* Make C++ unit tests run and pass on Windows
* Fix logic for external memory. The letter ':' is part of drive letter,
so remove the drive letter before splitting on ':'.
* Cosmetic syntax changes to keep MSVC happy.
* Fix lint
* Add Windows guard
* Implement Transform class.
* Add tests for softmax.
* Use Transform in regression, softmax and hinge objectives, except for Cox.
* Mark old gpu objective functions deprecated.
* static_assert for softmax.
* Split up multi-gpu tests.