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.

tests/cpp/common/test_random.cc

@@ -53,8 +53,8 @@ TEST(ColumnSampler, Test) {
 TEST(ColumnSampler, ThreadSynchronisation) {
   const int64_t num_threads = 100;
   int n = 128;
-  int iterations = 10;
-  int levels = 5;
+  size_t iterations = 10;
+  size_t levels = 5;
   std::vector<int> reference_result;
   bool success =
       true;  // Cannot use google test asserts in multithreaded region