[RFC] Memory usage test.

Currently most of our tests are related to correctness, and some large size benchmarks for performance scattered around developers. But recently I fixed a memory copy bug in https://github.com/dmlc/xgboost/pull/5160 , and a memory leaking bug in #5153 . It becomes obvious that we need some regular memory consumption tests.

One way to do this is using Python's `psutil` module for monitoring virtual memory, another one is using [cgmemtime](https://github.com/gsauthof/cgmemtime) for marking peak memory usage. The second option requires Linux cgroup and root access for setup.