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