[WIP] Documenting Linear SGD models

[tqchen]

@mli I have write some todos for you on better documenting linear sgd models, please feel free to modify it

• Use https://github.com/dmlc/wormhole/tree/master/learn/data for toy example
  • Normally the user need an very quick example to test out the process
• Give a complete example that runs on YARN
  • See the L-BFGS Linear example that can be related
• Add build script to Makefile and add a guide on how to build

[mli]

done