DMatrix Refactor Discussion

Since DMatrix refactor results in a major change of data structure and internals, let us do an RFC discussion of choices and their consequences.

cc @hcho3

@RAMitchell Can you make a list of proposed changes?

There has been a report of XGBoost-Spark crashing after DMatrix refactor:

Theo (@thvasilo, GitHub profile) found a bug that’s smilar to #3402. I’ll post more updates on this.

I submitted a patch to fix a bug introduced by the refactor.

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Would you folks know if DMatrix supports any metadata to provide the ability to train a model on different objective functions based on segment of training data ?