According to the History of Ming, in his early years, Lan Yu was a subordinate of Chang Yuchun, another Muslim general under the rebel leader Zhu Yuanzhang (later the Hongwu Emperor of the Ming). Lan Yu was also the younger brother of Chang Yuchun's wife. As Lan Yu displayed courage in battle, Chang Yuchun spoke well of him numerous times in front of Zhu Yuanzhang, and Lan was later promoted from guanjun zhenfu (管軍鎮撫) to an administrative officer in the commander-in-chief's office (大都督府僉事). In 1371, Lan Yu followed Fu Youde to attack Shu (covering present-day Sichuan) and conquered Mianzhou (綿州) around present-day Mianyang. In 1372, he accompanied Xu Da on a campaign against the Northern Yuan Dynasty in Mongolia, departing from Yan Pass and defeating the Yuan armies at Mount Luan (亂山) and near the Tula River (土剌河). Seven years later he followed Mu Ying to attack Tibet, capturing three tribal leaders and around a thousand men. For his efforts, in 1379 Lan Yu was conferred the title of "Marquis of Yongchang" (永昌侯), in addition to receiving 2500 dan (石) of grain and a shiquan (世券), a type of plaque granted by the emperor to officials in recognition of their contributions.
In 1381, Lan Yu was appointed "Left Deputy General Who Conquers the South" (征南左副將軍) and accompanied Fu Youde to attack Yunnan and pacify the region. He was rewarded with 500 dan of grain and his daughter was granted the title of "Princess Consort of Shu" (蜀王妃). In 1387, Nahachu (納哈出) of the Northern Yuan invaded Liaodong and the Hongwu Emperor sent Feng Sheng, with Lan Yu and Fu Youde as his right and left deputies respectively, along with a 200,000-man army to attack him. Nahachu was defeated and surrendered. Lan Yu garrisoned the army at Jizhou (薊州).
In 1388, the Hongwu Emperor commissioned Lan Yu as General-in-Chief (大將軍) and sent him with 150,000 troops to attack the Northern Yuan ruler Uskhal Khan. In the fourth lunar month of that year, Lan Yu's force arrived at Buir Lake and defeated the Northern Yuan army, capturing Uskhal Khan's family members numbering more than 100, more than 77,000 civilians, more than 150,000 livestock, along with several priced items, including Uskhal Khan's imperial seals. Uskhal Khan attempted to flee to the Mongol Empire's old capital of Karakorum, but was killed shortly after the defeat. The Hongwu Emperor was pleased when he received news of Lan Yu's victory and intended to grant Lan the title of "Duke of Liang" (梁國公), but changed the Chinese character for "Liang" from "梁" to "涼" after he heard that Lan seized a Mongol noble lady for himself and violated her. This resulted in a change in the area that was to be Lan Yu's dukedom. Despite so, Hongwu still praised Lan Yu as "comparable to Wei Qing of the Han Dynasty and Li Jing of the Tang Dynasty". In 1392 a surrendered Yuan general Yuelutiemu'er (月魯帖木兒) rebelled in Jianchang (present-day Jianchang County, Liaoning) and Lan Yu was sent to suppress the revolt. Lan Yu crushed the uprising and captured Yuelutiemu'er and his son, and was appointed as the Crown Prince's Tutor (太子太傅) for his achievement.
As he made more achievements, Lan Yu became more arrogant, self-indulgent and unbridled. He started abusing his power and status and behaved violently and recklessly, sometimes even showing disrespect towards the emperor. Once, after he seized land from peasants in Dongchang (東昌), an official questioned him on his actions, but Lan Yu drove the official away in anger. In another incident, after Lan Yu returned from a campaign in the north, he arrived at Xifeng Pass (喜峰關), where the guards denied him entry as it was already late at night, but Lan led his men to force his way through. When he was away at war, Lan Yu sometimes also demoted officers at his own will and defied orders, to the extent of going to battle without permission. During his appointment as the Crown Prince's Tutor, Lan Yu was unhappy that his post was lower than the dukes of Song and Ying, so he exclaimed, "Am I not fit to be the Imperial Tutor (太師)?" The Hongwu Emperor became more angry with Lan Yu after learning of these incidents.
Lan Yu had a close friendship with the crown prince Zhu Biao. Once after Lan Yu returned from a campaign against the Mongols, he warned the crown prince that Zhu Di (the Prince of Yan and future Yongle Emperor) seemed to be a likely a threat to his succession. Zhu Di heard about this, so after Zhu Biao died in 1392, he cautioned the Hongwu Emperor that Lan Yu and other founding pioneers of the dynasty were becoming a threat to the throne and should be dealt with before they get out of control. Lan Yu and others did not restrain themselves and continued behaving in the same manner as they did. Around this time, Hongwu was already making plans to eliminate them. Five months later when Hongwu appointed Zhu Biao's son Zhu Yunwen (future Jianwen Emperor) as the new crown prince, he allowed Lan Yu to continue serving as the Crown Prince's Tutor.
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