Required by Armadillo: sudo apt-get install libblas-dev liblapack-dev

Install armadillo using package manager

sudo apt-get install libarmadillo-dev

Install doxygen (optional)

sudo apt-get install doxygen graphviz

Clone mlpack:

git clone https://github.com/mlpack/mlpack.git
# checkout the latest branch
git checkout 4.2.0

or download the archive from Github repo

Build mlpack:

mkdir build && cd build
cmake -DDOWNLOAD_DEPENDENCIES=ON -DCMAKE_INSTALL_PREFIX=./installdir -DDEBUG=ON ..
make install