Refactor CMake scripts. (#4323)

* Refactor CMake scripts.

* Remove CMake CUDA wrapper.
* Bump CMake version for CUDA.
* Use CMake to handle Doxygen.
* Split up CMakeList.
* Export install target.
* Use modern CMake.
* Remove build.sh
* Workaround for gpu_hist test.
* Use cmake 3.12.

* Revert machine.conf.

* Move CLI test to gpu.

* Small cleanup.

* Support using XGBoost as submodule.

* Fix windows

* Fix cpp tests on Windows

* Remove duplicated find_package.

jvm-packages/CMakeLists.txt

@@ -0,0 +1,22 @@
+find_package(JNI REQUIRED)
+
+add_library(xgboost4j SHARED
+  ${PROJECT_SOURCE_DIR}/jvm-packages/xgboost4j/src/native/xgboost4j.cpp
+  ${XGBOOST_OBJ_SOURCES})
+target_include_directories(xgboost4j
+  PRIVATE
+  ${JNI_INCLUDE_DIRS}
+  ${PROJECT_SOURCE_DIR}/jvm-packages/xgboost4j/src/native
+  ${PROJECT_SOURCE_DIR}/include
+  ${PROJECT_SOURCE_DIR}/dmlc-core/include
+  ${PROJECT_SOURCE_DIR}/rabit/include)
+
+set_output_directory(xgboost4j ${PROJECT_SOURCE_DIR}/lib)
+set_target_properties(
+  xgboost4j PROPERTIES
+  CXX_STANDARD 11
+  CXX_STANDARD_REQUIRED ON)
+target_link_libraries(xgboost4j
+  PRIVATE
+  ${LINKED_LIBRARIES_PRIVATE}
+  ${JAVA_JVM_LIBRARY})

jvm-packages/xgboost4j/src/native/xgboost4j.cpp

@@ -13,6 +13,7 @@
 */
 
 #include <cstdint>
+#include <rabit/c_api.h>
 #include <xgboost/c_api.h>
 #include <xgboost/base.h>
 #include <xgboost/logging.h>