Add AzureML in integrations via dedicated callback 
# What does this PR do?

I propose this PR to allow transformers to call AzureML logging using https://docs.microsoft.com/en-us/python/api/azureml-core/azureml.core.run(class)?view=azure-ml-py

The intended behaviour is to enable `transformers` users to track metrics in the AzureML UI in this fashion

![image](https://user-images.githubusercontent.com/4547987/97200283-4f2e0b80-17b1-11eb-8928-20d6062c69a4.png)

Contributors to https://github.com/microsoft/AzureML-BERT and folks @microsoft may well come up with a better implementation though!

I am glad to improve the following if reviewers like the idea, and update docs and tests if needed.
@reviewers feel free to add any suggestions as my contributions to transformers have been very limited so far :)

## Before submitting
- [ ] This PR fixes a typo or improves the docs (you can dismiss the other checks if that's the case).
- [x] Did you read the [contributor guideline](https://github.com/huggingface/transformers/blob/master/CONTRIBUTING.md#start-contributing-pull-requests),
      Pull Request section?
- [x] Was this discussed/approved via a Github issue or the [forum](https://discuss.huggingface.co/)? Yes, check for detais https://discuss.huggingface.co/t/how-to-integrate-an-azuremlcallback-for-logging-in-azure/1713/4
- [x] Did you make sure to update the documentation with your changes? Here are the
      [documentation guidelines](https://github.com/huggingface/transformers/tree/master/docs), and
      [here are tips on formatting docstrings](https://github.com/huggingface/transformers/tree/master/docs#writing-source-documentation).
- [ ] Did you write any new necessary tests?

## Who can review?

@julien-c is aware of this and @sgugger participated in the thread on forums above and implemented callbacks with https://github.com/huggingface/transformers/pull/7596

Code changes pass tests @sgugger ! Thanks @alvarobartt for having a look at those also.

I guess I need to take care of  docs/source/main_classes/callback.rst as well to complete the checklist though?<|||||>Yes, if you could add a line to the rst file, that would be great!<|||||>You might need to rebase to have the latest script for doc formatting, which should do everything to make the CI happy with just `make style`. Let me know if you need help.<|||||>Sorry for the somewhat messy hacktoberfest @sgugger ! 
I wasn't so aware of rst idiosyncrasies, and ways to diagnose issues, so I struggled a bit. Should be in order now (bonus, I fixed a typo on the way https://github.com/huggingface/transformers/pull/8062/commits/286f20c0594c3d16c824963c24c8fb1bc1d43bc6)