JSON configuration IO. (#5111)

* Add saving/loading JSON configuration.
* Implement Python pickle interface with new IO routines.
* Basic tests for training continuation.

tests/cpp/c_api/test_c_api.cc

@@ -8,6 +8,7 @@
 #include "../helpers.h"
 #include "../../../src/common/io.h"
 
+
 TEST(c_api, XGDMatrixCreateFromMatDT) {
   std::vector<int> col0 = {0, -1, 3};
   std::vector<float> col1 = {-4.0f, 2.0f, 0.0f};
@@ -77,7 +78,41 @@ TEST(c_api, Version) {
   ASSERT_EQ(patch, XGBOOST_VER_PATCH);
 }
 
-TEST(c_api, Json_ModelIO){
+TEST(c_api, ConfigIO) {
+  size_t constexpr kRows = 10;
+  auto pp_dmat = CreateDMatrix(kRows, 10, 0);
+  auto p_dmat = *pp_dmat;
+  std::vector<std::shared_ptr<DMatrix>> mat {p_dmat};
+  std::vector<bst_float> labels(kRows);
+  for (size_t i = 0; i < labels.size(); ++i) {
+    labels[i] = i;
+  }
+  p_dmat->Info().labels_.HostVector() = labels;
+
+  std::shared_ptr<Learner> learner { Learner::Create(mat) };
+
+  BoosterHandle handle = learner.get();
+  learner->UpdateOneIter(0, p_dmat.get());
+
+  char const* out[1];
+  bst_ulong len {0};
+  XGBoosterSaveJsonConfig(handle, &len, out);
+
+  std::string config_str_0 { out[0] };
+  auto config_0 = Json::Load({config_str_0.c_str(), config_str_0.size()});
+  XGBoosterLoadJsonConfig(handle, out[0]);
+
+  bst_ulong len_1 {0};
+  std::string config_str_1 { out[0] };
+  XGBoosterSaveJsonConfig(handle, &len_1, out);
+  auto config_1 = Json::Load({config_str_1.c_str(), config_str_1.size()});
+
+  ASSERT_EQ(config_0, config_1);
+
+  delete pp_dmat;
+}
+
+TEST(c_api, Json_ModelIO) {
   size_t constexpr kRows = 10;
   dmlc::TemporaryDirectory tempdir;