[BUG] sktime Installation fails on Windows 10 due to OpenMP error

Describe the bug When following the steps from https://www.sktime.org/en/latest/installation.html#windows, the installer complains that the folder /openmp is not accessible and quits.

Currently, I have

To Reproduce

1. Follow steps one thru six of the attached documentation link.
2. Before running pip install --verbose, run conda install fbprophet. If I don’t do this, I get weird errors related to sklearn not being installed, although it is
3. Face the issue.

Expected behavior Installation of sktime and allowing to run the tests. This works fine using WSL2 on the same machine.

Additional context Disabling usage of openmp with the SKTIME_NO_OPENMP flag does allow the installation to take place, but when running tests, a whole slew of issues arise with numpy during test case collection.

Versions

System: python: 3.8.6 | packaged by conda-forge | (default, Jan 25 2021, 22:54:47) [MSC v.1916 64 bit (AMD64)] executable: C:\Users\Luis\anaconda3\envs\sktime2\python.exe machine: Windows-10-10.0.18362-SP0

Python dependencies: pip: 20.2.4 setuptools: 49.6.0.post20210108 sklearn: 0.23.2 sktime: 0.5.3 statsmodels: 0.12.2 numpy: 1.20.1 scipy: 1.6.0 Cython: 0.29.17 pandas: 1.1.5 matplotlib: 3.3.4 joblib: 1.0.1 numba: 0.52.0 pmdarima: 1.8.0 tsfresh: 0.17.0

[luiszugasti]

@afzal442 so what I did was I tried to re-install on WSL2 because I remember the process was pretty easy. To make a long story short it turned out to be a little bit confusing.

I want to test this out further to see if there’s some form of regression between different python versions starting from python 3.5.

Here are the steps (along with a few observations I encountered). My requirements.txt can be found here.

Here goes: 0. Create an environment in python3.8 mkvirtualenv "name_of_your_package" -p python3.8

1. install pre-commit with pip install pre-commit
2. checked out master (as per steps 1-4 of the instructions)
3. pip install cython -> cython-0.29.22 (as per the reqs in the setup.py script)
4. I already have the compilers for linux. So, I install numpy, scipy and cython.
5. Go ahead to running pip install --editable .
6. Go ahead and install the build tools pip install -r build_tools/requirements.txt. It uninstalls cython, numpy, pandas, and scipy from the previous step, which is silly
7. Install docs too. pip install -r docs/requirements.txt
8. Run tests. If when running the tests you get an error from a Cython module complaining about size 88 being provided when 80 was expected, do the following:
   • take requirements.txt from my gist, install them with pip install -r requirements.txt
   • Then instal the editable environment again. This will remove any stale packages (I think).

All tests will then run fine and docs will be able to be built.

[aiwalter]

@luiszugasti pls check #666 of how to install fbprophet on Windows, at least that is one way that works 😃