I did mean use case 2,3,4. 
Initialization is done in the constructor `kv.__init__()`, and for horovod it 
could be simply a `hvd.init()` call. 

I have not discussed problem 1 for too much details. horovod uses mpirun to 
setup connection and launch processes, while byteps/p3 and native kvstore 
currently use the `dmlc/launcher` script. I do see that `dmlc/launcher` has mpi 
support, but I need to play more with it to see if it fits existing use cases. 
But I don't see fundamental blockers for (1). 

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