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/travis/run_test.sh

@@ -3,7 +3,12 @@
 if [ ${TASK} == "lint" ]; then
     make lint || exit -1
     echo "Check documentations..."
-    make doxygen 2>log.txt
+
+    mkdir build_doc
+    cd build_doc
+    cmake .. -DBUILD_C_DOC=ON
+    make doc_doxygen 2> log.txt
+
     (cat log.txt| grep -v ENABLE_PREPROCESSING |grep -v "unsupported tag") > logclean.txt
     echo "---------Error Log----------"
     cat logclean.txt
@@ -11,6 +16,9 @@ if [ ${TASK} == "lint" ]; then
     (cat logclean.txt|grep warning) && exit -1
     (cat logclean.txt|grep error) && exit -1
 
+    cd -
+    rm -rf build_doc
+
     exit 0
 fi