Optimize cpu sketch allreduce for sparse data.

[trivialfis]

Follow up on #5880 . @ShvetsKS @SmirnovEgorRu Previously sketching on URL dataset on distributed environment was not possible due to memory usage blow up. After this PR I can unify the sketching for hist and approx and proceed with other refactoring to unify the codebase.

Also fixed a bug in distributed training with incorrect allreduce call, and added tests.

Perf

Previous perf is from #5880.

Single Node

Before

• URL
  GmatInitialization: 10.3033s, 1 calls @ 10303323us
  GmatInitialization: 10.2406s, 1 calls @ 10240576us
  GmatInitialization: 10.224s, 1 calls @ 10224020us

• HIGGS
  GmatInitialization: 3.74322s, 1 calls @ 3743224us
  GmatInitialization: 3.63079s, 1 calls @ 3630793us
  GmatInitialization: 3.67905s, 1 calls @ 3679049us

After

• HIGGS
  GmatInitialization: 3.7794s, 1 calls @ 3779401us
  GmatInitialization: 3.81085s, 1 calls @ 3810851us
  GmatInitialization: 3.77258s, 1 calls @ 3772581us
  GmatInitialization: 3.76844s, 1 calls @ 3768436us

• URL
  GmatInitialization: 10.315s, 1 calls @ 10314976us
  GmatInitialization: 10.3202s, 1 calls @ 10320246us
  GmatInitialization: 10.3059s, 1 calls @ 10305877us

Multi Node 4x4

Before

• HIGGS
  GmatInitialization: 3.7682s, 1 calls @ 3768198us
  GmatInitialization: 3.707s, 1 calls @ 3707000us
  GmatInitialization: 3.70828s, 1 calls @ 3708276us

• URL
  NAN

After

• HIGGS
  GmatInitialization: 3.64623s, 1 calls @ 3646232us
  GmatInitialization: 3.5942s, 1 calls @ 3594197us
  GmatInitialization: 3.73079s, 1 calls @ 3730792us

• URL
  GmatInitialization: 6.53294s, 1 calls @ 6532936us
  GmatInitialization: 6.43215s, 1 calls @ 6432153us
  GmatInitialization: 6.67619s, 1 calls @ 6676192us

@ShvetsKS Also I might have found the cause of the slow down you mentioned, this is memory usage from massif when training on URL on distributed env, but should be related to performance:

I can't get a complete run as my home machine only has 32 GB of memory. Hope that helps.

[trivialfis]

@ShvetsKS Could you please help taking a look?

[codecov-commenter]

Codecov Report

Merging #6009 into master will increase coverage by 0.10%.
The diff coverage is n/a.

@@            Coverage Diff             @@
##           master    #6009      +/-   ##
==========================================
+ Coverage   79.04%   79.14%   +0.10%     
==========================================
  Files          12       12              
  Lines        3025     3040      +15     
==========================================
+ Hits         2391     2406      +15     
  Misses        634      634              

Impacted Files	Coverage Δ
python-package/xgboost/sklearn.py	91.44% <0.00%> (+0.06%)	⬆️
python-package/xgboost/core.py	78.22% <0.00%> (+0.08%)	⬆️
python-package/xgboost/data.py	59.40% <0.00%> (+0.85%)	⬆️

---

Continue to review full report at Codecov.

Legend - Click here to learn more
Δ = absolute <relative> (impact), ø = not affected, ? = missing data
Powered by Codecov. Last update a418278...e3c53e8. Read the comment docs.

[trivialfis]

@ShvetsKS I'm merging it as it contains a bug fix that's blocking the CI. If you have concerns feel free to revert or let me know how should I make follow up PRs.