Multi-threaded XGDMatrixCreateFromMat for faster DMatrix creation (#2530)

* Multi-threaded XGDMatrixCreateFromMat for faster DMatrix creation from numpy arrays for python interface.

tests/cpp/c_api/test_c_api.cc

@@ -0,0 +1,40 @@
+// Copyright by Contributors
+#include <gtest/gtest.h>
+#include <xgboost/c_api.h>
+#include <xgboost/data.h>
+
+TEST(c_api, XGDMatrixCreateFromMat_omp) {
+  std::vector<int> num_rows = {100, 11374, 15000};
+  for (auto row : num_rows) {
+    int num_cols = 50;
+    int num_missing = 5;
+    DMatrixHandle handle;
+    std::vector<float> data(num_cols * row, 1.5);
+    for (int i = 0; i < num_missing; i++) {
+      data[i] = std::numeric_limits<float>::quiet_NaN();
+    }
+
+    XGDMatrixCreateFromMat_omp(data.data(), row, num_cols,
+                               std::numeric_limits<float>::quiet_NaN(), &handle,
+                               0);
+
+    std::shared_ptr<xgboost::DMatrix> dmat =
+        *static_cast<std::shared_ptr<xgboost::DMatrix> *>(handle);
+    xgboost::MetaInfo &info = dmat->info();
+    ASSERT_EQ(info.num_col, num_cols);
+    ASSERT_EQ(info.num_row, row);
+    ASSERT_EQ(info.num_nonzero, num_cols * row - num_missing);
+
+    auto iter = dmat->RowIterator();
+    iter->BeforeFirst();
+    while (iter->Next()) {
+      auto batch = iter->Value();
+      for (int i = 0; i < batch.size; i++) {
+        auto inst = batch[i];
+        for (int j = 0; i < inst.length; i++) {
+          ASSERT_EQ(inst[j].fvalue, 1.5);
+        }
+      }
+    }
+  }
+}