tests/cpp: Add tests for regression_obj.cc

Test the objective functions in regression_obj.cc

tests/cpp: Add tests for objective.cc and RegLossObj

tests/cpp/objective/test_objective.cc

@@ -0,0 +1,9 @@
+// Copyright by Contributors
+#include <xgboost/objective.h>
+
+#include "../helpers.h"
+
+TEST(Objective, UnknownFunction) {
+  EXPECT_ANY_THROW(xgboost::ObjFunction::Create("unknown_name"));
+  EXPECT_NO_THROW(xgboost::ObjFunction::Create("reg:linear"));
+}