Build with Visual C++ (#9190)

Co-authored-by: Mehrdad <noreply@github.com>
Co-authored-by: Simon Mo <xmo@berkeley.edu>

.github/workflows/main.yml

@@ -20,9 +20,11 @@ jobs:
           - name: ubuntu
             os: ubuntu-16.04
             python-version: 3.6
-          - name: windows
+          - name: windows-msvc
             os: windows-2019
             python-version: 3.8
+            # Can be 'msvc' or 'clang-cl'
+            config: msvc
           - name: macos
             os: macos-10.15
             python-version: 3.6
@@ -36,6 +38,7 @@ jobs:
             os: ubuntu-latest
             jenkins-test: RUN_SGD_TESTS
     env:
+      BAZEL_CONFIG: ${{ matrix.config }}
       PYTHON: ${{ matrix.python-version }}
       TRAVIS_COMMIT: ${{ github.sha }}
       #TRAVIS_PULL_REQUEST is defined in the scripts to account for "false"