Since OCaml 4.09, the graphics library is distributed as an external package. Its new home is:
https://github.com/ocaml/graphics
If you are using the opam package manager, you should install the corresponding graphics package:
opam install graphics
Before OCaml 4.09, this package simply ensures that the graphics library was installed by the compiler, and starting from OCaml 4.09 this package effectively provides the graphics library.
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https://www.ocaml.org/releases/4.11/htmlman/libgraph.html