[CI] Migrate CI pipelines from Jenkins to BuildKite (#8142)

* [CI] Migrate CI pipelines from Jenkins to BuildKite

* Require manual approval

* Less verbose output when pulling Docker

* Remove us-east-2 from metadata.py

* Add documentation

* Add missing underscore

* Add missing punctuation

* More specific instruction

* Better paragraph structure

tests/buildkite/build-cpu.sh

@@ -0,0 +1,33 @@
+#!/bin/bash
+
+set -euo pipefail
+
+echo "--- Build CPU code"
+
+source tests/buildkite/conftest.sh
+
+command_wrapper="tests/ci_build/ci_build.sh cpu docker"
+
+$command_wrapper rm -fv dmlc-core/include/dmlc/build_config_default.h
+  # This step is not necessary, but here we include it, to ensure that
+  # DMLC_CORE_USE_CMAKE flag is correctly propagated. We want to make sure that we use
+  # the configured header build/dmlc/build_config.h instead of
+  # include/dmlc/build_config_default.h.
+echo "--- Build libxgboost from the source"
+$command_wrapper tests/ci_build/build_via_cmake.sh -DPLUGIN_DENSE_PARSER=ON
+echo "--- Run Google Test"
+$command_wrapper bash -c "cd build && ctest --extra-verbose"
+echo "--- Stash XGBoost CLI executable"
+buildkite-agent artifact upload ./xgboost
+
+# Sanitizer test
+echo "--- Run Google Test with sanitizer enabled"
+$command_wrapper tests/ci_build/build_via_cmake.sh -DUSE_SANITIZER=ON \
+  -DENABLED_SANITIZERS="address;leak;undefined" -DCMAKE_BUILD_TYPE=Debug \
+  -DSANITIZER_PATH=/usr/lib/x86_64-linux-gnu/
+CI_DOCKER_EXTRA_PARAMS_INIT="-e ASAN_SYMBOLIZER_PATH=/usr/bin/llvm-symbolizer "`
+  `"-e ASAN_OPTIONS=symbolize=1 "`
+  `"-e UBSAN_OPTIONS=print_stacktrace=1:log_path=ubsan_error.log "`
+  `"--cap-add SYS_PTRACE" \
+  $command_wrapper bash -c "cd build && ctest --exclude-regex AllTestsInDMLCUnitTests "`
+                           `"--extra-verbose"