Add global configuration (#6414)

* Add management functions for global configuration: XGBSetGlobalConfig(), XGBGetGlobalConfig().
* Add Python interface: set_config(), get_config(), and config_context().
* Add unit tests for Python
* Add R interface: xgb.set.config(), xgb.get.config()
* Add unit tests for R

Co-authored-by: Jiaming Yuan <jm.yuan@outlook.com>

R-package/src/xgboost_custom.cc

@@ -16,7 +16,7 @@ void CustomLogMessage::Log(const std::string& msg) {
 namespace xgboost {
 ConsoleLogger::~ConsoleLogger() {
   if (cur_verbosity_ == LogVerbosity::kIgnore ||
-      cur_verbosity_ <= global_verbosity_) {
+      cur_verbosity_ <= GlobalVerbosity()) {
     dmlc::CustomLogMessage::Log(log_stream_.str());
   }
 }