Export Python Interface for external memory. (#7070)

* Add Python iterator interface.
* Add tests.
* Add demo.
* Add documents.
* Handle empty dataset.

tests/python-gpu/test_gpu_demos.py

@@ -9,7 +9,7 @@ import test_demos as td         # noqa
 
 @pytest.mark.skipif(**tm.no_cupy())
 def test_data_iterator():
-    script = os.path.join(td.PYTHON_DEMO_DIR, 'data_iterator.py')
+    script = os.path.join(td.PYTHON_DEMO_DIR, 'quantile_data_iterator.py')
     cmd = ['python', script]
     subprocess.check_call(cmd)