Better support for mypy.

[trivialfis]

Currently many more Python projects like dask and optuna are using Python type hints. With the Python package of xgboost gaining more and more features, we should also adopt mypy as a safe guard against some type errors and for better code documentation.

[trivialfis]

I marked this as good first issue. Adding type checks for Python is an incremental process, parameter by parameter and function by function. It would be a good chance to review existing code base and make improvement during the process. I have made some progress on #6519 with the dask module, which is by far the most dynamic module in xgboost. Other modules can use it as a base line.

Contributions are welcomed!

[jjwang01]

Hi, I was wondering if I could work on this as a first issue. Thanks!

[trivialfis]

@jjwang01 Please do. ;-) ping me if you need any help

[jjwang01]

Is it alright if I split this into multiple PRs?

[trivialfis]

@jjwang01 As many as you need. In fact, it's a good idea to have multiple PRs so we can communicate better around details.

[jjwang01]

@trivialfis Is there some sort of local build script that I can use to test locally rather than after submitting a commit to PR?

[jjwang01]

Hi, just wanted to follow up on this comment.

[trivialfis]

Hi, sorry for missing the message.

1. Install mypy in your python envorinment.
2. cd python-package in xgboost source directory.
3. Run mypy .