Initial support for federated learning (#7831)

Federated learning plugin for xgboost:
* A gRPC server to aggregate MPI-style requests (allgather, allreduce, broadcast) from federated workers.
* A Rabit engine for the federated environment.
* Integration test to simulate federated learning.

Additional followups are needed to address GPU support, better security, and privacy, etc.

plugin/federated/CMakeLists.txt

@@ -0,0 +1,27 @@
+# gRPC needs to be installed first. See README.md.
+find_package(Protobuf REQUIRED)
+find_package(gRPC REQUIRED)
+find_package(Threads)
+
+# Generated code from the protobuf definition.
+add_library(federated_proto federated.proto)
+target_link_libraries(federated_proto PUBLIC protobuf::libprotobuf gRPC::grpc gRPC::grpc++)
+target_include_directories(federated_proto PUBLIC ${CMAKE_CURRENT_BINARY_DIR})
+set_property(TARGET federated_proto PROPERTY POSITION_INDEPENDENT_CODE ON)
+
+get_target_property(grpc_cpp_plugin_location gRPC::grpc_cpp_plugin LOCATION)
+protobuf_generate(TARGET federated_proto LANGUAGE cpp)
+protobuf_generate(
+    TARGET federated_proto
+    LANGUAGE grpc
+    GENERATE_EXTENSIONS .grpc.pb.h .grpc.pb.cc
+    PLUGIN "protoc-gen-grpc=${grpc_cpp_plugin_location}")
+
+# Wrapper for the gRPC client.
+add_library(federated_client INTERFACE federated_client.h)
+target_link_libraries(federated_client INTERFACE federated_proto)
+
+# Rabit engine for Federated Learning.
+target_sources(objxgboost PRIVATE federated_server.cc engine_federated.cc)
+target_link_libraries(objxgboost PRIVATE federated_client)
+target_compile_definitions(objxgboost PUBLIC -DXGBOOST_USE_FEDERATED=1)