We bundle the precompiled libsvm.dll out of the libsvm distribution in our Stata package, so you should not need to install it explicitly.
TODO: what archictecture is the precompiled one for? probably 32-bit. Is this going to be a problem?
There are two package managers for OS X, Homebrew and MacPorts.
Homebrew:
$ brew install libsvm
After this completes, you can double-check that svm.h and libsvm.dylib are available in the system-wide library directories:
$ ls -l /usr/local/include/svm.h /usr/local/lib/libsvm.dylib
lrwxr-xr-x 1 user admin 35 13 May 16:47 /usr/local/include/svm.h -> ../Cellar/libsvm/3.20/include/svm.h
lrwxr-xr-x 1 user admin 38 13 May 16:47 /usr/local/lib/libsvm.dylib -> ../Cellar/libsvm/3.20/lib/libsvm.dylib
(if they aren't, try brew link libsvm; you might have permissions problems)
MacPorts:
$ port install libsvm
MacPorts installs everything to /opt/local/, unless you've configured it differently and does not symlink things into /usr/local/ like brew does. The best way to handle this is these lines:
# set build-time library paths
export C_INCLUDE_PATH=/opt/local/include:$C_INCLUDE_PATH
export CPP_INCLUDE_PATH=/opt/local/include:$CPP_INCLUDE_PATH
export LIBRARY_PATH=/opt/local/lib:$LIBRARY_PATH
# set run-time library path (this is separate from build-time as a side-effect of design-by-committee)
export LD_LIBRARY_PATH=/opt/local/lib:$LD_LIBRARY_PATH
If you plan to be a regular user of MacPorts, you should add these to your ~/.profile.
aside: it is unclear what the best strategy is: Apple strongly encourages bundling, what with their -install_name and @rpath directives and .app folders, but OS X is also a Unix with working package managers that understands dependencies and, more importantly, updating. We welcome debate in the issue tracker.
Debian and derivatives:
# apt-get install libsvm3
Arch: libsvm is in the AUR
$ yaourt -S libsvm
Of course, for any of the Unixes (including OS X) you can install libsvm from source: download libsvm from the authors and follow their instructions.