Building Erik Quaeghebeur's cython interface to GLPK cyglpki (https://github.com/equaeghe/ecyglpki)
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Tested with 64 bit Anaconda on Windows 8.1

First grab the source zipo from GitHub e.g.:

 https://github.com/equaeghe/ecyglpki/tree/37.1-0.22

and unpack it into a working directory (in this case d:/work)

Next grab the glpk source from http://ftp.gnu.org/gnu/glpk/

 http://ftp.gnu.org/gnu/glpk/glpk-4.55.tar.gz
 
and unpack it into the same directory

open a terminal and change directory to the ecyglpki-37.1-0.22 directory
note the work directory here should be changed to wherever you installed glpk. Run::

 python setup.py build
 
this will fail with the error:

 ecyglpki.c:247:18: fatal error: glpk.h: No such file or directory
 compilation terminated.
 error: command 'C:\\Anaconda\\Scripts\\gcc.bat' failed with exit status 1

never fear, now run this and it should work::

 python setup.py build build_ext -n -I/work/glpk-4.55/src build
 
if that is successful then run the following to install it::

 python setup.py build build_ext -n -I/work/glpk-4.55/src install bdist_wininst sdist
 
Alternatively you can download the unofficial windows binary from
 
 https://sourceforge.net/projects/cbmpy/files/tools/ecyglpki
 
Brett, Amsterdam 2015