[docs] [cmake] switch to 'cmake --build'?

[jameslamb]

Description

Many CI scripts and docs throughout this project use a pattern like this for CMake:

xgboost/doc/build.rst

Lines 130 to 133 in 4370454

	mkdir build
	cd build
	cmake .. -DUSE_CUDA=ON
	make -j4

Would you support a series of PRs (or maybe just one, depending on how involved it gets) changing all such cases to this pattern?

cmake -B build -S . -DUSE_CUDA=ON
cmake --build build --target all -j4

Benefits of this work

• reduce friction in building
  • (2 commands instead of 4)
• makes it easier for users to change generators
  • (e.g. to Ninja instead of GNU Make)

Approach

Replace all uses of mkdir build && cd build && cmake .. or similar with the corresponding 2 cmake commands (cmake followed by cmake --build).

Notes

I did this in LightGBM a few months ago. We haven't received any complaints about it, and I've personally found it a bit easier to work with: microsoft/LightGBM#6368

But won't be offended if you say "no thank you, we don't want this" 😅

[trivialfis]

Thank you for the suggestions, sounds good!