Fix non-openmp build. (#5566)

* Add test to Jenkins.
* Fix threading utils tests.
* Require thread library.

tests/cpp/CMakeLists.txt

@@ -69,8 +69,8 @@ set_target_properties(
 target_link_libraries(testxgboost
   PRIVATE
   ${GTEST_LIBRARIES}
-  ${LINKED_LIBRARIES_PRIVATE}
-  OpenMP::OpenMP_CXX)
+  ${LINKED_LIBRARIES_PRIVATE})
+
 target_compile_definitions(testxgboost PRIVATE ${XGBOOST_DEFINITIONS})
 set_output_directory(testxgboost ${xgboost_BINARY_DIR})
 

tests/cpp/common/test_threading_utils.cc

@@ -38,7 +38,10 @@ TEST(ParallelFor2d, Test) {
       return kDim2;
   }, kGrainSize);
 
-  ParallelFor2d(space, 4, [&](size_t i, Range1d r) {
+  auto old = omp_get_max_threads();
+  omp_set_num_threads(4);
+
+  ParallelFor2d(space, omp_get_max_threads(), [&](size_t i, Range1d r) {
     for (auto j = r.begin(); j < r.end(); ++j) {
       matrix[i*kDim2 + j] += 1;
     }
@@ -47,12 +50,17 @@ TEST(ParallelFor2d, Test) {
   for (size_t i = 0; i < kDim1 * kDim2; i++) {
     ASSERT_EQ(matrix[i], 1);
   }
+
+  omp_set_num_threads(old);
 }
 
 TEST(ParallelFor2dNonUniform, Test) {
   constexpr size_t kDim1 = 5;
   constexpr size_t kGrainSize = 256;
 
+  auto old = omp_get_max_threads();
+  omp_set_num_threads(4);
+
   // here are quite non-uniform distribution in space
   // but ParallelFor2d should split them by blocks with max size = kGrainSize
   // and process in balanced manner (optimal performance)
@@ -66,7 +74,7 @@ TEST(ParallelFor2dNonUniform, Test) {
     working_space[i].resize(dim2[i], 0);
   }
 
-  ParallelFor2d(space, 4, [&](size_t i, Range1d r) {
+  ParallelFor2d(space, omp_get_max_threads(), [&](size_t i, Range1d r) {
     for (auto j = r.begin(); j < r.end(); ++j) {
       working_space[i][j] += 1;
     }
@@ -77,6 +85,8 @@ TEST(ParallelFor2dNonUniform, Test) {
       ASSERT_EQ(working_space[i][j], 1);
     }
   }
+
+  omp_set_num_threads(old);
 }
 
 }  // namespace common

tests/cpp/helpers.cc

@@ -301,9 +301,12 @@ std::unique_ptr<DMatrix> CreateSparsePageDMatrix(
     batch_count++;
     row_count += batch.Size();
   }
+#if defined(_OPENMP)
   EXPECT_GE(batch_count, 2);
   EXPECT_EQ(row_count, dmat->Info().num_row_);
-
+#else
+#warning "External memory doesn't work with Non-OpenMP build "
+#endif  // defined(_OPENMP)
   return dmat;
 }