Enable OpenMP with Apple Clang (Mac default compiler)

[hcho3]

Simplify logic for importing OpenMP into the CMake build by treating OpenMP as a target. We no longer have to set compiler flags; all it takes is to import target OpenMP::OpenMP_CXX via target_link_libraries(). See https://cliutils.gitlab.io/modern-cmake/chapters/packages/OpenMP.html for more information.

This will be especially useful for Mac OSX users. The old way requires them to use Homebrew GCC, which is a heavy dependency (*). The new way allows them to use Apple Clang (default system compiler) instead, provided that they install OpenMP library via Homebrew (brew install libomp). Furthermore, we can release XGBoost 1.0.0 on Homebrew with OpenMP enabled.

CMake version is raised to 3.9 3.12 to access OpenMP::OpenMP_CXX target. 3.12 is needed to use target_link_libraries() with object target objxgboost. Note that we've been already requiring 3.12 for the GPU algorithms.

Closes #4477.
Depends on dmlc/dmlc-core#586

(*) See discussion at Homebrew/homebrew-core#43246, where Homebrew maintainers asked to remove GCC dependency from XGBoost.

[StrikerRUS]

@hcho3 Just want to make sure that you are aware of the following issues that have been fixed only in the latest CMake version (3.16) released recently.
https://gitlab.kitware.com/cmake/cmake/issues/18520
https://gitlab.kitware.com/cmake/cmake/issues/18098
https://gitlab.kitware.com/cmake/cmake/issues/18470

Fix: https://gitlab.kitware.com/cmake/cmake/merge_requests/3916

In case you do not want to bump CMake version and keep it 3.12 the following workaround works fine for OpenMP installed via Homebrew:

# For Mojave or newer (>=10.14)
cmake \
  -DOpenMP_C_FLAGS="-Xpreprocessor -fopenmp -I$(brew --prefix libomp)/include" \
  -DOpenMP_C_LIB_NAMES="omp" \
  -DOpenMP_CXX_FLAGS="-Xpreprocessor -fopenmp -I$(brew --prefix libomp)/include" \
  -DOpenMP_CXX_LIB_NAMES="omp" \
  -DOpenMP_omp_LIBRARY=$(brew --prefix libomp)/lib/libomp.dylib \
  ..

# For High Sierra or earlier (<= 10.13)
cmake ..

[hcho3]

@StrikerRUS Indeed, the build fails for CMake 3.12. I had tested this PR on my Macbook Pro and it was using CMake 3.16. Switching to CMake 3.12 resulted in error Could NOT find OpenMP_C (missing: OpenMP_C_FLAGS OpenMP_C_LIB_NAMES).

Since Homebrew makes it easy to install latest versions of packages, I'm inclined to require CMake 3.16+ for Mac OSX users.

[trivialfis]

Do you know whether the OMP flags are correctly set for CUDA files? One pain point in CMake is, flags for C++ and CUDA are separately managed.

[hcho3]

@trivialfis

Do you know whether the OMP flags are correctly set for CUDA files?

Yes, I'm pretty sure OMP flags are set correctly. See fec00b7. Otherwise, you'd see build failure on Windows like this

[trivialfis]

LGTM. Thanks for cleaning up the code along with the fix.

[hcho3]

Thanks for reviewing. Don't merge this before dmlc/dmlc-core#586, as without it this PR will break.

[trivialfis]

Ready for merging?

[hcho3]

I'll merge dmlc/dmlc-core#587 soon (today). Then I'll merge this PR.

[hcho3]

Done. Please merge this when all tests are done running.

[trivialfis]

@hcho3 @StrikerRUS Thanks!