Implement training observer.

[trivialfis]

Closes #4837 Small part of #4732 .

[hcho3]

This is going to be quite useful for developers who want to implement new objectives and metrics. Thanks!

[trivialfis]

Please note that as a small part of JSON PR, you can't use this right now as the observer uses JSON for dumping tree model and XGBoost parameter.

[RAMitchell]

I haven't really used something like this myself, what is the benefit over watching variables with a debugger?

[hcho3]

@RAMitchell Recently I have been working to add a new objective, and often I would find it useful to print out intermediate variables like gradients. The benefit is that you get trace of a variable while training is proceeding as usual. Also see #4837.

[trivialfis]

@hcho3 If you use the observer, you don't have to enable the cmake flag and recompile the whole world, just change this particular file. The CMake flag is mostly for new comer.