Fix CPU hist init for sparse dataset. (#4625)

* Fix CPU hist init for sparse dataset.

* Implement sparse histogram cut.
* Allow empty features.

* Fix windows build, don't use sparse in distributed environment.

* Comments.

* Smaller threshold.

* Fix windows omp.

* Fix msvc lambda capture.

* Fix MSVC macro.

* Fix MSVC initialization list.

* Fix MSVC initialization list x2.

* Preserve categorical feature behavior.

* Rename matrix to sparse cuts.
* Reuse UseGroup.
* Check for categorical data when adding cut.

Co-Authored-By: Philip Hyunsu Cho <chohyu01@cs.washington.edu>

* Sanity check.

* Fix comments.

* Fix comment.

include/xgboost/data.h

@@ -437,6 +437,7 @@ class DMatrix {
                        bool load_row_split,
                        const std::string& file_format = "auto",
                        const size_t page_size = kPageSize);
+
   /*!
    * \brief create a new DMatrix, by wrapping a row_iterator, and meta info.
    * \param source The source iterator of the data, the create function takes ownership of the source.