Why ImportError: No module named lightgbm

For Windows users, VC runtime <https://go.microsoft.com/fwlink/?LinkId=746572> is needed if Visual Studio (2015 or 2017) is not installed.

Install wheel <http://pythonwheels.com> via pip install wheel first. After that download the wheel file and install from it:

pip install lightgbm

conda install -c conda-forge lightgbm solved the problem for me you need just run in a notebook cell before importing

Besides running those linux command lines. I also need to go to /python-package then run 'python setup.py install'.

I had the same problem, and solved running the installation directly on the notebook

!pip install lightgbm