Support GPU training in the NVFlare demo (#7965)

demo/nvflare/README.md

@@ -3,6 +3,8 @@
 This directory contains a demo of Federated Learning using
 [NVFlare](https://nvidia.github.io/NVFlare/).
 
+## Training with CPU only
+
 To run the demo, first build XGBoost with the federated learning plugin enabled (see the
 [README](../../plugin/federated/README.md)).
 
@@ -53,3 +55,12 @@ Finally, shutdown everything from the admin CLI:
 shutdown client
 shutdown server
 ```
+
+## Training with GPUs
+
+To demo with Federated Learning using GPUs, make sure your machine has at least 2 GPUs.
+Build XGBoost with the federated learning plugin enabled along with CUDA, but with NCCL
+turned off (see the [README](../../plugin/federated/README.md)).
+
+Modify `config/config_fed_client.json` and set `use_gpus` to `true`, then repeat the steps
+above.