Add travis sanitizers tests. (#3557)

* Add travis sanitizers tests.

* Add gcc-7 in Travis.
* Add SANITIZER_PATH for CMake.
* Enable sanitizer tests in Travis.

* Fix memory leaks in tests.

* Fix all memory leaks reported by Address Sanitizer.
* tests/cpp/helpers.h/CreateDMatrix now returns raw pointer.

tests/cpp/data/test_simple_csr_source.cc

@@ -29,4 +29,7 @@ TEST(SimpleCSRSource, SaveLoadBinary) {
   EXPECT_EQ(first_row[2].index, first_row_read[2].index);
   EXPECT_EQ(first_row[2].fvalue, first_row_read[2].fvalue);
   row_iter = nullptr; row_iter_read = nullptr;
+
+  delete dmat;
+  delete dmat_read;
 }