<p>I don't think it's too complicated, ugly for sure if you come from linux, but it's a pretty standard method ot handle things with windows "compilers", and for (b) that's a job of the continuous integration.</p>

<p>Unfortunately, this is only implemented for native windows tools, maybe you'll want to try this (with cmake -DCMAKE_BUILD_SHARED_LIBS=ON):</p>

<pre><code>add_library(mlpack ${MLPACK_SRCS})
set_target_properties(mlpack PROPERTIES WINDOWS_EXPORT_ALL_SYMBOLS ON)
</code></pre>

<p>As for mingw, turns out I can generate dlls with "--export-all-symbols" linker flag.</p>

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