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>

tests/cpp/test_global_config.cc

@@ -0,0 +1,22 @@
+#include <gtest/gtest.h>
+#include <xgboost/json.h>
+#include <xgboost/logging.h>
+#include <xgboost/global_config.h>
+
+namespace xgboost {
+
+TEST(GlobalConfiguration, Verbosity) {
+  // Configure verbosity via global configuration
+  Json config{JsonObject()};
+  config["verbosity"] = String("0");
+  auto& global_config = *GlobalConfigThreadLocalStore::Get();
+  FromJson(config, &global_config);
+  // Now verbosity should be updated
+  EXPECT_EQ(ConsoleLogger::GlobalVerbosity(), ConsoleLogger::LogVerbosity::kSilent);
+  EXPECT_NE(ConsoleLogger::LogVerbosity::kSilent, ConsoleLogger::DefaultVerbosity());
+  // GetConfig() should also return updated verbosity
+  Json current_config { ToJson(*GlobalConfigThreadLocalStore::Get()) };
+  EXPECT_EQ(get<String>(current_config["verbosity"]), "0");
+}
+
+}  // namespace xgboost