Merge duplicated linear updater parameters. (#4013)

* Merge duplicated linear updater parameters.

* Split up coordinate descent parameter.

src/linear/coordinate_common.h

@@ -8,11 +8,24 @@
 #include <utility>
 #include <vector>
 #include <limits>
+
+#include "./param.h"
 #include "../common/random.h"
 
 namespace xgboost {
 namespace linear {
 
+struct CoordinateParam : public dmlc::Parameter<CoordinateParam> {
+  int top_k;
+  DMLC_DECLARE_PARAMETER(CoordinateParam) {
+    DMLC_DECLARE_FIELD(top_k)
+        .set_lower_bound(0)
+        .set_default(0)
+        .describe("The number of top features to select in 'thrifty' feature_selector. "
+                  "The value of zero means using all the features.");
+  }
+};
+
 /**
  * \brief Calculate change in weight for a given feature. Applies l1/l2 penalty normalised by the
  *        number of training instances.
@@ -442,17 +455,6 @@ class ThriftyFeatureSelector : public FeatureSelector {
   std::vector<std::pair<double, double>> gpair_sums_;
 };
 
-/**
- * \brief A set of available FeatureSelector's
- */
-enum FeatureSelectorEnum {
-  kCyclic = 0,
-  kShuffle,
-  kThrifty,
-  kGreedy,
-  kRandom
-};
-
 inline FeatureSelector *FeatureSelector::Create(int choice) {
   switch (choice) {
     case kCyclic: