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Reference:http://gmt.soest.hawaii.edu/projects/gmt/wiki/BuildingGMT#Cygwin
Reference:http://trac.osgeo.org/gdal/wiki/BuildingOnUnix
Reference: 'http://gmt.soest.hawaii.edu/projects/gmt/wiki/BuildingGMT#Building-GMT-from-source'

Step-by-step guide

Install the following packages using the cygwin installer. 

cmake, fftw, fftw-devel, gcc, g++, ghostscript, gv, libnetcdf7, libnetcdf-devel, libpcre, libpcre-devel, make, openssh, subversion, xinit, zlib, zlib-devel

Set the environmental variable HDF5_DISABLE_VERSION_CHECK=2 by adding the following line to the '.bashrc' file in the cygwin home folder (Omitting this step will cause an error):

export HDF5_DISABLE_VERSION_CHECK=2

Download the latest stable 'gdal' source code from 'http://download.osgeo.org/gdal', and extract it to a temporary folder (e.g. '$HOME/builds/'), and run the following commands:

cd $HOME/builds/gdal-x.x.x (x.x.x is the version)
./configure --prefix=$HOME/opt/gdal-x.x.x
make
make install

Download the latest stable GMT source code from 'http://gmt.soest.hawaii.edu/projects/gmt/wiki/Download', along with 'gshhg-gmt' and 'dcw-gmt', and extract the source codes into a temporary build folder (e.g. '$HOME/builds/').

In the GMT source folder, copy cmake/ConfigUserTemplate.cmake to cmake/ConfigUser.cmake and edit the file. For example:

set (CMAKE_INSTALL_PREFIX "/home/<username>/opt/gmt5")
set (GSHHG_ROOT "/home/<username>/builds/gshhg-gmt-2.3.4")
set (COPY_GSHHG TRUE)
set (DCW_ROOT "/home/<username>/builds/dcw-gmt-1.1.2")
set (COPY_DCW TRUE)
set (GDAL_ROOT "/home/<username>/opt/gdal-2.0.1")

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Build and install GMT:

cd <path to GMT source>
mkdir build
cd build
cmake ..
make
make install

Set up the PATH environmental variables for GMT and GDAL by adding the following line in '.bashrc' file in the cygwin home folder:

export PATH=$PATH:$HOME/opt/gmt5/bin:$HOME/opt/gdal-2.0.1/bin

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