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

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).
• Did you read the contributor guideline,
  Pull Request section?
• Was this discussed/approved via a Github issue or the forum? Yes, check for detais https://discuss.huggingface.co/t/how-to-integrate-an-azuremlcallback-for-logging-in-azure/1713/4
• Did you make sure to update the documentation with your changes? Here are the
  documentation guidelines, and
  here are tips on formatting docstrings.
• 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 #7596