Use Booster context in DMatrix. (#8896)

- Pass context from booster to DMatrix.
- Use context instead of integer for `n_threads`.
- Check the consistency configuration for `max_bin`.
- Test for all combinations of initialization options.

src/data/simple_dmatrix.cu

@@ -1,12 +1,14 @@
-/*!
- * Copyright 2019-2021 by XGBoost Contributors
+/**
+ * Copyright 2019-2023, XGBoost Contributors
  * \file simple_dmatrix.cu
  */
 #include <thrust/copy.h>
-#include <xgboost/data.h>
+
+#include "device_adapter.cuh"  // for CurrentDevice
 #include "simple_dmatrix.cuh"
 #include "simple_dmatrix.h"
-#include "device_adapter.cuh"
+#include "xgboost/context.h"  // for Context
+#include "xgboost/data.h"
 
 namespace xgboost {
 namespace data {
@@ -15,7 +17,7 @@ namespace data {
 // Current implementation assumes a single batch. More batches can
 // be supported in future. Does not currently support inferring row/column size
 template <typename AdapterT>
-SimpleDMatrix::SimpleDMatrix(AdapterT* adapter, float missing, int32_t /*nthread*/,
+SimpleDMatrix::SimpleDMatrix(AdapterT* adapter, float missing, std::int32_t nthread,
                              DataSplitMode data_split_mode) {
   CHECK(data_split_mode != DataSplitMode::kCol)
       << "Column-wise data split is currently not supported on the GPU.";
@@ -24,6 +26,9 @@ SimpleDMatrix::SimpleDMatrix(AdapterT* adapter, float missing, int32_t /*nthread
   CHECK_GE(device, 0);
   dh::safe_cuda(cudaSetDevice(device));
 
+  Context ctx;
+  ctx.Init(Args{{"nthread", std::to_string(nthread)}, {"gpu_id", std::to_string(device)}});
+
   CHECK(adapter->NumRows() != kAdapterUnknownSize);
   CHECK(adapter->NumColumns() != kAdapterUnknownSize);
 
@@ -33,13 +38,14 @@ SimpleDMatrix::SimpleDMatrix(AdapterT* adapter, float missing, int32_t /*nthread
   // Enforce single batch
   CHECK(!adapter->Next());
 
-  info_.num_nonzero_ =
-      CopyToSparsePage(adapter->Value(), device, missing, sparse_page_.get());
+  info_.num_nonzero_ = CopyToSparsePage(adapter->Value(), device, missing, sparse_page_.get());
   info_.num_col_ = adapter->NumColumns();
   info_.num_row_ = adapter->NumRows();
   // Synchronise worker columns
   info_.data_split_mode = data_split_mode;
   info_.SynchronizeNumberOfColumns();
+
+  this->fmat_ctx_ = ctx;
 }
 
 template SimpleDMatrix::SimpleDMatrix(CudfAdapter* adapter, float missing,