Implement iterative DMatrix for CPU. (#8116)

include/xgboost/data.h

@@ -559,6 +559,7 @@ class DMatrix {
    *
    * \param iter    External data iterator
    * \param proxy   A hanlde to ProxyDMatrix
+   * \param ref     Reference Quantile DMatrix.
    * \param reset   Callback for reset
    * \param next    Callback for next
    * \param missing Value that should be treated as missing.
@@ -567,13 +568,11 @@ class DMatrix {
    *
    * \return A created quantile based DMatrix.
    */
-  template <typename DataIterHandle, typename DMatrixHandle,
-            typename DataIterResetCallback, typename XGDMatrixCallbackNext>
-  static DMatrix *Create(DataIterHandle iter, DMatrixHandle proxy,
-                         DataIterResetCallback *reset,
-                         XGDMatrixCallbackNext *next, float missing,
-                         int nthread,
-                         int max_bin);
+  template <typename DataIterHandle, typename DMatrixHandle, typename DataIterResetCallback,
+            typename XGDMatrixCallbackNext>
+  static DMatrix* Create(DataIterHandle iter, DMatrixHandle proxy, std::shared_ptr<DMatrix> ref,
+                         DataIterResetCallback* reset, XGDMatrixCallbackNext* next, float missing,
+                         int nthread, bst_bin_t max_bin);
 
   /**
    * \brief Create an external memory DMatrix with callbacks.
@@ -613,6 +612,7 @@ class DMatrix {
   virtual BatchSet<GHistIndexMatrix> GetGradientIndex(const BatchParam& param) = 0;
 
   virtual bool EllpackExists() const = 0;
+  virtual bool GHistIndexExists() const = 0;
   virtual bool SparsePageExists() const = 0;
 };
 
@@ -621,11 +621,16 @@ inline BatchSet<SparsePage> DMatrix::GetBatches() {
   return GetRowBatches();
 }
 
-template<>
+template <>
 inline bool DMatrix::PageExists<EllpackPage>() const {
   return this->EllpackExists();
 }
 
+template <>
+inline bool DMatrix::PageExists<GHistIndexMatrix>() const {
+  return this->GHistIndexExists();
+}
+
 template<>
 inline bool DMatrix::PageExists<SparsePage>() const {
   return this->SparsePageExists();