Initial support for external memory in gradient index. (#7183)

* Add hessian to batch param in preparation of new approx impl.
* Extract a push method for gradient index matrix.
* Use span instead of vector ref for hessian in sketching.
* Create a binary format for gradient index.

tests/cpp/helpers.cc

@@ -370,7 +370,7 @@ std::unique_ptr<DMatrix> CreateSparsePageDMatrix(size_t n_entries,
 
   std::unique_ptr<DMatrix> dmat{DMatrix::Create(
       static_cast<DataIterHandle>(&iter), iter.Proxy(), Reset, Next,
-      std::numeric_limits<float>::quiet_NaN(), 1, prefix)};
+      std::numeric_limits<float>::quiet_NaN(), omp_get_max_threads(), prefix)};
   auto row_page_path =
       data::MakeId(prefix,
                    dynamic_cast<data::SparsePageDMatrix *>(dmat.get())) +