[CI] Add Python and C++ tests for Windows GPU target (#4469)

* Add CMake option to use bundled gtest from dmlc-core, so that it is easy to build XGBoost with gtest on Windows

* Consistently apply OpenMP flag to all targets. Force enable OpenMP when USE_CUDA is turned on.

* Insert vcomp140.dll into Windows wheels

* Add C++ and Python tests for CPU and GPU targets (CUDA 9.0, 10.0, 10.1)

* Prevent spurious msbuild failure

* Add GPU tests

* Upgrade dmlc-core

tests/cpp/CMakeLists.txt

@@ -1,4 +1,11 @@
-find_package(GTest REQUIRED)
+if (USE_DMLC_GTEST)
+  if (NOT TARGET gtest)
+    message(FATAL_ERROR "USE_DMLC_GTEST=ON but dmlc-core didn't bundle gtest")
+  endif (NOT TARGET gtest)
+  set(GTEST_LIBRARIES gtest)
+else (USE_DMLC_GTEST)
+  find_package(GTest REQUIRED)
+endif (USE_DMLC_GTEST)
 file(GLOB_RECURSE TEST_SOURCES "*.cc")
 
 if (USE_CUDA)
@@ -8,13 +15,16 @@ endif (USE_CUDA)
 add_executable(testxgboost ${TEST_SOURCES} ${XGBOOST_OBJ_SOURCES})
 
 if (USE_CUDA)
+  # OpenMP is mandatory for CUDA
+  find_package(OpenMP REQUIRED)
   target_include_directories(testxgboost PRIVATE
     ${PROJECT_SOURCE_DIR}/cub/)
   target_compile_options(testxgboost PRIVATE
     $<$<COMPILE_LANGUAGE:CUDA>:--expt-extended-lambda>
     $<$<COMPILE_LANGUAGE:CUDA>:--expt-relaxed-constexpr>
     $<$<COMPILE_LANGUAGE:CUDA>:-lineinfo>
-    $<$<COMPILE_LANGUAGE:CUDA>:--std=c++11>
+    $<$<AND:$<NOT:$<CXX_COMPILER_ID:MSVC>>,$<COMPILE_LANGUAGE:CUDA>>:--std=c++11>
+    $<$<COMPILE_LANGUAGE:CUDA>:-Xcompiler=${OpenMP_CXX_FLAGS}>
     $<$<COMPILE_LANGUAGE:CUDA>:${GEN_CODE}>)
   target_compile_definitions(testxgboost
     PRIVATE -DXGBOOST_USE_CUDA=1)