Optimisations for gpu_hist. (#4248)

* Optimisations for gpu_hist.

* Use streams to overlap operations.

* ColumnSampler now uses HostDeviceVector to prevent repeatedly copying feature vectors to the device.

src/common/device_helpers.cuh

@@ -208,16 +208,23 @@ __global__ void LaunchNKernel(int device_idx, size_t begin, size_t end,
 }
 
 template <int ITEMS_PER_THREAD = 8, int BLOCK_THREADS = 256, typename L>
-inline void LaunchN(int device_idx, size_t n, L lambda) {
+inline void LaunchN(int device_idx, size_t n, cudaStream_t stream, L lambda) {
   if (n == 0) {
     return;
   }
 
   safe_cuda(cudaSetDevice(device_idx));
+
   const int GRID_SIZE =
       static_cast<int>(DivRoundUp(n, ITEMS_PER_THREAD * BLOCK_THREADS));
-  LaunchNKernel<<<GRID_SIZE, BLOCK_THREADS>>>(static_cast<size_t>(0), n,
+  LaunchNKernel<<<GRID_SIZE, BLOCK_THREADS, 0, stream>>>(static_cast<size_t>(0),
-                                              lambda);
+                                                         n, lambda);
+}
+
+// Default stream version
+template <int ITEMS_PER_THREAD = 8, int BLOCK_THREADS = 256, typename L>
+inline void LaunchN(int device_idx, size_t n, L lambda) {
+  LaunchN<ITEMS_PER_THREAD, BLOCK_THREADS>(device_idx, n, nullptr, lambda);
 }
 
 /*
@@ -500,6 +507,31 @@ class BulkAllocator {
   }
 };
 
+// Keep track of pinned memory allocation
+struct PinnedMemory {
+  void *temp_storage{nullptr};
+  size_t temp_storage_bytes{0};
+
+  ~PinnedMemory() { Free(); }
+
+  template <typename T>
+  xgboost::common::Span<T> GetSpan(size_t size) {
+    size_t num_bytes = size * sizeof(T);
+    if (num_bytes > temp_storage_bytes) {
+      Free();
+      safe_cuda(cudaMallocHost(&temp_storage, num_bytes));
+      temp_storage_bytes = num_bytes;
+    }
+    return xgboost::common::Span<T>(static_cast<T *>(temp_storage), size);
+  }
+
+  void Free() {
+    if (temp_storage != nullptr) {
+      safe_cuda(cudaFreeHost(temp_storage));
+    }
+  }
+};
+
 // Keep track of cub library device allocation
 struct CubMemory {
   void *d_temp_storage;

src/common/random.h

@@ -18,6 +18,7 @@
 #include <random>
 
 #include "io.h"
+#include "host_device_vector.h"
 
 namespace xgboost {
 namespace common {
@@ -84,26 +85,29 @@ GlobalRandomEngine& GlobalRandom(); // NOLINT(*)
  */
 
 class ColumnSampler {
-  std::shared_ptr<std::vector<int>> feature_set_tree_;
+  std::shared_ptr<HostDeviceVector<int>> feature_set_tree_;
-  std::map<int, std::shared_ptr<std::vector<int>>> feature_set_level_;
+  std::map<int, std::shared_ptr<HostDeviceVector<int>>> feature_set_level_;
   float colsample_bylevel_{1.0f};
   float colsample_bytree_{1.0f};
   float colsample_bynode_{1.0f};
   GlobalRandomEngine rng_;
 
-  std::shared_ptr<std::vector<int>> ColSample
+  std::shared_ptr<HostDeviceVector<int>> ColSample(
-    (std::shared_ptr<std::vector<int>> p_features, float colsample) {
+      std::shared_ptr<HostDeviceVector<int>> p_features, float colsample) {
     if (colsample == 1.0f) return p_features;
-    const auto& features = *p_features;
+    const auto& features = p_features->HostVector();
     CHECK_GT(features.size(), 0);
     int n = std::max(1, static_cast<int>(colsample * features.size()));
-    auto p_new_features = std::make_shared<std::vector<int>>();
+    auto p_new_features = std::make_shared<HostDeviceVector<int>>();
     auto& new_features = *p_new_features;
-    new_features.resize(features.size());
+    new_features.Resize(features.size());
-    std::copy(features.begin(), features.end(), new_features.begin());
+    std::copy(features.begin(), features.end(),
-    std::shuffle(new_features.begin(), new_features.end(), rng_);
+              new_features.HostVector().begin());
-    new_features.resize(n);
+    std::shuffle(new_features.HostVector().begin(),
-    std::sort(new_features.begin(), new_features.end());
+                 new_features.HostVector().end(), rng_);
+    new_features.Resize(n);
+    std::sort(new_features.HostVector().begin(),
+              new_features.HostVector().end());
 
     return p_new_features;
   }
@@ -135,13 +139,14 @@ class ColumnSampler {
     colsample_bynode_ = colsample_bynode;
 
     if (feature_set_tree_ == nullptr) {
-      feature_set_tree_ = std::make_shared<std::vector<int>>();
+      feature_set_tree_ = std::make_shared<HostDeviceVector<int>>();
     }
     Reset();
 
     int begin_idx = skip_index_0 ? 1 : 0;
-    feature_set_tree_->resize(num_col - begin_idx);
+    feature_set_tree_->Resize(num_col - begin_idx);
-    std::iota(feature_set_tree_->begin(), feature_set_tree_->end(), begin_idx);
+    std::iota(feature_set_tree_->HostVector().begin(),
+              feature_set_tree_->HostVector().end(), begin_idx);
 
     feature_set_tree_ = ColSample(feature_set_tree_, colsample_bytree_);
   }
@@ -150,7 +155,7 @@ class ColumnSampler {
    * \brief Resets this object.
    */
   void Reset() {
-    feature_set_tree_->clear();
+    feature_set_tree_->Resize(0);
     feature_set_level_.clear();
   }
 
@@ -165,7 +170,7 @@ class ColumnSampler {
    * construction of each tree node, and must be called the same number of times in each
    * process and with the same parameters to return the same feature set across processes.
    */
-  std::shared_ptr<std::vector<int>> GetFeatureSet(int depth) {
+  std::shared_ptr<HostDeviceVector<int>> GetFeatureSet(int depth) {
     if (colsample_bylevel_ == 1.0f && colsample_bynode_ == 1.0f) {
       return feature_set_tree_;
     }

src/tree/updater_colmaker.cc

@@ -632,10 +632,9 @@ class ColMaker: public TreeUpdater {
                           const std::vector<GradientPair> &gpair,
                           DMatrix *p_fmat,
                           RegTree *p_tree) {
-      auto p_feature_set = column_sampler_.GetFeatureSet(depth);
+      auto feat_set = column_sampler_.GetFeatureSet(depth);
-      const auto& feat_set = *p_feature_set;
       for (const auto &batch : p_fmat->GetSortedColumnBatches()) {
-        this->UpdateSolution(batch, feat_set, gpair, p_fmat);
+        this->UpdateSolution(batch, feat_set->HostVector(), gpair, p_fmat);
       }
       // after this each thread's stemp will get the best candidates, aggregate results
       this->SyncBestSolution(qexpand);

src/tree/updater_gpu_common.cuh

@@ -125,6 +125,18 @@ struct DeviceSplitCandidate {
   XGBOOST_DEVICE bool IsValid() const { return loss_chg > 0.0f; }
 };
 
+struct DeviceSplitCandidateReduceOp {
+  GPUTrainingParam param;
+  DeviceSplitCandidateReduceOp(GPUTrainingParam param) : param(param) {}
+  XGBOOST_DEVICE DeviceSplitCandidate operator()(
+      const DeviceSplitCandidate& a, const DeviceSplitCandidate& b) const {
+    DeviceSplitCandidate best;
+    best.Update(a, param);
+    best.Update(b, param);
+    return best;
+  }
+};
+
 struct DeviceNodeStats {
   GradientPair sum_gradients;
   float root_gain;

src/tree/updater_gpu_hist.cu

@@ -306,8 +306,8 @@ class DeviceHistogram {
 
   void AllocateHistogram(int nidx) {
     if (HistogramExists(nidx)) return;
-    size_t current_size =
+    size_t current_size = nidx_map_.size() * n_bins_ *
-        nidx_map_.size() * n_bins_ * 2;  // Number of items currently used in data
+                          2;  // Number of items currently used in data
     dh::safe_cuda(cudaSetDevice(device_id_));
     if (data_.size() >= kStopGrowingSize) {
       // Recycle histogram memory
@@ -452,7 +452,8 @@ struct IndicateLeftTransform {
 void SortPosition(dh::CubMemory* temp_memory, common::Span<int> position,
                   common::Span<int> position_out, common::Span<bst_uint> ridx,
                   common::Span<bst_uint> ridx_out, int left_nidx,
-                  int right_nidx, int64_t left_count) {
+                  int right_nidx, int64_t* d_left_count,
+                  cudaStream_t stream = nullptr) {
   auto d_position_out = position_out.data();
   auto d_position_in = position.data();
   auto d_ridx_out = ridx_out.data();
@@ -462,7 +463,7 @@ void SortPosition(dh::CubMemory* temp_memory, common::Span<int> position,
     if (d_position_in[idx] == left_nidx) {
       scatter_address = ex_scan_result;
     } else {
-      scatter_address = (idx - ex_scan_result) + left_count;
+      scatter_address = (idx - ex_scan_result) + *d_left_count;
     }
     d_position_out[scatter_address] = d_position_in[idx];
     d_ridx_out[scatter_address] = d_ridx_in[idx];
@@ -474,11 +475,20 @@ void SortPosition(dh::CubMemory* temp_memory, common::Span<int> position,
   dh::DiscardLambdaItr<decltype(write_results)> out_itr(write_results);
   size_t temp_storage_bytes = 0;
   cub::DeviceScan::ExclusiveSum(nullptr, temp_storage_bytes, in_itr, out_itr,
-                                position.size());
+                                position.size(), stream);
   temp_memory->LazyAllocate(temp_storage_bytes);
   cub::DeviceScan::ExclusiveSum(temp_memory->d_temp_storage,
                                 temp_memory->temp_storage_bytes, in_itr,
-                                out_itr, position.size());
+                                out_itr, position.size(), stream);
+}
+
+/*! \brief Count how many rows are assigned to left node. */
+__device__ void CountLeft(int64_t* d_count, int val, int left_nidx) {
+  unsigned ballot = __ballot(val == left_nidx);
+  if (threadIdx.x % 32 == 0) {
+    atomicAdd(reinterpret_cast<unsigned long long*>(d_count),    // NOLINT
+              static_cast<unsigned long long>(__popc(ballot)));  // NOLINT
+  }
 }
 
 template <typename GradientSumT>
@@ -539,6 +549,8 @@ struct DeviceShard {
   thrust::device_vector<size_t> row_ptrs;
   /*! \brief On-device feature set, only actually used on one of the devices */
   thrust::device_vector<int> feature_set_d;
+  thrust::device_vector<int64_t>
+      left_counts;  // Useful to keep a bunch of zeroed memory for sort position
   /*! The row offset for this shard. */
   bst_uint row_begin_idx;
   bst_uint row_end_idx;
@@ -548,6 +560,9 @@ struct DeviceShard {
   bool prediction_cache_initialised;
 
   dh::CubMemory temp_memory;
+  dh::PinnedMemory pinned_memory;
+
+  std::vector<cudaStream_t> streams;
 
   std::unique_ptr<GPUHistBuilderBase<GradientSumT>> hist_builder;
 
@@ -597,7 +612,30 @@ struct DeviceShard {
 
   void CreateHistIndices(const SparsePage& row_batch);
 
-  ~DeviceShard() = default;
+  ~DeviceShard() {
+    dh::safe_cuda(cudaSetDevice(device_id));
+    for (auto& stream : streams) {
+      dh::safe_cuda(cudaStreamDestroy(stream));
+    }
+  }
+
+  // Get vector of at least n initialised streams
+  std::vector<cudaStream_t>& GetStreams(int n) {
+    if (n > streams.size()) {
+      for (auto& stream : streams) {
+        dh::safe_cuda(cudaStreamDestroy(stream));
+      }
+
+      streams.clear();
+      streams.resize(n);
+
+      for (auto& stream : streams) {
+        dh::safe_cuda(cudaStreamCreate(&stream));
+      }
+    }
+
+    return streams;
+  }
 
   // Reset values for each update iteration
   void Reset(HostDeviceVector<GradientPair>* dh_gpair) {
@@ -605,7 +643,12 @@ struct DeviceShard {
     position.CurrentDVec().Fill(0);
     std::fill(node_sum_gradients.begin(), node_sum_gradients.end(),
               GradientPair());
-
+    if (left_counts.size() < 256) {
+      left_counts.resize(256);
+    } else {
+      dh::safe_cuda(cudaMemsetAsync(left_counts.data().get(), 0,
+                                    sizeof(int64_t) * left_counts.size()));
+    }
     thrust::sequence(ridx.CurrentDVec().tbegin(), ridx.CurrentDVec().tend());
 
     std::fill(ridx_segments.begin(), ridx_segments.end(), Segment(0, 0));
@@ -616,38 +659,76 @@ struct DeviceShard {
     hist.Reset();
   }
 
-  DeviceSplitCandidate EvaluateSplit(int nidx,
+  std::vector<DeviceSplitCandidate> EvaluateSplits(
-                                     const std::vector<int>& feature_set,
+      std::vector<int> nidxs, const RegTree& tree,
-                                     ValueConstraint value_constraint) {
+      common::ColumnSampler* column_sampler,
+      const std::vector<ValueConstraint>& value_constraints,
+      size_t num_columns) {
     dh::safe_cuda(cudaSetDevice(device_id));
-    auto d_split_candidates = temp_memory.GetSpan<DeviceSplitCandidate>(feature_set.size());
+    auto result = pinned_memory.GetSpan<DeviceSplitCandidate>(nidxs.size());
-    feature_set_d.resize(feature_set.size());
+
-    auto d_features = common::Span<int>(feature_set_d.data().get(),
+    // Work out cub temporary memory requirement
-                                        feature_set_d.size());
+    GPUTrainingParam gpu_param(param);
-    dh::safe_cuda(cudaMemcpyAsync(d_features.data(), feature_set.data(),
+    DeviceSplitCandidateReduceOp op(gpu_param);
-                             d_features.size_bytes(), cudaMemcpyDefault));
+    size_t temp_storage_bytes;
+    DeviceSplitCandidate*dummy = nullptr;
+    cub::DeviceReduce::Reduce(
+        nullptr, temp_storage_bytes, dummy,
+        dummy, num_columns, op,
+        DeviceSplitCandidate());
+    // size in terms of DeviceSplitCandidate
+    size_t cub_memory_size =
+      std::ceil(static_cast<double>(temp_storage_bytes) /
+        sizeof(DeviceSplitCandidate));
+
+    // Allocate enough temporary memory
+    // Result for each nidx
+    // + intermediate result for each column
+    // + cub reduce memory
+    auto temp_span = temp_memory.GetSpan<DeviceSplitCandidate>(
+        nidxs.size() + nidxs.size() * num_columns +cub_memory_size*nidxs.size());
+    auto d_result_all = temp_span.subspan(0, nidxs.size());
+    auto d_split_candidates_all =
+        temp_span.subspan(d_result_all.size(), nidxs.size() * num_columns);
+    auto d_cub_memory_all =
+        temp_span.subspan(d_result_all.size() + d_split_candidates_all.size(),
+                          cub_memory_size * nidxs.size());
+
+    auto& streams = this->GetStreams(nidxs.size());
+    for (auto i = 0ull; i < nidxs.size(); i++) {
+      auto nidx = nidxs[i];
+      auto p_feature_set = column_sampler->GetFeatureSet(tree.GetDepth(nidx));
+      p_feature_set->Reshard(GPUSet(device_id, 1));
+      auto d_feature_set = p_feature_set->DeviceSpan(device_id);
+      auto d_split_candidates =
+          d_split_candidates_all.subspan(i * num_columns, d_feature_set.size());
       DeviceNodeStats node(node_sum_gradients[nidx], nidx, param);
 
       // One block for each feature
       int constexpr kBlockThreads = 256;
       EvaluateSplitKernel<kBlockThreads, GradientSumT>
-      <<<uint32_t(feature_set.size()), kBlockThreads, 0>>>
+          <<<uint32_t(d_feature_set.size()), kBlockThreads, 0, streams[i]>>>(
-      (hist.GetNodeHistogram(nidx), d_features, node,
+              hist.GetNodeHistogram(nidx), d_feature_set, node,
               d_cut.feature_segments.GetSpan(), d_cut.min_fvalue.GetSpan(),
-       d_cut.gidx_fvalue_map.GetSpan(), GPUTrainingParam(param),
+              d_cut.gidx_fvalue_map.GetSpan(), gpu_param, d_split_candidates,
-       d_split_candidates, value_constraint, monotone_constraints.GetSpan());
+              value_constraints[nidx], monotone_constraints.GetSpan());
 
-    std::vector<DeviceSplitCandidate> split_candidates(feature_set.size());
+      // Reduce over features to find best feature
-    dh::safe_cuda(cudaMemcpy(split_candidates.data(), d_split_candidates.data(),
+      auto d_result = d_result_all.subspan(i, 1);
-                             split_candidates.size() * sizeof(DeviceSplitCandidate),
+      auto d_cub_memory =
-                             cudaMemcpyDeviceToHost));
+          d_cub_memory_all.subspan(i * cub_memory_size, cub_memory_size);
-
+      size_t cub_bytes = d_cub_memory.size() * sizeof(DeviceSplitCandidate);
-    DeviceSplitCandidate best_split;
+      cub::DeviceReduce::Reduce(reinterpret_cast<void*>(d_cub_memory.data()),
-    for (auto candidate : split_candidates) {
+                                cub_bytes, d_split_candidates.data(),
-      best_split.Update(candidate, param);
+                                d_result.data(), d_split_candidates.size(), op,
+                                DeviceSplitCandidate(), streams[i]);
     }
 
-    return best_split;
+    dh::safe_cuda(cudaMemcpy(result.data(), d_result_all.data(),
+                             sizeof(DeviceSplitCandidate) * d_result_all.size(),
+                             cudaMemcpyDeviceToHost));
+
+    return std::vector<DeviceSplitCandidate>(result.begin(), result.end());
   }
 
   void BuildHist(int nidx) {
@@ -685,6 +766,10 @@ struct DeviceShard {
     int* d_position = position.Current();
     common::CompressedIterator<uint32_t> d_gidx = gidx;
     size_t row_stride = this->row_stride;
+    if (left_counts.size() <= nidx) {
+      left_counts.resize((nidx * 2) + 1);
+    }
+    int64_t* d_left_count = left_counts.data().get() + nidx;
     // Launch 1 thread for each row
     dh::LaunchN<1, 128>(
         device_id, segment.Size(), [=] __device__(bst_uint idx) {
@@ -710,18 +795,23 @@ struct DeviceShard {
             // Feature is missing
             position = default_dir_left ? left_nidx : right_nidx;
           }
-
+          CountLeft(d_left_count, position, left_nidx);
           d_position[idx] = position;
         });
-    IndicateLeftTransform conversion_op(left_nidx);
+
-    cub::TransformInputIterator<int, IndicateLeftTransform, int*> left_itr(
+    // Overlap device to host memory copy (left_count) with sort
-        d_position + segment.begin, conversion_op);
+    auto& streams = this->GetStreams(2);
-    int left_count = dh::SumReduction(temp_memory, left_itr, segment.Size());
+    auto tmp_pinned = pinned_memory.GetSpan<int64_t>(1);
+    dh::safe_cuda(cudaMemcpyAsync(tmp_pinned.data(), d_left_count, sizeof(int64_t),
+                                  cudaMemcpyDeviceToHost, streams[0]));
+
+    SortPositionAndCopy(segment, left_nidx, right_nidx, d_left_count,
+                        streams[1]);
+
+    dh::safe_cuda(cudaStreamSynchronize(streams[0]));
+    int64_t left_count = tmp_pinned[0];
     CHECK_LE(left_count, segment.Size());
     CHECK_GE(left_count, 0);
-
-    SortPositionAndCopy(segment, left_nidx, right_nidx, left_count);
-
     ridx_segments[left_nidx] =
         Segment(segment.begin, segment.begin + left_count);
     ridx_segments[right_nidx] =
@@ -729,21 +819,22 @@ struct DeviceShard {
   }
 
   /*! \brief Sort row indices according to position. */
-  void SortPositionAndCopy(const Segment& segment, int left_nidx, int right_nidx,
+  void SortPositionAndCopy(const Segment& segment, int left_nidx,
-                           size_t left_count) {
+                           int right_nidx, int64_t* d_left_count,
+                           cudaStream_t stream) {
     SortPosition(
         &temp_memory,
         common::Span<int>(position.Current() + segment.begin, segment.Size()),
         common::Span<int>(position.other() + segment.begin, segment.Size()),
         common::Span<bst_uint>(ridx.Current() + segment.begin, segment.Size()),
         common::Span<bst_uint>(ridx.other() + segment.begin, segment.Size()),
-        left_nidx, right_nidx, left_count);
+        left_nidx, right_nidx, d_left_count, stream);
     // Copy back key/value
     const auto d_position_current = position.Current() + segment.begin;
     const auto d_position_other = position.other() + segment.begin;
     const auto d_ridx_current = ridx.Current() + segment.begin;
     const auto d_ridx_other = ridx.other() + segment.begin;
-    dh::LaunchN(device_id, segment.Size(), [=] __device__(size_t idx) {
+    dh::LaunchN(device_id, segment.Size(), stream, [=] __device__(size_t idx) {
       d_position_current[idx] = d_position_other[idx];
       d_ridx_current[idx] = d_ridx_other[idx];
     });
@@ -752,16 +843,16 @@ struct DeviceShard {
   void UpdatePredictionCache(bst_float* out_preds_d) {
     dh::safe_cuda(cudaSetDevice(device_id));
     if (!prediction_cache_initialised) {
-      dh::safe_cuda(cudaMemcpyAsync(
+      dh::safe_cuda(cudaMemcpyAsync(prediction_cache.Data(), out_preds_d,
-          prediction_cache.Data(), out_preds_d,
+                                    prediction_cache.Size() * sizeof(bst_float),
-          prediction_cache.Size() * sizeof(bst_float), cudaMemcpyDefault));
+                                    cudaMemcpyDefault));
     }
     prediction_cache_initialised = true;
 
     CalcWeightTrainParam param_d(param);
 
-    dh::safe_cuda(cudaMemcpyAsync(node_sum_gradients_d.Data(),
+    dh::safe_cuda(
-                             node_sum_gradients.data(),
+        cudaMemcpyAsync(node_sum_gradients_d.Data(), node_sum_gradients.data(),
                         sizeof(GradientPair) * node_sum_gradients.size(),
                         cudaMemcpyHostToDevice));
     auto d_position = position.Current();
@@ -840,6 +931,7 @@ struct GlobalMemHistBuilder : public GPUHistBuilderBase<GradientSumT> {
 template <typename GradientSumT>
 inline void DeviceShard<GradientSumT>::InitCompressedData(
     const common::HistCutMatrix& hmat, const SparsePage& row_batch) {
+  dh::safe_cuda(cudaSetDevice(device_id));
   n_bins = hmat.NumBins();
   null_gidx_value = hmat.NumBins();
 
@@ -864,7 +956,6 @@ inline void DeviceShard<GradientSumT>::InitCompressedData(
   node_sum_gradients.resize(max_nodes);
   ridx_segments.resize(max_nodes);
 
-  dh::safe_cuda(cudaSetDevice(device_id));
 
   // allocate compressed bin data
   int num_symbols = n_bins + 1;
@@ -1011,12 +1102,15 @@ class GPUHistMakerSpecialised{
     const SparsePage& batch = *batch_iter;
     // Create device shards
     shards_.resize(n_devices);
-    dh::ExecuteIndexShards(&shards_, [&](int i, std::unique_ptr<DeviceShard<GradientSumT>>& shard) {
+    dh::ExecuteIndexShards(
+        &shards_,
+        [&](int i, std::unique_ptr<DeviceShard<GradientSumT>>& shard) {
+          dh::safe_cuda(cudaSetDevice(dist_.Devices().DeviceId(i)));
           size_t start = dist_.ShardStart(info_->num_row_, i);
           size_t size = dist_.ShardSize(info_->num_row_, i);
-        shard = std::unique_ptr<DeviceShard<GradientSumT>>
+          shard = std::unique_ptr<DeviceShard<GradientSumT>>(
-                (new DeviceShard<GradientSumT>(dist_.Devices().DeviceId(i),
+              new DeviceShard<GradientSumT>(dist_.Devices().DeviceId(i), start,
-                                 start, start + size, param_));
+                                            start + size, param_));
           shard->InitRowPtrs(batch);
         });
 
@@ -1027,8 +1121,10 @@ class GPUHistMakerSpecialised{
     monitor_.StopCuda("Quantiles");
 
     monitor_.StartCuda("BinningCompression");
-    dh::ExecuteIndexShards(&shards_, [&](int idx,
+    dh::ExecuteIndexShards(
-      std::unique_ptr<DeviceShard<GradientSumT>>& shard) {
+        &shards_,
+        [&](int idx, std::unique_ptr<DeviceShard<GradientSumT>>& shard) {
+          dh::safe_cuda(cudaSetDevice(shard->device_id));
           shard->InitCompressedData(hmat_, batch);
         });
     monitor_.StopCuda("BinningCompression");
@@ -1056,6 +1152,7 @@ class GPUHistMakerSpecialised{
     dh::ExecuteIndexShards(
         &shards_,
         [&](int idx, std::unique_ptr<DeviceShard<GradientSumT>>& shard) {
+          dh::safe_cuda(cudaSetDevice(shard->device_id));
           shard->Reset(gpair);
         });
     monitor_.StopCuda("InitDataReset");
@@ -1110,6 +1207,7 @@ class GPUHistMakerSpecialised{
     dh::ExecuteIndexShards(
         &shards_,
         [&](int idx, std::unique_ptr<DeviceShard<GradientSumT>>& shard) {
+          dh::safe_cuda(cudaSetDevice(shard->device_id));
           shard->BuildHist(build_hist_nidx);
         });
 
@@ -1127,6 +1225,7 @@ class GPUHistMakerSpecialised{
       dh::ExecuteIndexShards(
           &shards_,
           [&](int idx, std::unique_ptr<DeviceShard<GradientSumT>>& shard) {
+            dh::safe_cuda(cudaSetDevice(shard->device_id));
             shard->SubtractionTrick(nidx_parent, build_hist_nidx,
                                     subtraction_trick_nidx);
           });
@@ -1135,6 +1234,7 @@ class GPUHistMakerSpecialised{
       dh::ExecuteIndexShards(
           &shards_,
           [&](int idx, std::unique_ptr<DeviceShard<GradientSumT>>& shard) {
+            dh::safe_cuda(cudaSetDevice(shard->device_id));
             shard->BuildHist(subtraction_trick_nidx);
           });
 
@@ -1142,10 +1242,12 @@ class GPUHistMakerSpecialised{
     }
   }
 
-  DeviceSplitCandidate EvaluateSplit(int nidx, RegTree* p_tree) {
+  std::vector<DeviceSplitCandidate> EvaluateSplits(std::vector<int> nidx,
-    return shards_.front()->EvaluateSplit(
+                                                   RegTree* p_tree) {
-        nidx, *column_sampler_.GetFeatureSet(p_tree->GetDepth(nidx)),
+    dh::safe_cuda(cudaSetDevice(shards_.front()->device_id));
-        node_value_constraints_[nidx]);
+    return shards_.front()->EvaluateSplits(nidx, *p_tree, &column_sampler_,
+                                           node_value_constraints_,
+                                           info_->num_col_);
   }
 
   void InitRoot(RegTree* p_tree) {
@@ -1171,6 +1273,7 @@ class GPUHistMakerSpecialised{
     dh::ExecuteIndexShards(
         &shards_,
         [&](int idx, std::unique_ptr<DeviceShard<GradientSumT>>& shard) {
+          dh::safe_cuda(cudaSetDevice(shard->device_id));
           shard->BuildHist(kRootNIdx);
         });
 
@@ -1191,9 +1294,9 @@ class GPUHistMakerSpecialised{
     node_value_constraints_.resize(p_tree->GetNodes().size());
 
     // Generate first split
-    auto split = this->EvaluateSplit(kRootNIdx, p_tree);
+    auto split = this->EvaluateSplits({ kRootNIdx }, p_tree);
     qexpand_->push(
-        ExpandEntry(kRootNIdx, p_tree->GetDepth(kRootNIdx), split, 0));
+        ExpandEntry(kRootNIdx, p_tree->GetDepth(kRootNIdx), split.at(0), 0));
   }
 
   void UpdatePosition(const ExpandEntry& candidate, RegTree* p_tree) {
@@ -1219,6 +1322,7 @@ class GPUHistMakerSpecialised{
     dh::ExecuteIndexShards(
         &shards_,
         [&](int idx, std::unique_ptr<DeviceShard<GradientSumT>>& shard) {
+          dh::safe_cuda(cudaSetDevice(shard->device_id));
           shard->UpdatePosition(nidx, left_nidx, right_nidx, fidx, split_gidx,
                                 default_dir_left, is_dense, fidx_begin,
                                 fidx_end);
@@ -1296,14 +1400,14 @@ class GPUHistMakerSpecialised{
         monitor_.StopCuda("BuildHist");
 
         monitor_.StartCuda("EvaluateSplits");
-        auto left_child_split = this->EvaluateSplit(left_child_nidx, p_tree);
+        auto splits =
-        auto right_child_split = this->EvaluateSplit(right_child_nidx, p_tree);
+            this->EvaluateSplits({left_child_nidx, right_child_nidx}, p_tree);
         qexpand_->push(ExpandEntry(left_child_nidx,
-                                   tree.GetDepth(left_child_nidx),
+                                   tree.GetDepth(left_child_nidx), splits.at(0),
-                                   left_child_split, timestamp++));
+                                   timestamp++));
         qexpand_->push(ExpandEntry(right_child_nidx,
                                    tree.GetDepth(right_child_nidx),
-                                   right_child_split, timestamp++));
+                                    splits.at(1), timestamp++));
         monitor_.StopCuda("EvaluateSplits");
       }
     }
@@ -1319,6 +1423,7 @@ class GPUHistMakerSpecialised{
     dh::ExecuteIndexShards(
         &shards_,
         [&](int idx, std::unique_ptr<DeviceShard<GradientSumT>>& shard) {
+          dh::safe_cuda(cudaSetDevice(shard->device_id));
           shard->UpdatePredictionCache(
               p_out_preds->DevicePointer(shard->device_id));
         });

src/tree/updater_quantile_hist.cc

@@ -529,7 +529,7 @@ void QuantileHistMaker::Builder::EvaluateSplit(const int nid,
   // start enumeration
   const MetaInfo& info = fmat.Info();
   auto p_feature_set = column_sampler_.GetFeatureSet(tree.GetDepth(nid));
-  const auto& feature_set = *p_feature_set;
+  const auto& feature_set = p_feature_set->HostVector();
   const auto nfeature = static_cast<bst_uint>(feature_set.size());
   const auto nthread = static_cast<bst_omp_uint>(this->nthread_);
   best_split_tloc_.resize(nthread);

tests/cpp/common/test_random.cc

@@ -11,38 +11,40 @@ TEST(ColumnSampler, Test) {
   // No node sampling
   cs.Init(n, 1.0f, 0.5f, 0.5f);
   auto set0 = *cs.GetFeatureSet(0);
-  ASSERT_EQ(set0.size(), 32);
+  ASSERT_EQ(set0.Size(), 32);
 
   auto set1 = *cs.GetFeatureSet(0);
-  ASSERT_EQ(set0, set1);
+
+  ASSERT_EQ(set0.HostVector(), set1.HostVector());
 
   auto set2 = *cs.GetFeatureSet(1);
-  ASSERT_NE(set1, set2);
+  ASSERT_NE(set1.HostVector(), set2.HostVector());
-  ASSERT_EQ(set2.size(), 32);
+  ASSERT_EQ(set2.Size(), 32);
 
   // Node sampling
   cs.Init(n, 0.5f, 1.0f, 0.5f);
   auto set3 = *cs.GetFeatureSet(0);
-  ASSERT_EQ(set3.size(), 32);
+  ASSERT_EQ(set3.Size(), 32);
 
   auto set4 = *cs.GetFeatureSet(0);
-  ASSERT_NE(set3, set4);
+
-  ASSERT_EQ(set4.size(), 32);
+  ASSERT_NE(set3.HostVector(), set4.HostVector());
+  ASSERT_EQ(set4.Size(), 32);
 
   // No level or node sampling, should be the same at different depth
   cs.Init(n, 1.0f, 1.0f, 0.5f);
-  ASSERT_EQ(*cs.GetFeatureSet(0), *cs.GetFeatureSet(1));
+  ASSERT_EQ(cs.GetFeatureSet(0)->HostVector(), cs.GetFeatureSet(1)->HostVector());
 
   cs.Init(n, 1.0f, 1.0f, 1.0f);
   auto set5 = *cs.GetFeatureSet(0);
-  ASSERT_EQ(set5.size(), n);
+  ASSERT_EQ(set5.Size(), n);
   cs.Init(n, 1.0f, 1.0f, 1.0f);
   auto set6 = *cs.GetFeatureSet(0);
-  ASSERT_EQ(set5, set6);
+  ASSERT_EQ(set5.HostVector(), set6.HostVector());
 
   // Should always be a minimum of one feature
   cs.Init(n, 1e-16f, 1e-16f, 1e-16f);
-  ASSERT_EQ(cs.GetFeatureSet(0)->size(), 1);
+  ASSERT_EQ(cs.GetFeatureSet(0)->Size(), 1);
 
 }
 }  // namespace common

tests/cpp/tree/test_gpu_hist.cu

@@ -304,11 +304,13 @@ TEST(GpuHist, EvaluateSplits) {
   hist_maker.node_value_constraints_[0].lower_bound = -1.0;
   hist_maker.node_value_constraints_[0].upper_bound = 1.0;
 
-  DeviceSplitCandidate res =
+  std::vector<DeviceSplitCandidate> res =
-      hist_maker.EvaluateSplit(0, &tree);
+    hist_maker.EvaluateSplits({ 0,0 }, &tree);
 
-  ASSERT_EQ(res.findex, 7);
+  ASSERT_EQ(res[0].findex, 7);
-  ASSERT_NEAR(res.fvalue, 0.26, xgboost::kRtEps);
+  ASSERT_EQ(res[1].findex, 7);
+  ASSERT_NEAR(res[0].fvalue, 0.26, xgboost::kRtEps);
+  ASSERT_NEAR(res[1].fvalue, 0.26, xgboost::kRtEps);
 }
 
 TEST(GpuHist, ApplySplit) {
@@ -400,7 +402,9 @@ TEST(GpuHist, ApplySplit) {
 
 void TestSortPosition(const std::vector<int>& position_in, int left_idx,
                       int right_idx) {
-  int left_count = std::count(position_in.begin(), position_in.end(), left_idx);
+  std::vector<int64_t> left_count = {
+      std::count(position_in.begin(), position_in.end(), left_idx)};
+  thrust::device_vector<int64_t> d_left_count = left_count;
   thrust::device_vector<int> position = position_in;
   thrust::device_vector<int> position_out(position.size());
 
@@ -413,7 +417,7 @@ void TestSortPosition(const std::vector<int>& position_in, int left_idx,
       common::Span<int>(position_out.data().get(), position_out.size()),
       common::Span<bst_uint>(ridx.data().get(), ridx.size()),
       common::Span<bst_uint>(ridx_out.data().get(), ridx_out.size()), left_idx,
-      right_idx, left_count);
+      right_idx, d_left_count.data().get());
   thrust::host_vector<int> position_result = position_out;
   thrust::host_vector<int> ridx_result = ridx_out;
 
@@ -421,9 +425,9 @@ void TestSortPosition(const std::vector<int>& position_in, int left_idx,
   EXPECT_TRUE(std::is_sorted(position_result.begin(), position_result.end()));
   // Check row indices are sorted inside left and right segment
   EXPECT_TRUE(
-      std::is_sorted(ridx_result.begin(), ridx_result.begin() + left_count));
+      std::is_sorted(ridx_result.begin(), ridx_result.begin() + left_count[0]));
   EXPECT_TRUE(
-      std::is_sorted(ridx_result.begin() + left_count, ridx_result.end()));
+      std::is_sorted(ridx_result.begin() + left_count[0], ridx_result.end()));
 
   // Check key value pairs are the same
   for (auto i = 0ull; i < ridx_result.size(); i++) {