[CI] Automatically build GPU-enabled R package for Windows (#7185)

* [CI] Automatically build GPU-enabled R package for Windows

* Update Jenkinsfile-win64

* Build R package for the release branch only

* Update install doc

tests/ci_build/build_r_pkg_with_cuda_win64.sh

@@ -0,0 +1,34 @@
+#!/bin/bash
+set -e
+set -x
+
+if [ "$#" -ne 1 ]
+then
+  echo "Build the R package tarball with CUDA code. Usage: $0 [commit hash]"
+  exit 1
+fi
+
+commit_hash="$1"
+
+MAKE="/c/Rtools/bin/make" /c/Rtools/bin/make Rpack
+mv xgboost/ xgboost_rpack/
+
+mkdir build
+cd build
+cmake .. -G"Visual Studio 15 2017 Win64" -DUSE_CUDA=ON -DR_LIB=ON -DLIBR_HOME="c:\\Program Files\\R\\R-3.6.3"
+cmake --build . --config Release --parallel
+cd ..
+
+rm xgboost
+# This super wacky hack is found in cmake/RPackageInstall.cmake.in and
+# cmake/RPackageInstallTargetSetup.cmake. This hack lets us bypass the normal build process of R
+# and have R use xgboost.dll that we've already built.
+rm -v xgboost_rpack/configure
+rm -rfv xgboost_rpack/src
+mkdir -p xgboost_rpack/src
+cp -v lib/xgboost.dll xgboost_rpack/src/
+echo 'all:' > xgboost_rpack/src/Makefile
+echo 'all:' > xgboost_rpack/src/Makefile.win
+mv xgboost_rpack/ xgboost/
+/c/Rtools/bin/tar -cvf xgboost_r_gpu_win64_${commit_hash}.tar xgboost/
+/c/Rtools/bin/gzip -9c xgboost_r_gpu_win64_${commit_hash}.tar > xgboost_r_gpu_win64_${commit_hash}.tar.gz