[CI] Build Python wheels for MacOS (x86_64 and arm64) (#7621)

* Build Python wheels for OSX (x86_64 and arm64)

* Use Conda's libomp when running Python tests

* fix

* Add comment to explain CIBW_TARGET_OSX_ARM64

* Update release script

* Add comments in build_python_wheels.sh

* Document wheel pipeline

tests/ci_build/build_python_wheels.sh

@@ -0,0 +1,38 @@
+#!/bin/bash
+
+set -e
+set -x
+
+# Bundle libomp 11.1.0 when targeting MacOS.
+# This is a workaround in order to prevent segfaults when running inside a Conda environment.
+# See https://github.com/dmlc/xgboost/issues/7039#issuecomment-1025125003 for more context.
+# The workaround is also used by the scikit-learn project.
+if [[ "$RUNNER_OS" == "macOS" ]]; then
+    # Make sure to use a libomp version binary compatible with the oldest
+    # supported version of the macos SDK as libomp will be vendored into the
+    # XGBoost wheels for MacOS.
+
+    if [[ "$CIBW_BUILD" == *-macosx_arm64 ]]; then
+        # arm64 builds must cross compile because CI is on x64
+        # cibuildwheel will take care of cross-compilation.
+        export PYTHON_CROSSENV=1
+        export MACOSX_DEPLOYMENT_TARGET=12.0
+        OPENMP_URL="https://anaconda.org/conda-forge/llvm-openmp/11.1.0/download/osx-arm64/llvm-openmp-11.1.0-hf3c4609_1.tar.bz2"
+    else
+        export MACOSX_DEPLOYMENT_TARGET=10.13
+        OPENMP_URL="https://anaconda.org/conda-forge/llvm-openmp/11.1.0/download/osx-64/llvm-openmp-11.1.0-hda6cdc1_1.tar.bz2"
+    fi
+
+    sudo conda create -n build $OPENMP_URL
+    PREFIX="/usr/local/miniconda/envs/build"
+
+    export CC=/usr/bin/clang
+    export CXX=/usr/bin/clang++
+    export CPPFLAGS="$CPPFLAGS -Xpreprocessor -fopenmp"
+    export CFLAGS="$CFLAGS -I$PREFIX/include"
+    export CXXFLAGS="$CXXFLAGS -I$PREFIX/include"
+    export LDFLAGS="$LDFLAGS -Wl,-rpath,$PREFIX/lib -L$PREFIX/lib -lomp"
+fi
+
+python -m pip install cibuildwheel
+python -m cibuildwheel python-package --output-dir wheelhouse

tests/ci_build/conda_env/macos_cpu_test.yml

@@ -10,6 +10,7 @@ dependencies:
 - pylint
 - numpy
 - scipy
+- llvm-openmp
 - scikit-learn
 - pandas
 - matplotlib