diff --git a/.ci/test_windows.ps1 b/.ci/test_windows.ps1
index fd0e9f95a5e4..04c786488f7c 100644
--- a/.ci/test_windows.ps1
+++ b/.ci/test_windows.ps1
@@ -52,6 +52,57 @@ elseif ($env:TASK -eq "bdist") {
   python setup.py bdist_wheel --plat-name=win-amd64 --universal ; Check-Output $?
   cd dist; pip install @(Get-ChildItem *.whl) ; Check-Output $?
   cp @(Get-ChildItem *.whl) $env:BUILD_ARTIFACTSTAGINGDIRECTORY
+} elseif ($env:TASK -eq "bdist_opencl") {
+  # Get the OpenCL headers
+  curl -o opencl_headers.zip https://github.com/KhronosGroup/OpenCL-Headers/archive/v2020.03.13.zip
+  Expand-Archive opencl_headers.zip
+  
+  # Build the OpenCL ICD so we have a OpenCL.lib
+  git clone https://github.com/KhronosGroup/OpenCL-ICD-Loader
+  cd OpenCL-ICD-Loader
+  git checkout v2020.03.13
+  cp -r ..\opencl_headers\OpenCL-Headers-2020.03.13\CL inc
+  mkdir build
+  cd build
+  cmake -G "Visual Studio 15 2017" ..
+  cd ..
+  $msbuildarglist = "/p:Configuration=Release build\OpenCL.vcxproj"
+  $return = Start-Process C:\Program Files (x86)\Microsoft Visual Studio\2017\Enterprise\MSBuild\15.0\Bin\msbuild -ArgumentList $msbuildarglist -Wait -passthru
+  If (@(0,3010) -contains $return.exitcode) {
+    Write-Output "OpenCL ICD build successful"
+  } else {
+    Write-Output "OpenCL ICD build failed, aborting"
+    exit 1
+  }
+  cd ..
+
+  # The Intel CPU runtime, so we can run OpenCL code
+  curl -o opencl_runtime_18.1_x64_setup.msi http://registrationcenter-download.intel.com/akdlm/irc_nas/vcp/13794/opencl_runtime_18.1_x64_setup.msi
+  $msiarglist = "/i opencl_runtime_18.1_x64_setup.msi /quiet /norestart /log msi.log"
+  $return = Start-Process msiexec -ArgumentList $msiarglist -Wait -passthru
+  Get-Content msi.log
+  If (@(0,3010) -contains $return.exitcode) {
+    Write-Output "OpenCL install successful"
+  } else {
+    Write-Output "OpenCL install failed, aborting"
+    exit 1
+  }
+  Write-Output "Current OpenCL drivers:"
+  Get-ItemProperty -Path Registry::HKEY_LOCAL_MACHINE\SOFTWARE\Khronos\OpenCL\Vendors
+  $env:LGBM_GPU = "1"
+  $env:LGBM_BOOST_ROOT = "$env:BOOST_ROOT_1_72_0"
+  echo "BOOST: $env:LGBM_BOOST_ROOT"
+  $env:LGBM_OPENCL_INCLUDE_DIR = "$pwd\opencl_headers\OpenCL-Headers-2020.03.13\"
+  $env:LGBM_OPENCL_LIBRARY = "$PWD\OpenCL-ICD-Loader\build\Release\OpenCL.lib"
+  # Set default device to GPU:
+  cd $env:BUILD_SOURCESDIRECTORY
+  (Get-Content include\LightGBM\config.h).replace('std::string device_type = "cpu";', 'std::string device_type = "gpu";') | Set-Content include\LightGBM\config.h
+  # Build the wheel:
+  cd $env:BUILD_SOURCESDIRECTORY/python-package
+  python setup.py bdist_wheel --plat-name=win-amd64 --universal ; Check-Output $?
+  cd dist; pip install @(Get-ChildItem *.whl) ; Check-Output $?
+  Get-ChildItem *.whl | Rename-Item -NewName { $_.Name -replace 'lightgbm-','lightgbm-opencl-' }
+  cp @(Get-ChildItem *.whl) $env:BUILD_ARTIFACTSTAGINGDIRECTORY
 } elseif (($env:APPVEYOR -eq "true") -and ($env:TASK -eq "python")) {
   cd $env:BUILD_SOURCESDIRECTORY\python-package
   if ($env:COMPILER -eq "MINGW") {
diff --git a/.vsts-ci.yml b/.vsts-ci.yml
index 359ecc4389b9..934c242b4077 100644
--- a/.vsts-ci.yml
+++ b/.vsts-ci.yml
@@ -118,17 +118,19 @@ jobs:
   strategy:
     maxParallel: 4
     matrix:
-      r_package:
-        TASK: r-package
-        COMPILER: MSVC
-      regular:
-        TASK: regular
-        PYTHON_VERSION: 3.6
-      sdist:
-        TASK: sdist
-        PYTHON_VERSION: 2.7
-      bdist:
-        TASK: bdist
+      #r_package:
+      #  TASK: r-package
+      #  COMPILER: MSVC
+      #regular:
+      #  TASK: regular
+      #  PYTHON_VERSION: 3.6
+      #sdist:
+      #  TASK: sdist
+      #  PYTHON_VERSION: 2.7
+      #bdist:
+      #  TASK: bdist
+      bdist_opencl:
+        TASK: bdist_opencl
   steps:
   - powershell: |
       Write-Host "##vso[task.prependpath]$env:CONDA\Scripts"
@@ -139,7 +141,7 @@ jobs:
       cmd /c "powershell -ExecutionPolicy Bypass -File %BUILD_SOURCESDIRECTORY%/.ci/test_windows.ps1"
     displayName: Test
   - task: PublishBuildArtifacts@1
-    condition: and(succeeded(), in(variables['TASK'], 'regular', 'sdist', 'bdist'), not(startsWith(variables['Build.SourceBranch'], 'refs/pull/')))
+    condition: and(succeeded(), in(variables['TASK'], 'regular', 'sdist', 'bdist', 'bdist_opencl'), not(startsWith(variables['Build.SourceBranch'], 'refs/pull/')))
     inputs:
       pathtoPublish: '$(Build.ArtifactStagingDirectory)'
       artifactName: PackageAssets
diff --git a/python-package/setup.py b/python-package/setup.py
index 73f123baf42d..7e18e7432344 100644
--- a/python-package/setup.py
+++ b/python-package/setup.py
@@ -10,6 +10,7 @@
 import struct
 import subprocess
 import sys
+from os import environ
 
 from platform import system
 from setuptools import find_packages, setup
@@ -202,19 +203,19 @@ class CustomInstall(install):
 
     def initialize_options(self):
         install.initialize_options(self)
-        self.mingw = 0
-        self.gpu = 0
-        self.boost_root = None
-        self.boost_dir = None
-        self.boost_include_dir = None
-        self.boost_librarydir = None
-        self.opencl_include_dir = None
-        self.opencl_library = None
-        self.mpi = 0
-        self.hdfs = 0
-        self.precompile = 0
-        self.nomp = 0
-        self.bit32 = 0
+        self.mingw = environ.get("LGBM_MINGW", 0)
+        self.gpu = environ.get("LGBM_GPU", 0)
+        self.boost_root = environ.get("LGBM_BOOST_ROOT", None)
+        self.boost_dir = environ.get("LGBM_BOOST_DIR", None)
+        self.boost_include_dir = environ.get("LGBM_BOOST_INCLUDE_DIR", None)
+        self.boost_librarydir = environ.get("LGBM_BOOST_LIBRARY_DIR", None)
+        self.opencl_include_dir = environ.get("LGBM_OPENCL_INCLUDE_DIR", None)
+        self.opencl_library = environ.get("LGBM_OPENCL_LIBRARY", None)
+        self.mpi = environ.get("LGBM_MPI", 0)
+        self.hdfs = environ.get("LGBM_HDFS", 0)
+        self.precompile = environ.get("LGBM_PRECOMPILE", 0)
+        self.nomp = environ.get("LGBM_NOMP", 0)
+        self.bit32 = environ.get("LGBM_BIT32", 0)
 
     def run(self):
         if (8 * struct.calcsize("P")) != 64: