Enhance nvtx support. (#5636)

cmake/Utils.cmake

@@ -141,3 +141,10 @@ DESTINATION \"${build_dir}/bak\")")
   install(CODE "file(RENAME \"${build_dir}/bak/cmake_install.cmake\"
  \"${build_dir}/R-package/cmake_install.cmake\")")
 endfunction(setup_rpackage_install_target)
+
+macro(enable_nvtx target)
+  find_package(NVTX REQUIRED)
+  target_include_directories(${target} PRIVATE "${NVTX_INCLUDE_DIR}")
+  target_link_libraries(${target} PRIVATE "${NVTX_LIBRARY}")
+  target_compile_definitions(${target} PRIVATE -DXGBOOST_USE_NVTX=1)
+endmacro()

cmake/modules/FindNVTX.cmake

@@ -0,0 +1,26 @@
+if (NVTX_LIBRARY)
+  unset(NVTX_LIBRARY CACHE)
+endif (NVTX_LIBRARY)
+
+set(NVTX_LIB_NAME nvToolsExt)
+
+
+find_path(NVTX_INCLUDE_DIR
+  NAMES nvToolsExt.h
+  PATHS ${CUDA_HOME}/include ${CUDA_INCLUDE} /usr/local/cuda/include)
+
+
+find_library(NVTX_LIBRARY
+  NAMES nvToolsExt
+  PATHS ${CUDA_HOME}/lib64 /usr/local/cuda/lib64)
+
+message(STATUS "Using nvtx library: ${NVTX_LIBRARY}")
+
+include(FindPackageHandleStandardArgs)
+find_package_handle_standard_args(NVTX DEFAULT_MSG
+                                  NVTX_INCLUDE_DIR NVTX_LIBRARY)
+
+mark_as_advanced(
+  NVTX_INCLUDE_DIR
+  NVTX_LIBRARY
+)