Use __array_interface__ for creating DMatrix from CSR. (#6675)

* Use __array_interface__ for creating DMatrix from CSR.
* Add configuration.

include/xgboost/c_api.h

@@ -109,6 +109,27 @@ XGB_DLL int XGDMatrixCreateFromCSREx(const size_t* indptr,
                                      size_t nelem,
                                      size_t num_col,
                                      DMatrixHandle* out);
+
+/*!
+ * \brief Create a matrix from CSR matrix.
+ * \param indptr  JSON encoded __array_interface__ to row pointers in CSR.
+ * \param indices JSON encoded __array_interface__ to column indices in CSR.
+ * \param data    JSON encoded __array_interface__ to values in CSR.
+ * \param num_col Number of columns.
+ * \param json_config JSON encoded configuration.  Required values are:
+ *
+ *          - missing
+ *          - nthread
+ *
+ * \param out created dmatrix
+ * \return 0 when success, -1 when failure happens
+ */
+XGB_DLL int XGDMatrixCreateFromCSR(char const *indptr,
+                                   char const *indices, char const *data,
+                                   bst_ulong ncol,
+                                   char const* json_config,
+                                   DMatrixHandle* out);
+
 /*!
  * \brief create a matrix content from CSC format
  * \param col_ptr pointer to col headers