Export Python Interface for external memory.

[trivialfis]

This is the final PR of the original Sparse DMatrix rewrite. The origin description is kept in the below section. This PR exposes Python API for data iterator. Other than the interface, this PR also finalizes documents, examples and tests.

Old description

This is a proof of concept for using iterative DMatrix style callback to handle external memory. Also, the data iter in Python can now handle CPU data and be used by CPU-based algorithms. For details:

• I implemented caching with iterative DMatrix style callback, with simple, deterministic, and lock-free async fetching. Writing to the cache, however, is sequential.
• The cache file is named by pointer address, should be able to avoid most of the collisions.
• Users can now define their own data iterator without having a parser in XGBoost. I put together an example using dask single node (without distributed) as a lazy data generator and let XGBoost consume data chunks from it.

** todos **

• Integrate existing ellpack external memory support into this.
• Remove old external memory implementation.
• Remove lz4
• Remove GPU page size.
• Verify the correctness of column page.
• Concatenate ellpack early on.
• Tests.

[codecov-commenter]

Codecov Report

Merging #7070 (d8059f4) into master (bd1f3a3) will increase coverage by 0.98%.
The diff coverage is 77.77%.

@@            Coverage Diff             @@
##           master    #7070      +/-   ##
==========================================
+ Coverage   81.60%   82.58%   +0.98%     
==========================================
  Files          13       13              
  Lines        3903     3962      +59     
==========================================
+ Hits         3185     3272      +87     
+ Misses        718      690      -28     

Impacted Files	Coverage Δ
python-package/xgboost/core.py	83.73% <77.02%> (+2.27%)	⬆️
python-package/xgboost/data.py	67.20% <78.26%> (+4.05%)	⬆️
python-package/xgboost/__init__.py	89.47% <100.00%> (ø)

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[trivialfis]

Close #7022 .
Close #6719 .
Close #6336 .
Close #6307 . (might be reopened if the failure is observed again).
Close #6167

Related:
#5851

[trivialfis]

Running it multiple times to see if removing dmlc parser can fix the std::bad_alloc.

Ran 5 times so far. Seems fine. Will continue monitoring in the future.

[trivialfis]

cache_prefix can be a parameter for DMatrix instead of DataIter. I don't have a strong preference for the choice. But do note that it's useful since users might have a URI that's not a local file path so we can't drop the parameter.