[MXNET-953] - Add ASAN sanitizer, Enable in CI (#12370)

* Add ASAN sanitizer to CI

* [MXNET-953] Use gcc8 via cmake options

Use CMake to specify the compiler used for ASAN.  This is more portable
and doesn't rely on env vars.

* [MXNET-953] Don't fail build on leak detection

* [MXNET-953] Include deps required by scala test

CMakeLists.txt

@@ -38,6 +38,7 @@ mxnet_option(BUILD_CPP_EXAMPLES   "Build cpp examples" ON)
 mxnet_option(INSTALL_EXAMPLES     "Install the example source files." OFF)
 mxnet_option(USE_SIGNAL_HANDLER   "Print stack traces on segfaults." OFF)
 mxnet_option(USE_TENSORRT         "Enable infeference optimization with TensorRT." OFF)
+mxnet_option(USE_ASAN             "Enable Clang/GCC ASAN sanitizers." OFF)
 
 message(STATUS "CMAKE_SYSTEM_NAME ${CMAKE_SYSTEM_NAME}")
 if(USE_CUDA AND NOT USE_OLDCMAKECUDA)
@@ -285,6 +286,14 @@ else()
   endif()
 endif()
 
+if(USE_ASAN)
+  set(CMAKE_CFLAGS "${CMAKE_CFLAGS} -fno-omit-frame-pointer -fsanitize=address")
+  set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} -fno-omit-frame-pointer -fsanitize=address")
+  set(CMAKE_LINKER_FLAGS "${CMAKE_LINKER_FLAGS} -fsanitize=address")
+  set(GTEST_LIBRARIES "${GTEST_LIBRARIES} -fsanitize=address")
+  list(APPEND mxnet_LINKER_LIBS asan)
+endif()
+
 list(APPEND mxnet_LINKER_LIBS ${mshadow_LINKER_LIBS})
 
 foreach(var ${C_CXX_INCLUDE_DIRECTORIES})