Refactor rabit tests

[trivialfis]

• Merge RABIT google tests into XGBoost.
• Run standalone tests in CTest.
• Run tests on Jenkins.
• Simplify CMakeLists.txt, fixing CMake should not install librabit.a when running make install #6092 .

[trivialfis]

Somehow there are duplicated tests defined in cc files and cpp files.

[trivialfis]

@hcho3 I will do a drive by fix for #6092 .

[hcho3]

I did a first round of review.

You also need to change line 287 of the root CMakeLists.txt: We should install rabit along with objxgboost when BUILD_STATIC_LIB is on. So add it to the variable INSTALL_TARGETS. The reason is that Rabit is a dependency of xgboost, and when you install a static lib, you need to install all of its dependencies.

[hcho3]

I'll do another round of review tomorrow, as I am about to go to bed now.

[trivialfis]

@hcho3 Thanks for the explanation. Let me do some tests, I think it's possible to link multiple static libraries into one.

[hcho3]

I think it's possible to link multiple static libraries into one.

You can turn rabit into an object library, so that librabit.a won't need to be installed. Even then, we'd still need to declare rabit in the export set of INSTALL(TARGETS) command, so my previous recommendation still applies.

[trivialfis]

Got it, so I need to restore the installation logic.

[hcho3]

No, you can reuse the installation logic in the root CMakeLists.txt. Just modify INSTALL_TARGETS variable in line 287. No need to maintain installation logic in two places.

[trivialfis]

@hcho3 Thanks again. Modified the script to install it along with objxgboost when building static library.

[codecov-commenter]

Codecov Report

Merging #6096 into master will not change coverage.
The diff coverage is n/a.

@@           Coverage Diff           @@
##           master    #6096   +/-   ##
=======================================
  Coverage   78.52%   78.52%           
=======================================
  Files          12       12           
  Lines        3069     3069           
=======================================
  Hits         2410     2410           
  Misses        659      659           

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