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.

tests/python/test_demos.py

@@ -127,6 +127,14 @@ def test_continuation_demo():
     subprocess.check_call(cmd)
 
 
+@pytest.mark.skipif(**tm.no_sklearn())
+@pytest.mark.skipif(**tm.no_matplotlib())
+def test_multioutput_reg() -> None:
+    script = os.path.join(PYTHON_DEMO_DIR, "multioutput_regression.py")
+    cmd = ['python', script, "--plot=0"]
+    subprocess.check_call(cmd)
+
+
 # gpu_acceleration is not tested due to covertype dataset is being too huge.
 # gamma regression is not tested as it requires running a R script first.
 # aft viz is not tested due to ploting is not controled