Allow blocking launch of federated tracker. (#10414)

---------

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

python-package/xgboost/federated.py

@@ -65,9 +65,19 @@ def run_federated_server(  # pylint: disable=too-many-arguments
     server_key_path: Optional[str] = None,
     server_cert_path: Optional[str] = None,
     client_cert_path: Optional[str] = None,
+    blocking: bool = True,
     timeout: int = 300,
-) -> Dict[str, Any]:
-    """See :py:class:`~xgboost.federated.FederatedTracker` for more info."""
+) -> Optional[Dict[str, Any]]:
+    """See :py:class:`~xgboost.federated.FederatedTracker` for more info.
+
+    Parameters
+    ----------
+    blocking :
+        Block the server until the training is finished. If set to False, the function
+        launches an additional thread and returns the worker arguments. The default is
+        True and a higher level framework is responsible for setting worker parameters.
+
+    """
     args: Dict[str, Any] = {"n_workers": n_workers}
     secure = all(
         path is not None
@@ -78,6 +88,10 @@ def run_federated_server(  # pylint: disable=too-many-arguments
     )
     tracker.start()
 
+    if blocking:
+        tracker.wait_for()
+        return None
+
     thread = Thread(target=tracker.wait_for)
     thread.daemon = True
     thread.start()