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.

tests/cpp/CMakeLists.txt

@@ -0,0 +1,56 @@
+find_package(GTest REQUIRED)
+file(GLOB_RECURSE TEST_SOURCES "*.cc")
+
+if (USE_CUDA)
+  file(GLOB_RECURSE CUDA_TEST_SOURCES "*.cu")
+  list(APPEND TEST_SOURCES ${CUDA_TEST_SOURCES})
+endif (USE_CUDA)
+add_executable(testxgboost ${TEST_SOURCES} ${XGBOOST_OBJ_SOURCES})
+
+if (USE_CUDA)
+  target_include_directories(testxgboost PRIVATE
+    ${PROJECT_SOURCE_DIR}/cub/)
+  target_compile_options(testxgboost PRIVATE
+    $<$<COMPILE_LANGUAGE:CUDA>:--expt-extended-lambda>
+    $<$<COMPILE_LANGUAGE:CUDA>:--expt-relaxed-constexpr>
+    $<$<COMPILE_LANGUAGE:CUDA>:-lineinfo>
+    $<$<COMPILE_LANGUAGE:CUDA>:--std=c++11>
+    $<$<COMPILE_LANGUAGE:CUDA>:${GEN_CODE}>)
+  target_compile_definitions(testxgboost
+    PRIVATE -DXGBOOST_USE_CUDA=1)
+  set_target_properties(testxgboost PROPERTIES
+    CUDA_SEPARABLE_COMPILATION OFF)
+
+  if (USE_NCCL)
+    find_package(Nccl REQUIRED)
+    target_include_directories(testxgboost PRIVATE ${NCCL_INCLUDE_DIR})
+    target_compile_definitions(testxgboost PRIVATE -DXGBOOST_USE_NCCL=1)
+    target_link_libraries(testxgboost PRIVATE ${NCCL_LIBRARY})
+  endif (USE_NCCL)
+
+  if (USE_NVTX)
+    target_include_directories(testxgboost PRIVATE "${NVTX_HEADER_DIR}")
+    target_compile_definitions(testxgboost PRIVATE -DXGBOOST_USE_NVTX=1)
+  endif (USE_NVTX)
+endif (USE_CUDA)
+
+target_include_directories(testxgboost
+  PRIVATE
+  ${GTEST_INCLUDE_DIRS}
+  ${PROJECT_SOURCE_DIR}/include
+  ${PROJECT_SOURCE_DIR}/dmlc-core/include
+  ${PROJECT_SOURCE_DIR}/rabit/include)
+set_target_properties(
+  testxgboost PROPERTIES
+  CXX_STANDARD 11
+  CXX_STANDARD_REQUIRED ON)
+target_link_libraries(testxgboost
+  PRIVATE
+  ${GTEST_LIBRARIES}
+  ${LINKED_LIBRARIES_PRIVATE}
+  ${OpenMP_CXX_LIBRARIES})
+target_compile_definitions(testxgboost PRIVATE ${XGBOOST_DEFINITIONS})
+if (USE_OPENMP)
+  target_compile_options(testxgboost PRIVATE $<$<COMPILE_LANGUAGE:CXX>:${OpenMP_CXX_FLAGS}>)
+endif (USE_OPENMP)
+set_output_directory(testxgboost ${PROJECT_BINARY_DIR})