Install Octave

Download Octave from https://ftp.gnu.org/gnu/octave/windows/, and register its folder to environment variable Path.

Create build system for Octave file in Sublime Text3

Octave.sublime_build

{
    "cmd": ["octave-gui", "$file"],
    "shell": true   // to show plots
}

Create short-cut for canceling build

Add the line to Preferencesbindings

{ "keys": ["ctrl+shift+b"], "command": "exec", "args": {"kill": true} },