Add cancellation checkpoint in logistic regression. (#3032)

* Add cancellation checkpoint in logistic regression.

* Add checkpoint in LineSearch.Minimize()

Author: codemzs

src/Microsoft.ML.StandardTrainers/Optimizer/Optimizer.cs

@@ -624,6 +624,7 @@ public void Minimize(DifferentiableFunction function, ref VBuffer<float> initial
                 state.UpdateDir();
                 while (!finished)
                 {
+                    Env.CheckAlive();
                     bool success = state.LineSearch(ch, false);
                     if (!success)
                     {

src/Microsoft.ML.StandardTrainers/Standard/LogisticRegression/LbfgsPredictorBase.cs

@@ -482,6 +482,7 @@ private protected virtual void TrainCore(IChannel ch, RoleMappedData data)
                     e => e.SetProgress(0, exCount, totalCount));
                 while (cursor.MoveNext())
                 {
+                    Host.CheckAlive();
                     WeightSum += cursor.Weight;
                     if (ShowTrainingStats)
                         ProcessPriorDistribution(cursor.Label, cursor.Weight);