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.

src/c_api/c_api.cc

@@ -4,8 +4,11 @@
 #include <xgboost/learner.h>
 #include <xgboost/c_api.h>
 #include <xgboost/logging.h>
+
 #include <dmlc/thread_local.h>
 #include <rabit/rabit.h>
+#include <rabit/c_api.h>
+
 #include <cstdio>
 #include <cstring>
 #include <algorithm>