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>

src/learner.cc

@@ -490,6 +490,12 @@ class LearnerConfiguration : public Learner {
 
     // Extract all parameters
     std::vector<std::string> keys;
+    // First global parameters
+    Json const global_config{ToJson(*GlobalConfigThreadLocalStore::Get())};
+    for (auto const& items : get<Object const>(global_config)) {
+      keys.emplace_back(items.first);
+    }
+    // Parameters in various xgboost components.
     while (!stack.empty()) {
       auto j_obj = stack.top();
       stack.pop();