Fix CMake + MSVC build with setuptools.

[trivialfis]

Follow up fix for #5271 .

[trivialfis]

There are sdist tests on travis for OSX and Linux. But no such test for Windows yet.

[hcho3]

Usually, Windows users do not have CMake or MSVC installed on their machines. We should document that running build_ext on Windows requires CMake and MSVC.

[trivialfis]

@hcho3 We have documents for building C++ library. Also I added some notes here: https://xgboost.readthedocs.io/en/latest/build.html#python-package-installation at last PR. Do you think it's enough?

[hcho3]

@trivialfis I have not had a chance to look at #5271 thoroughly. The updated doc looks good to me. I think we should add a note about needing MSVC specifically for Windows Python.

[trivialfis]

@hcho3 Got it. I will add some notes. Feel free to provide your feedback on the new setuptools script.

[hcho3]

Actually, never mind. For now we can keep the build doc as it is. I do want to re-organize the build doc later, something like https://rapids.ai/start.html. See #5282

[trivialfis]

Actually, never mind. For now we can keep the build doc as it is. I do want to re-organize the build doc later, something like https://rapids.ai/start.html

That's not a link to rapids build doc? BTW, how do I remove the use of silent parameter in the about section of our landing page: https://xgboost.ai/about

Note:

I think there's minor difference around using CMake between 3.13 and later versions with MSVC. I use CMake 3.16 for this PR.

[hcho3]

how do I remove the use of silent parameter in the about section of our landing page

You should submit a patch to https://github.com/xgboost-ai/xgboost-ai.github.io.

That's not a link to rapids build doc?

You can select "Source" in the selector and it display a link to build instruction. MXNet (https://mxnet.apache.org/get_started) does a similar thing. The idea is to make the installation doc page less overwhelming, by letting the user filter the doc by the use case they have in mind.

[hcho3]

I think there's minor difference around using CMake between 3.13 and later versions with MSVC. I use CMake 3.16 for this PR.

Interesting. I was not aware of the difference.

[trivialfis]

Got it. Thanks for the pointers.

[trivialfis]

@hcho3 I read this answer https://stackoverflow.com/questions/28350214/how-to-build-x86-and-or-x64-on-windows-from-command-line-with-cmake

I just took the simplest one (<3.13) and it works even I'm running 3.16. Not sure about the implications.