Speed up python test (#5752)

* Speed up tests

* Prevent DeviceQuantileDMatrix initialisation with numpy

* Use joblib.memory

* Use RandomState

tests/python-gpu/test_device_quantile_dmatrix.py

@@ -0,0 +1,22 @@
+# -*- coding: utf-8 -*-
+import numpy as np
+import xgboost as xgb
+import unittest
+import pytest
+import sys
+
+sys.path.append("tests/python")
+import testing as tm
+
+
+class TestDeviceQuantileDMatrix(unittest.TestCase):
+    def test_dmatrix_numpy_init(self):
+        data = np.random.randn(5, 5)
+        with pytest.raises(AssertionError, match='is not supported for DeviceQuantileDMatrix'):
+            dm = xgb.DeviceQuantileDMatrix(data, np.ones(5, dtype=np.float64))
+
+    @pytest.mark.skipif(**tm.no_cupy())
+    def test_dmatrix_cupy_init(self):
+        import cupy as cp
+        data = cp.random.randn(5, 5)
+        dm = xgb.DeviceQuantileDMatrix(data, cp.ones(5, dtype=np.float64))