Add support for cross-validation using query ID (#4474)

* adding support for matrix slicing with query ID for cross-validation

* hail mary test of unrar installation for windows tests

* trying to modify tests to run in Github CI

* Remove dependency on wget and unrar

* Save error log from R test

* Relax assertion in test_training

* Use int instead of bool in C function interface

* Revise R interface

* Add XGDMatrixSliceDMatrixEx and keep old XGDMatrixSliceDMatrix for API compatibility

include/xgboost/c_api.h

@@ -221,6 +221,20 @@ XGB_DLL int XGDMatrixSliceDMatrix(DMatrixHandle handle,
                                   const int *idxset,
                                   bst_ulong len,
                                   DMatrixHandle *out);
+/*!
+ * \brief create a new dmatrix from sliced content of existing matrix
+ * \param handle instance of data matrix to be sliced
+ * \param idxset index set
+ * \param len length of index set
+ * \param out a sliced new matrix
+ * \param allow_groups allow slicing of an array with groups
+ * \return 0 when success, -1 when failure happens
+ */
+XGB_DLL int XGDMatrixSliceDMatrixEx(DMatrixHandle handle,
+                                    const int *idxset,
+                                    bst_ulong len,
+                                    DMatrixHandle *out,
+                                    int allow_groups);
 /*!
  * \brief free space in data matrix
  * \return 0 when success, -1 when failure happens