Add heu processor library files (for secure boost scheme phase 2)

[shaojian-ant]

This PR replaces [#10291 ], which changes the target branch from dmlc:master to dmlc:vertical-federated-learning

[shaojian-ant]

Hi, @ZiyueXu77, @trivialfis,

I see that the Processor interface has been merged into the vertical-federated-learning branch. Given this progress, is it now ready for us to proceed with our previous proposal, which suggested integrating SecretFlow/HEU (https://github.com/secretflow/heu) as an alternative homomorphic encryption (HE) solution for Secure XGBoost?

To integrate our HEU processor implementation into XGBoost, should we provide the following three files?

1. A dynamic library file (libproc_heu.so), placed in a specified directory in xgboost.
2. A test file (test_*.cc), placed under the tests/cpp/processing directory.
3. A README.md file, detailing information about our so file, including instructions on generating the public and secret keys.

Thanks for your guidance.

[trivialfis]

Apologies for the lack of communication here. I ditched that branch as it's way too messy at this point. This is switched to https://github.com/dmlc/xgboost/tree/federated-secure . With the new branch, I believe there's no integration needed in XGBoost, rather, implementations will define an independent loadable library for XGBoost, and then provide the name of the library to XGBoost before training. I will try to provide a simple example as soon as possible.

The code is still in flux, as loading an external library in XGBoost has really not been expected since the beginning and we are still figuring out how to do it without messing up the rest of the world (hence not in the main branch). See the many limitations in #10410 (comment) .