Add callback interface to re-direct console output (#3438)

* Add callback interface to re-direct console output

* Exempt TrackerLogger from custom logging

* Fix lint

include/xgboost/c_api.h

@@ -96,6 +96,15 @@ XGB_EXTERN_C typedef int XGBCallbackDataIterNext(  // NOLINT(*)
  */
 XGB_DLL const char *XGBGetLastError(void);
 
+/*!
+ * \brief register callback function for LOG(INFO) messages -- helpful messages
+ *        that are not errors.
+ * Note: this function can be called by multiple threads. The callback function
+ *       will run on the thread that registered it
+ * \return 0 for success, -1 for failure
+ */
+XGB_DLL int XGBRegisterLogCallback(void (*callback)(const char*));
+
 /*!
  * \brief load a data matrix
  * \param fname the name of the file

include/xgboost/logging.h

@@ -9,6 +9,7 @@
 #define XGBOOST_LOGGING_H_
 
 #include <dmlc/logging.h>
+#include <dmlc/thread_local.h>
 #include <sstream>
 #include "./base.h"
 
@@ -37,6 +38,23 @@ class TrackerLogger : public BaseLogger {
   ~TrackerLogger();
 };
 
+class LogCallbackRegistry {
+ public:
+  using Callback = void (*)(const char*);
+  LogCallbackRegistry()
+    : log_callback_([] (const char* msg) { std::cerr << msg << std::endl; }) {}
+  inline void Register(Callback log_callback) {
+    this->log_callback_ = log_callback;
+  }
+  inline Callback Get() const {
+    return log_callback_;
+  }
+ private:
+  Callback log_callback_;
+};
+
+using LogCallbackRegistryStore = dmlc::ThreadLocalStore<LogCallbackRegistry>;
+
 // redefines the logging macro if not existed
 #ifndef LOG
 #define LOG(severity) LOG_##severity.stream()