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/travis/run_test.sh

@@ -149,9 +149,39 @@ if [ ${TASK} == "cpp_test" ]; then
     make cover
 fi
 
+
 if [ ${TASK} == "distributed_test" ]; then
     set -e
     make all || exit -1
     cd tests/distributed
     ./runtests.sh
 fi
+
+if [ ${TASK} == "sanitizer_test" ]; then
+    set -e
+    # Build gtest via cmake
+    wget -nc https://github.com/google/googletest/archive/release-1.7.0.zip
+    unzip -n release-1.7.0.zip
+    mv googletest-release-1.7.0 gtest && cd gtest
+    CC=gcc-7 CXX=g++-7 cmake -DCMAKE_CXX_FLAGS="-fuse-ld=gold" \
+      -DCMAKE_C_FLAGS="-fuse-ld=gold"
+    make
+    mkdir lib && mv libgtest.a lib
+    cd ..
+    rm -rf release-1.7.0.zip
+
+    mkdir build && cd build
+    CC=gcc-7 CXX=g++-7 cmake .. -DGOOGLE_TEST=ON -DGTEST_ROOT=$PWD/../gtest/ \
+      -DUSE_SANITIZER=ON -DENABLED_SANITIZERS="address" \
+      -DCMAKE_BUILD_TYPE=Debug \
+      -DSANITIZER_PATH=/usr/lib/x86_64-linux-gnu/ \
+      -DCMAKE_CXX_FLAGS="-fuse-ld=gold" \
+      -DCMAKE_C_FLAGS="-fuse-ld=gold"
+    make
+    cd ..
+
+    export ASAN_SYMBOLIZER_PATH=$(which llvm-symbolizer)
+    ASAN_OPTIONS=symbolize=1 ./testxgboost
+    rm -rf build
+    exit 0
+fi