I found a way to let Lyx support Xetex.
Note: The method is for windows user
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Firstly:
close Lyx if it runs.
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secondly:
Find the file "C:gldkf FilesLyX16Resourceslyxrc.dist "
and Add the two lines at the end of this file.
format "pdf4" "pdf" "PDF (xelatex)" "" "" "" "document,vector"
converter "pdflatex" "pdf4" "xelatex $$i" "latex"
Then, reopen Lyx, you will see a menu item "view->pdf(xetex)".
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thirdly:
Open the file "C:gldkf FilesLyX16Resourcesuistdtoolbars.inc "
Find the text string: Toolbar "view/update" "View/Update", and add three lines below this string.
Separator
Item "View PDF (xelatex)" "buffer-view pdf4"
Item "Update PDF (xelatex)" "buffer-update pdf4"
Then, reopen Lyx, you will see there are extra buttons support for compiling using Xetex.