Export c++ headers in CMake installation. (#4897)

* Move get transpose into cc.

* Clean up headers in host device vector, remove thrust dependency.

* Move span and host device vector into public.

* Install c++ headers.

* Short notes for c and c++.

Co-Authored-By: Philip Hyunsu Cho <chohyu01@cs.washington.edu>

tests/cpp/linear/test_linear.cc

@@ -2,8 +2,11 @@
  * Copyright 2018-2019 by Contributors
  */
 #include <xgboost/linear_updater.h>
+#include <xgboost/gbm.h>
+
 #include "../helpers.h"
-#include "xgboost/gbm.h"
+
+#include "../../../src/gbm/gblinear_model.h"
 
 TEST(Linear, shotgun) {
   auto mat = xgboost::CreateDMatrix(10, 10, 0);

tests/cpp/linear/test_linear.cu

@@ -1,7 +1,9 @@
 // Copyright by Contributors
 #include <xgboost/linear_updater.h>
+#include <xgboost/gbm.h>
+
 #include "../helpers.h"
-#include "xgboost/gbm.h"
+#include "../../../src/gbm/gblinear_model.h"
 
 namespace xgboost {