/bin/sh: clang-omp++: command not found

When you install XGBoost with "pip install xgboost", you might encounter the following error:

    /bin/sh: clang-omp++: command not found
    make: *** [build/learner.o] Error 127
    make: *** Waiting for unfinished jobs....

Doing as follows works for me:

brew install gcc@5
pip install xgboost

Reference:
https://github.com/dmlc/xgboost/issues/1501#issuecomment-292209578