Add Model and Configurable interface. (#4945)

* Apply Configurable to objective functions.
* Apply Model to Learner and Regtree, gbm.
* Add Load/SaveConfig to objs.
* Refactor obj tests to use smart pointer.
* Dummy methods for Save/Load Model.

plugin/example/custom_obj.cc

@@ -1,5 +1,5 @@
 /*!
- * Copyright 2015 by Contributors
+ * Copyright 2015-2019 by Contributors
  * \file custom_metric.cc
  * \brief This is an example to define plugin of xgboost.
  *  This plugin defines the additional metric function.
@@ -7,6 +7,7 @@
 #include <xgboost/base.h>
 #include <dmlc/parameter.h>
 #include <xgboost/objective.h>
+#include <xgboost/json.h>
 
 namespace xgboost {
 namespace obj {
@@ -69,6 +70,16 @@ class MyLogistic : public ObjFunction {
     return -std::log(1.0f / base_score - 1.0f);
   }
 
+  void SaveConfig(Json* p_out) const override {
+    auto& out = *p_out;
+    out["name"] = String("my_logistic");
+    out["my_logistic_param"] = toJson(param_);
+  }
+
+  void LoadConfig(Json const& in) override {
+    fromJson(in["my_logistic_param"], &param_);
+  }
+
  private:
   MyLogisticParam param_;
 };