[dask] Complete features in regressor and classifier.

[trivialfis]

• Add eval_metric.
• Add custom objective.
• Add callback.
• Add feature weights.

[hcho3]

Is this blocking?

[trivialfis]

No. It's a PR for reaching feature parity with native model.

[trivialfis]

Close #6121 .
Close #6468 .

[trivialfis]

There are still some features like ntree_limit, xgb_model arguments in sklearn wrapper, which I do not indent to support. Also, some additional attributes like n_features_in_ will be considered in future PRs as right now I don't have a complete list of them. We will need to run scikit-learn's model interface check to declare feature complete.

[pseudotensor]

There are still some features like ntree_limit, xgb_model arguments in sklearn wrapper, which I do not indent to support. Also, some additional attributes like n_features_in_ will be considered in future PRs as right now I don't have a complete list of them. We will need to run scikit-learn's model interface check to declare feature complete.

FYI ntree_limit = 0 usually has to be passed for gblinear during predict or one gets an assertion hit, so if no ntree_limit support is done it would have to automaticlally pass that properly.

[trivialfis]

@pseudotensor gblinear is not used in distributed setting.

[trivialfis]

@pseudotensor We added a new feature for slicing tree model:

booster[0: 3]

will get the trees in [0, 3) boosting rounds. See https://xgboost.readthedocs.io/en/latest/python/model.html .

[codecov-io]

Codecov Report

Merging #6471 (4d57fee) into master (d6386e4) will decrease coverage by 0.04%.
The diff coverage is 79.16%.

@@            Coverage Diff             @@
##           master    #6471      +/-   ##
==========================================
- Coverage   80.13%   80.09%   -0.05%     
==========================================
  Files          13       13              
  Lines        3513     3531      +18     
==========================================
+ Hits         2815     2828      +13     
- Misses        698      703       +5     

Impacted Files	Coverage Δ
python-package/xgboost/dask.py	80.85% <79.16%> (-0.29%)	⬇️

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[trivialfis]

@hcho3 @RAMitchell please help reviewing.