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/objective/test_hinge.cc

@@ -17,4 +17,6 @@ TEST(Objective, HingeObj) {
                    {  eps,  1.0f, 1.0f, 1.0f,  1.0f,  1.0f,  1.0f, eps });
 
   ASSERT_NO_THROW(obj->DefaultEvalMetric());
+
+  delete obj;
 }