Define _CRT_SECURE_NO_WARNINGS to remove unneeded warnings in MSVC (#5434)

CMakeLists.txt

@@ -116,6 +116,14 @@ set_target_properties(dmlc PROPERTIES
   CXX_STANDARD_REQUIRED ON
   POSITION_INDEPENDENT_CODE ON)
 list(APPEND LINKED_LIBRARIES_PRIVATE dmlc)
+if (MSVC)
+  target_compile_options(dmlc PRIVATE
+                         -D_CRT_SECURE_NO_WARNINGS -D_CRT_SECURE_NO_DEPRECATE)
+  if (TARGET dmlc_unit_tests)
+    target_compile_options(dmlc_unit_tests PRIVATE
+                           -D_CRT_SECURE_NO_WARNINGS -D_CRT_SECURE_NO_DEPRECATE)
+  endif (TARGET dmlc_unit_tests)
+endif (MSVC)
 
 # rabit
 set(RABIT_BUILD_DMLC OFF)
@@ -125,8 +133,16 @@ add_subdirectory(rabit)
 
 if (RABIT_MOCK)
   list(APPEND LINKED_LIBRARIES_PRIVATE rabit_mock_static)
+  if (MSVC)
+    target_compile_options(rabit_mock_static PRIVATE
+                           -D_CRT_SECURE_NO_WARNINGS -D_CRT_SECURE_NO_DEPRECATE)
+  endif (MSVC)
 else()
   list(APPEND LINKED_LIBRARIES_PRIVATE rabit)
+  if (MSVC)
+    target_compile_options(rabit PRIVATE
+                           -D_CRT_SECURE_NO_WARNINGS -D_CRT_SECURE_NO_DEPRECATE)
+  endif (MSVC)
 endif(RABIT_MOCK)
 foreach(lib rabit rabit_base rabit_empty rabit_mock rabit_mock_static)
   # Explicitly link dmlc to rabit, so that configured header (build_config.h)

src/CMakeLists.txt

@@ -67,6 +67,8 @@ endif (WIN32 AND MINGW)
 if (MSVC)
   target_compile_options(objxgboost PRIVATE
     $<$<NOT:$<COMPILE_LANGUAGE:CUDA>>:/utf-8>
+    -D_CRT_SECURE_NO_WARNINGS
+    -D_CRT_SECURE_NO_DEPRECATE
   )
 endif (MSVC)
 

tests/cpp/CMakeLists.txt

@@ -56,6 +56,8 @@ endif (USE_CUDA)
 if (MSVC)
   target_compile_options(testxgboost PRIVATE
     $<$<NOT:$<COMPILE_LANGUAGE:CUDA>>:/utf-8>
+    -D_CRT_SECURE_NO_WARNINGS
+    -D_CRT_SECURE_NO_DEPRECATE
   )
 endif (MSVC)