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.

src/c_api/c_api.cc

@@ -119,10 +119,9 @@ class NativeDataIter : public dmlc::Parser<uint32_t> {
   }
 
   bool Next() override {
-    if ((*next_callback_)(
-            data_handle_,
-            XGBoostNativeDataIterSetData,
-            this) != 0) {
+    if ((*next_callback_)(data_handle_,
+                          XGBoostNativeDataIterSetData,
+                          this) != 0) {
       at_first_ = false;
       return true;
     } else {