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/man/xgb.train.Rd

@@ -155,6 +155,7 @@ An object of class \code{xgb.Booster} with the following elements:
         (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.
 }
 }
 \description{