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/README.md

@@ -0,0 +1,35 @@
+XGBoost Plugin for Federated Learning
+=====================================
+
+This folder contains the plugin for federated learning. Follow these steps to build and test it.
+
+Install gRPC
+------------
+```shell
+sudo apt-get install build-essential autoconf libtool pkg-config cmake ninja-build
+git clone -b v1.45.2 https://github.com/grpc/grpc
+cd grpc
+git submodule update --init
+cmake -S . -B build -GNinja -DABSL_PROPAGATE_CXX_STD=ON
+cmake --build build --target install
+```
+
+Build the Plugin
+----------------
+```shell
+# Under xgboost source tree.
+mkdir build
+cd build
+cmake .. -GNinja -DPLUGIN_FEDERATED=ON
+ninja
+cd ../python-package
+pip install -e .  # or equivalently python setup.py develop
+```
+
+Test Federated XGBoost
+----------------------
+```shell
+# Under xgboost source tree.
+cd tests/distributed
+./runtests-federated.sh
+```