Callback functions for input data.

[trivialfis]

@RAMitchell @hcho3 The first prototype.

My script:

import xgboost
import cupy
import json

# First prototype
class IterForCallbackTest(xgboost.core.DataIter):
    def __init__(self):
        self.rows = 100
        self.cols = 64
        rng = cupy.random.RandomState(1994)
        self._data = [rng.randn(self.rows, self.cols)] * 4
        self._weights = [rng.randn(self.rows)] * 4
        self._labels = [rng.randn(self.rows)] * 4

        self.it = 0
        super().__init__()

    def data(self):
        return self._data[self.it]

    def labels(self):
        return self._labels[self.it]

    def reset(self, this):
        self.it = 0

    def next(self, this, set_data, set_info):
        '''`this` is not used in Python.  ctypes can automatically remove
        remove `self` when converting a member function to c function
        pointer.

        '''
        if self.it == len(self._data):
            return 0
        interface = self.data().__cuda_array_interface__
        interface_str = bytes(json.dumps(interface, indent=2), 'utf-8')
        set_data(self.cxx_handle, interface_str)

        interface = self.labels().__cuda_array_interface__
        self.set_info_interface('label', interface, set_info)
        self.it += 1
        return 1

# Second prototype
class IterForDMatixArgTest(xgboost.core.DataIter):
    def __init__(self):
        self.rows = 100
        self.cols = 64
        rng = cupy.random.RandomState(1994)
        self._data = [rng.randn(self.rows, self.cols)] * 4
        self._weights = [rng.randn(self.rows)] * 4
        self._labels = [rng.randn(self.rows)] * 4

        self.it = 0
        super().__init__()

    def data(self):
        return self._data[self.it]

    def labels(self):
        return self._labels[self.it]

    def reset(self, this):
        self.it = 0

    def next(self, this, handle):
        if self.it == len(self._data):
            return 0
        m = xgboost.DMatrix(None)
        m.handle = handle
        m.set_interface_info('label', self.labels())
        m.set_data_from_interface(self.data())
        m.handle = None
        self.it += 1
        return 1


def test_iter():
    it = IterForDMatixArgTest()
    m = xgboost.DMatrix(it)
    print(m)


def test_normal():
    import numpy as np
    rng = np.random.RandomState(1994)
    X = rng.randn(10, 10)
    m = xgboost.DMatrix(X)
    print(m)


if __name__ == '__main__':
    # test_normal()
    test_iter()

[hcho3]

@trivialfis Why are you closing this? Did you choose #5629?

[trivialfis]

@hcho3 Yes. I think #5629 is much better than this one.