Make sure that plugins can be built

Author: hcho3

Jenkinsfile

@@ -189,7 +189,7 @@ def BuildCPU() {
       # This step is not necessary, but here we include it, to ensure that DMLC_CORE_USE_CMAKE flag is correctly propagated
       # We want to make sure that we use the configured header build/dmlc/build_config.h instead of include/dmlc/build_config_default.h.
       # See discussion at https://github.com/dmlc/xgboost/issues/5510
-    ${dockerRun} ${container_type} ${docker_binary} tests/ci_build/build_via_cmake.sh
+    ${dockerRun} ${container_type} ${docker_binary} tests/ci_build/build_via_cmake.sh -DPLUGIN_LZ4=ON -DPLUGIN_DENSE_PARSER=ON
     ${dockerRun} ${container_type} ${docker_binary} build/testxgboost
     """
     // Sanitizer test

plugin/lz4/sparse_page_lz4_format.cc

@@ -156,7 +156,7 @@ inline void CompressArray<DType>::Write(dmlc::Stream* fo) {
 }
 
 template<typename StorageIndex>
-class SparsePageLZ4Format : public SparsePageFormat {
+class SparsePageLZ4Format : public SparsePageFormat<SparsePage> {
  public:
   explicit SparsePageLZ4Format(bool use_lz4_hc)
       : use_lz4_hc_(use_lz4_hc) {

tests/ci_build/Dockerfile.cpu

@@ -7,7 +7,7 @@ SHELL ["/bin/bash", "-c"]   # Use Bash as shell
 # Install all basic requirements
 RUN \
     apt-get update && \
-    apt-get install -y tar unzip wget git build-essential doxygen graphviz llvm libasan2 libidn11 && \
+    apt-get install -y tar unzip wget git build-essential doxygen graphviz llvm libasan2 libidn11 liblz4-dev && \
     # CMake
     wget -nv -nc https://cmake.org/files/v3.13/cmake-3.13.0-Linux-x86_64.sh --no-check-certificate && \
     bash cmake-3.13.0-Linux-x86_64.sh --skip-license --prefix=/usr && \