[Feature request] Python-like interface for modern C++

[hcho3]

#4894 proposes to expose C++ headers to 3rd-party applications. As an extension of #4894, we should also consider building a Python-like frontend in modern C++. I'm thinking something like https://pytorch.org/cppdocs/frontend.html#end-to-end-example, where PyTorch offers a complete modern C++ API that's at feature parity with the Python package.

In particular, features like early stopping should be available from a C++ application. Early stopping is currently only implemented in the R, Python, and Java wrappers.

Once the C++ frontend is introduced, we can make some stability guarantee about the frontend. That is, the frontend would change more slowly than all other C++ classes (considered "internal").

@trivialfis

[trivialfis]

Yeah, I love the interface from pytorch. Too bad the torch script is based on Python.

[trivialfis]

It doesn't necessarily like Python though, we can improve upon it if needed.

[trams]

Looks good! I am all for moving common code from python|java|R to C++

[hcho3]

To new contributors: it would be great if we can have an experimental prototype for the C++ frontend. For the first pull request, it is okay to have only basic features (load data, train). Post comment here you'd like to work on this feature, so that we can discuss a possible design. I am available for help.

[hcho3]

I'd like to get to this issue, hopefully before end of this year.