Additional improvements for gblinear (#3134)

* fix rebase conflict

* [core] additional gblinear improvements

* [R] callback for gblinear coefficients history

* force eta=1 for gblinear python tests

* add top_k to GreedyFeatureSelector

* set eta=1 in shotgun test

* [core] fix SparsePage processing in gblinear; col-wise multithreading in greedy updater

* set sorted flag within TryInitColData

* gblinear tests: use scale, add external memory test

* fix multiclass for greedy updater

* fix whitespace

* fix typo

R-package/R/xgb.train.R

@@ -162,6 +162,7 @@
 #'         (only available with early stopping).
 #'   \item \code{feature_names} names of the training dataset features
 #'         (only when comun names were defined in training data).
+#'   \item \code{nfeatures} number of features in training data.
 #' }
 #' 
 #' @seealso
@@ -363,6 +364,7 @@ xgb.train <- function(params = list(), data, nrounds, watchlist = list(),
   bst$callbacks <- callbacks
   if (!is.null(colnames(dtrain)))
     bst$feature_names <- colnames(dtrain)
-  
+  bst$nfeatures <- ncol(dtrain)
+
   return(bst)
 }