External memory support for hist (#7531)

* Generate column matrix from gHistIndex.
* Avoid synchronization with the sparse page once the cache is written.
* Cleanups: Remove member variables/functions, change the update routine to look like approx and gpu_hist.
* Remove pruner.

demo/guide-python/feature_weights.py

@@ -27,7 +27,7 @@ def main(args):
     dtrain.set_info(feature_weights=fw)
 
     bst = xgboost.train({'tree_method': 'hist',
-                         'colsample_bynode': 0.5},
+                         'colsample_bynode': 0.2},
                         dtrain, num_boost_round=10,
                         evals=[(dtrain, 'd')])
     feature_map = bst.get_fscore()