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

src/data/sparse_page_dmatrix.h

@@ -116,7 +116,7 @@ class SparsePageDMatrix : public DMatrix {
    * \brief Try to initialize column data.
    * \return true if data already exists, false if they do not.
    */
-  bool TryInitColData();
+  bool TryInitColData(bool sorted);
   // source data pointer.
   std::unique_ptr<DataSource> source_;
   // the cache prefix