Support unity build. (#6295)

* Support unity build.

* Setup on Windows Jenkins.

* Revert "Setup on Windows Jenkins."

This reverts commit 8345cb8d2b009eec8ae9fa6f16412a7c9b6ec12c.

src/CMakeLists.txt

@@ -5,6 +5,10 @@ list(REMOVE_ITEM CPU_SOURCES ${xgboost_SOURCE_DIR}/src/cli_main.cc)
 # Object library is necessary for jvm-package, which creates its own shared library.
 add_library(objxgboost OBJECT)
 target_sources(objxgboost PRIVATE ${CPU_SOURCES})
+# Skip files with factory object
+set_source_files_properties(
+  predictor/predictor.cc gbm/gbm.cc tree/tree_updater.cc metric/metric.cc objective/objective.cc
+  PROPERTIES SKIP_UNITY_BUILD_INCLUSION ON)
 target_sources(objxgboost PRIVATE ${RABIT_SOURCES})
 
 if (USE_CUDA)

src/predictor/predictor.cc

@@ -11,8 +11,8 @@
 namespace dmlc {
 DMLC_REGISTRY_ENABLE(::xgboost::PredictorReg);
 }  // namespace dmlc
-namespace xgboost {
 
+namespace xgboost {
 void PredictionContainer::ClearExpiredEntries() {
   std::vector<DMatrix*> expired;
   for (auto& kv : container_) {