RELEASE "${CMAKE_CXX_FLAGS_RELEASE} -std=c++11 -Wall -march=native -mtune=native")

I hope that this may be of help for someone else… (until someone else more skilled in Cmake provides a patch).

(Both the training and testing phases of the README worked on a fold of Microsoft's LETOR 3 dataset "Ohsumed"; I haven't tested it any further for the moment)