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[v1.4.x] Support populating errors back to MXNet engine in callback #13932
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This PR adds an optional dmlc::Error* argument in MXNet engine callback functions. The callers can leverage this argument to populate errors back to MXNet engine through callback such that the errors can be handled properly by MXNet engine. It is needed to populate the errors detected in Horovod back to MXNet engine for Hovorod and MXNet integration (see PR). This change does not affect existing use cases.