[PLUGIN] Add plugin system

plugin/README.md

@@ -0,0 +1,32 @@
+XGBoost Plugins Modules
+=======================
+This folder contains plugin modules to xgboost that can be optionally installed.
+The plugin system helps us to extend xgboost with additional features,
+and add experimental features that may not yet ready to be included in main project.
+
+To include a certain plugin, say ```plugin_a```, you only need to add the following line to the config.mk.
+
+```makefile
+# Add plugin by include the plugin in config
+include plugin/plugin_a/plugin.mk
+```
+
+Then rebuild libxgboost by typing make, you can get a new library with the plugin enabled.
+
+Link Static XGBoost Library with Plugins
+----------------------------------------
+This problem only happens when you link ```libxgboost.a```.
+If you only use ```libxgboost.so```(this include python and other bindings),
+you can ignore this section.
+
+When you want to link ```libxgboost.a``` with additional plugins included,
+you will need to enabled whole archeive via The following option.
+```bash
+--whole-archive libxgboost.a --no-whole-archive
+```
+
+Write Your Own Plugin
+---------------------
+You can plugin your own modules to xgboost by adding code to this folder,
+without modification to the main code repo.
+The [example](example) folder provides an example to write a plugin.