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/python/test_config.py

@@ -0,0 +1,16 @@
+# -*- coding: utf-8 -*-
+import xgboost as xgb
+import pytest
+import testing as tm
+
+
+@pytest.mark.parametrize('verbosity_level', [0, 1, 2, 3])
+def test_global_config_verbosity(verbosity_level):
+    def get_current_verbosity():
+        return xgb.get_config()['verbosity']
+
+    old_verbosity = get_current_verbosity()
+    with xgb.config_context(verbosity=verbosity_level):
+        new_verbosity = get_current_verbosity()
+        assert new_verbosity == verbosity_level
+    assert old_verbosity == get_current_verbosity()