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

tests/cpp/linear/test_linear.cc

@@ -12,7 +12,7 @@ TEST(Linear, shotgun) {
   mat->InitColAccess(enabled, 1.0f, 1 << 16, false);
   auto updater = std::unique_ptr<xgboost::LinearUpdater>(
       xgboost::LinearUpdater::Create("shotgun"));
-  updater->Init({});
+  updater->Init({{"eta", "1."}});
   std::vector<xgboost::bst_gpair> gpair(mat->info().num_row,
                                         xgboost::bst_gpair(-5, 1.0));
   xgboost::gbm::GBLinearModel model;