Support early stopping with training continuation, correct num boosted rounds. (#6506)

* Implement early stopping with training continuation.

* Add new C API for obtaining boosted rounds.

* Fix off by 1 in `save_best`.

Co-authored-by: Philip Hyunsu Cho <chohyu01@cs.washington.edu>

src/learner.cc

@@ -1107,6 +1107,12 @@ class LearnerImpl : public LearnerIO {
     }
   }
 
+  int32_t BoostedRounds() const override {
+    if (!this->gbm_) { return 0; }  // haven't call train or LoadModel.
+    CHECK(!this->need_configuration_);
+    return this->gbm_->BoostedRounds();
+  }
+
   XGBAPIThreadLocalEntry& GetThreadLocal() const override {
     return (*LearnerAPIThreadLocalStore::Get())[this];
   }