Fix multi-output with alternating strategies. (#9933)

---------

Co-authored-by: Philip Hyunsu Cho <chohyu01@cs.washington.edu>

python-package/xgboost/testing/updater.py

@@ -394,3 +394,14 @@ def train_result(
     assert booster.feature_types == dmat.feature_types
 
     return result
+
+
+class ResetStrategy(xgb.callback.TrainingCallback):
+    """Callback for testing multi-output."""
+
+    def after_iteration(self, model: xgb.Booster, epoch: int, evals_log: dict) -> bool:
+        if epoch % 2 == 0:
+            model.set_param({"multi_strategy": "multi_output_tree"})
+        else:
+            model.set_param({"multi_strategy": "one_output_per_tree"})
+        return False