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()