[Breaking] Set output margin to True for custom objective. (#5564)

* Set output margin to True for custom objective in Python and R.

* Add a demo for writing multi-class custom objective function.

* Run tests on selected demos.

demo/guide-python/custom_rmsle.py

@@ -15,6 +15,7 @@ import numpy as np
 import xgboost as xgb
 from typing import Tuple, Dict, List
 from time import time
+import argparse
 import matplotlib
 from matplotlib import pyplot as plt
 
@@ -150,12 +151,7 @@ def py_rmsle(dtrain: xgb.DMatrix, dtest: xgb.DMatrix) -> Dict:
     return results
 
 
-if __name__ == '__main__':
-    dtrain, dtest = generate_data()
-    rmse_evals = native_rmse(dtrain, dtest)
-    rmsle_evals = native_rmsle(dtrain, dtest)
-    py_rmsle_evals = py_rmsle(dtrain, dtest)
-
+def plot_history(rmse_evals, rmsle_evals, py_rmsle_evals):
     fig, axs = plt.subplots(3, 1)
     ax0: matplotlib.axes.Axes = axs[0]
     ax1: matplotlib.axes.Axes = axs[1]
@@ -177,3 +173,25 @@ if __name__ == '__main__':
 
     plt.show()
     plt.close()
+
+
+def main(args):
+    dtrain, dtest = generate_data()
+    rmse_evals = native_rmse(dtrain, dtest)
+    rmsle_evals = native_rmsle(dtrain, dtest)
+    py_rmsle_evals = py_rmsle(dtrain, dtest)
+
+    if args.plot != 0:
+        plot_history(rmse_evals, rmsle_evals, py_rmsle_evals)
+
+
+if __name__ == '__main__':
+    parser = argparse.ArgumentParser(
+        description='Arguments for custom RMSLE objective function demo.')
+    parser.add_argument(
+        '--plot',
+        type=int,
+        default=1,
+        help='Set to 0 to disable plotting the evaluation history.')
+    args = parser.parse_args()
+    main(args)