Optional find dependency in installed cmake config. (#7099)

* Find dependency only when xgboost is built as static library.
* Resolve msvc warning.
* Add test for linking shared library.

src/CMakeLists.txt

@@ -14,8 +14,6 @@ target_sources(objxgboost PRIVATE ${RABIT_SOURCES})
 if (USE_CUDA)
   file(GLOB_RECURSE CUDA_SOURCES *.cu *.cuh)
   target_sources(objxgboost PRIVATE ${CUDA_SOURCES})
-  xgboost_set_cuda_flags(objxgboost)
-  target_link_libraries(objxgboost PRIVATE GPUTreeShap)
 endif (USE_CUDA)
 
 target_include_directories(objxgboost
@@ -23,66 +21,11 @@ target_include_directories(objxgboost
   ${xgboost_SOURCE_DIR}/include
   ${xgboost_SOURCE_DIR}/dmlc-core/include
   ${xgboost_SOURCE_DIR}/rabit/include)
-target_compile_options(objxgboost
-  PRIVATE
-  $<$<AND:$<CXX_COMPILER_ID:MSVC>,$<COMPILE_LANGUAGE:CXX>>:/MP>
-  $<$<AND:$<NOT:$<CXX_COMPILER_ID:MSVC>>,$<COMPILE_LANGUAGE:CXX>>:-funroll-loops>)
-if (WIN32 AND MINGW)
-  target_compile_options(objxgboost PUBLIC -static-libstdc++)
-endif (WIN32 AND MINGW)
 
-if (MSVC)
-  target_compile_options(objxgboost PRIVATE
-    $<$<NOT:$<COMPILE_LANGUAGE:CUDA>>:/utf-8>
-    -D_CRT_SECURE_NO_WARNINGS
-    -D_CRT_SECURE_NO_DEPRECATE
-  )
-endif (MSVC)
-
-if (ENABLE_ALL_WARNINGS)
-  target_compile_options(objxgboost PUBLIC
-    $<IF:$<COMPILE_LANGUAGE:CUDA>,-Xcompiler=-Wall -Xcompiler=-Wextra,-Wall -Wextra>)
-endif (ENABLE_ALL_WARNINGS)
 if (LOG_CAPI_INVOCATION)
-  target_compile_definitions(objxgboost PUBLIC -DLOG_CAPI_INVOCATION=1)
+  target_compile_definitions(objxgboost PRIVATE -DLOG_CAPI_INVOCATION=1)
 endif (LOG_CAPI_INVOCATION)
 
-set_target_properties(objxgboost PROPERTIES
-  POSITION_INDEPENDENT_CODE ON
-  CXX_STANDARD 14
-  CXX_STANDARD_REQUIRED ON)
-target_compile_definitions(objxgboost
-  PRIVATE
-  -DDMLC_LOG_CUSTOMIZE=1  # enable custom logging
-  $<$<NOT:$<CXX_COMPILER_ID:MSVC>>:_MWAITXINTRIN_H_INCLUDED>)
-if (USE_DEBUG_OUTPUT)
-  target_compile_definitions(objxgboost PRIVATE -DXGBOOST_USE_DEBUG_OUTPUT=1)
-endif (USE_DEBUG_OUTPUT)
-
-if (XGBOOST_MM_PREFETCH_PRESENT)
-  target_compile_definitions(objxgboost
-    PRIVATE
-    -DXGBOOST_MM_PREFETCH_PRESENT=1)
-endif(XGBOOST_MM_PREFETCH_PRESENT)
-if (XGBOOST_BUILTIN_PREFETCH_PRESENT)
-  target_compile_definitions(objxgboost
-    PRIVATE
-    -DXGBOOST_BUILTIN_PREFETCH_PRESENT=1)
-endif (XGBOOST_BUILTIN_PREFETCH_PRESENT)
-
-find_package(Threads REQUIRED)
-target_link_libraries(objxgboost PUBLIC Threads::Threads ${CMAKE_THREAD_LIBS_INIT})
-
-if (USE_OPENMP OR USE_CUDA)  # CUDA requires OpenMP
-  find_package(OpenMP REQUIRED)
-  target_link_libraries(objxgboost PUBLIC OpenMP::OpenMP_CXX)
-endif (USE_OPENMP OR USE_CUDA)
-
-if (RABIT_BUILD_MPI)
-  find_package(MPI REQUIRED)
-  target_link_libraries(objxgboost PUBLIC MPI::MPI_CXX)
-endif (RABIT_BUILD_MPI)
-
 # For MSVC: Call msvc_use_static_runtime() once again to completely
 # replace /MD with /MT. See https://github.com/dmlc/xgboost/issues/4462
 # for issues caused by mixing of /MD and /MT flags