Support unity build.

[trivialfis]

See #6293 for details. The speedup may help some build machines for distribution, but I don't think it's useful for daily development. XGBoost's CPU compilation time on my machine is usually within a minute so not much room for improvement.

Update: Will be enabled on Windows CI.

Close #6293 .

[trivialfis]

@hcho3 I tried enabling it on Windows CI, see if it helps. ;-)

[hcho3]

@trivialfis Thanks. We should also try to get Ninja build working (#5832) to bring the build time under 10 min.

[trivialfis]

@hcho3 It's under 10 minutes now.

[hcho3]

Interesting. So unity build does help quite a bit on the Windows platform. Let me approve this PR.

[trivialfis]

Em, it breaks external memory on Windows somehow.

[hcho3]

@trivialfis Another reason to extinguish race condition and other undefined behaviors from the external memory. This is the same issue as the Ninja PR (#5832)

[hcho3]

Or can we drop support for external memory on the Windows platform?

[trivialfis]

It's not that easy with external memory. On the on hand I want to remove all use of threads for loading data, on the other hand the performance will be miserable without pre-fetching.

drop support for external memory on the Windows platform

Dropping it won't solve the root cause, just hiding the issue.

[hcho3]

Dropping it won't solve the root cause, just hiding the issue.

I agree. I just wanted to unblock this PR and #5832 so that we can start enjoying faster turn-around time.

[trivialfis]

@hcho3 Can I merge it by reverting the CI change?

[hcho3]

Sure

[trivialfis]

@hcho3 Do you think it's suitable to merge without passing power test? It seems travis is having difficulty on allocating power node. https://travis-ci.org/github/dmlc/xgboost/pull_requests