Add google test for a column sampling, restore metainfo tests (#3637)

* Add google test for a column sampling, restore metainfo tests

* Update metainfo test for visual studio

* Fix multi-GPU bug introduced in #3635

tests/cpp/common/test_random.cc

@@ -0,0 +1,37 @@
+#include "../../../src/common/random.h"
+#include "../helpers.h"
+#include "gtest/gtest.h"
+
+namespace xgboost {
+namespace common {
+TEST(ColumnSampler, Test) {
+  int n = 100;
+  ColumnSampler cs;
+  cs.Init(n, 0.5f, 0.5f);
+  auto &set0 = cs.GetFeatureSet(0).HostVector();
+  ASSERT_EQ(set0.size(), 25);
+
+  auto &set1 = cs.GetFeatureSet(0).HostVector();
+  ASSERT_EQ(set0, set1);
+
+  auto &set2 = cs.GetFeatureSet(1).HostVector();
+  ASSERT_NE(set1, set2);
+  ASSERT_EQ(set2.size(), 25);
+
+  // No level sampling, should be the same at different depth
+  cs.Init(n, 1.0f, 0.5f);
+  ASSERT_EQ(cs.GetFeatureSet(0).HostVector(), cs.GetFeatureSet(1).HostVector());
+
+  cs.Init(n, 1.0f, 1.0f);
+  auto &set3 = cs.GetFeatureSet(0).HostVector();
+  ASSERT_EQ(set3.size(), n);
+  cs.Init(n, 1.0f, 1.0f);
+  auto &set4 = cs.GetFeatureSet(0).HostVector();
+  ASSERT_EQ(set3, set4);
+
+  // Should always be a minimum of one feature
+  cs.Init(n, 1e-16f, 1e-16f);
+  ASSERT_EQ(cs.GetFeatureSet(0).HostVector().size(), 1);
+}
+}  // namespace common
+}  // namespace xgboost