[R] Use array interface for dense DMatrix creation

[david-cortes]

ref #9810

This PR switches the underlying C function for DMatrix creation from dense R matrices to the XGDMatrixCreateFromDense function used in the python interface.

Along the way, it also fixes a potential memory leak in case of failures, in which a failure to allocate an R externalptr would lead to a longjump without freeing the allocated C++ object from its pointer.

I see there was already some mechanism to create the kind of array JSON that numpy uses in the DMatrix creators from sparse matrices, but couldn't find any equivalent for dense matrices. There also seems to be a dedicated module to create JSONs, but they look simple enough for snprintf.

The JSON parser for the config by the way seems to have issues with nan and inf, so this PR makes a conversion to NaN and Infinity which seem to be accepted.

[trivialfis]

Thank you for working on the dense matrix, let me make some changes tomorrow for using the JSON class in XGBoost.

[trivialfis]

Hi @david-cortes , I have made some changes to use the linalg module in XGBoost for generating the strings, could you please take a look when you are available? I'm open to suggestions and feel free to ping me if you find some of the code confusing.

[david-cortes]

Hi @david-cortes , I have made some changes to use the linalg module in XGBoost for generating the strings, could you please take a look when you are available? I'm open to suggestions and feel free to ping me if you find some of the code confusing.

Thanks for the changes. I've made some very small modifications on top and I guess it should be good to go now.

[trivialfis]

Nice work! Will merge once the CI is green.