CMake instructions for R are outdated

[david-cortes]

The docs about building the R package from source with CMake here:
https://xgboost.readthedocs.io/en/latest/build.html#building-r-package-from-source

cmake -B build -S . -G"Visual Studio 16 2019" -A x64 -DUSE_CUDA=ON -DR_LIB=ON -DR_VERSION=4.0.0

.. still have instructions for MSVC, which is not supported anymore as we verified that it doesn't compile ALTREP classes correctly and leads to crashes .

It also has outdated instructions for what to add to path:

C:\rtools40\usr\bin

.. which uses a hard-coded rtools40, but that's not the latest version anymore (newer ones have default paths like rtools43, or perhaps higher for the latest version). Perhaps it could provide a command to obtain that path from R itself it that's possible, and an example for setting the $PATH variable through set for windows.

Further, the second path it suggests to add to $PATH:

C:\rtools40\mingw64\bin

.. is empty under the latest versions of RTools.

Note: I'm not very familiar with CMake or windows, so I'm leaving this issue for the maintainers here.

[trivialfis]

Let's drop support for that combination on windows and focus on the r default. It's better to have one working method than few methods that may or may not work.

It's a bit sad that we dropped MSVC though, mingw's network module is quite broken the last time I tried. I will want distributed training on Windows.

[trivialfis]

I will update the doc.

[david-cortes]

Let's drop support for that combination on windows and focus on the r default. It's better to have one working method than few methods that may or may not work.

It's a bit sad that we dropped MSVC though, mingw's network module is quite broken the last time I tried. I will want distributed training on Windows.

What about clang? Also, if there's no CMake build for windows, what would be the way to build the GPU-enabled package?

[trivialfis]

GPU build on Windows requires MSVC or clang (I haven't tested clang), googling shows some people try to use nvcc with mingw, but let's not take that too serious. Cmake build will continue to be supported on Linux.

Clang should work, at least apple clang and clang on Linux are good. I haven't tested it on Windows. I don't use Windows very often, even with Windows, I only use the WSL.

For now, the Windows version of the R package is limited to single node CPU implementation. It's not too bad, people can still use WSL.