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.

src/c_api/c_api.cc

@@ -28,6 +28,10 @@
 #include "../data/simple_dmatrix.h"
 #include "../data/proxy_dmatrix.h"
 
+#if defined(XGBOOST_USE_FEDERATED)
+#include "../../plugin/federated/federated_server.h"
+#endif
+
 using namespace xgboost; // NOLINT(*);
 
 XGB_DLL void XGBoostVersion(int* major, int* minor, int* patch) {
@@ -95,6 +99,12 @@ XGB_DLL int XGBuildInfo(char const **out) {
   info["DEBUG"] = Boolean{false};
 #endif
 
+#if defined(XGBOOST_USE_FEDERATED)
+  info["USE_FEDERATED"] = Boolean{true};
+#else
+  info["USE_FEDERATED"] = Boolean{false};
+#endif
+
   XGBBuildInfoDevice(&info);
 
   auto &out_str = GlobalConfigAPIThreadLocalStore::Get()->ret_str;
@@ -198,11 +208,15 @@ XGB_DLL int XGDMatrixCreateFromFile(const char *fname,
                                     DMatrixHandle *out) {
   API_BEGIN();
   bool load_row_split = false;
+#if defined(XGBOOST_USE_FEDERATED)
+  LOG(CONSOLE) << "XGBoost federated mode detected, not splitting data among workers";
+#else
   if (rabit::IsDistributed()) {
     LOG(CONSOLE) << "XGBoost distributed mode detected, "
                  << "will split data among workers";
     load_row_split = true;
   }
+#endif
   *out = new std::shared_ptr<DMatrix>(DMatrix::Load(fname, silent != 0, load_row_split));
   API_END();
 }
@@ -1342,5 +1356,14 @@ XGB_DLL int XGBoosterFeatureScore(BoosterHandle handle, char const *json_config,
   API_END();
 }
 
+#if defined(XGBOOST_USE_FEDERATED)
+XGB_DLL int XGBRunFederatedServer(int port, int world_size, char const *server_key_path,
+                                  char const *server_cert_path, char const *client_cert_path) {
+  API_BEGIN();
+  federated::RunServer(port, world_size, server_key_path, server_cert_path, client_cert_path);
+  API_END();
+}
+#endif
+
 // force link rabit
 static DMLC_ATTRIBUTE_UNUSED int XGBOOST_LINK_RABIT_C_API_ = RabitLinkTag();