Add paralellisation with OpenMP

[Blunde1]

The node::split_information()should be easy to paralellize.

[szilard]

Indeed, and up to 4-8 threads/CPU cores it can have a very good benefit, though based on experience with xgboost/lightgbm the scaling beyond 8 cores is difficult/with very much diminishing returns for dataset sizes commonly found in practice (100K-1M records):

(the panels are for various dataset sizes, 0.1M (million) rows, 1M and 10M)

[szilard]

Also there is an actual slow down on systems with multi-CPU sockets (even for super-large datasets) for example xgboost and lightgbm are not "NUMA optimized":

More details in this repo https://github.com/szilard/GBM-perf#multi-socket-cpus or in this talk https://www.youtube.com/watch?v=qjuizRba3ZQ&t=31m00s