Initial support for multioutput regression. (#7514)

* Add num target model parameter, which is configured from input labels.
* Change elementwise metric and indexing for weights.
* Add demo.
* Add tests.

include/xgboost/objective.h

@@ -77,6 +77,16 @@ class ObjFunction : public Configurable {
    * \brief Return task of this objective.
    */
   virtual struct ObjInfo Task() const = 0;
+  /**
+   * \brief Return number of targets for input matrix.  Right now XGBoost supports only
+   *        multi-target regression.
+   */
+  virtual uint32_t Targets(MetaInfo const& info) const {
+    if (info.labels.Shape(1) > 1) {
+      LOG(FATAL) << "multioutput is not supported by current objective function";
+    }
+    return 1;
+  }
 
   /*!
    * \brief Create an objective function according to name.