Updates for GPU CI tests (#3467)

* Fail GPU CI after test failure

* Fix GPU linear tests

* Reduced number of GPU tests to speed up CI

* Remove static allocations of device memory

* Resolve illegal memory access for updater_fast_hist.cc

* Fix broken r tests dependency

* Update python install documentation for GPU

tests/ci_build/test_gpu.sh

@@ -1,4 +1,5 @@
 #!/usr/bin/env bash
+set -e
 
 cd python-package
 python setup.py install --user