Add use_rmm flag to global configuration (#6656)

* Ensure RMM is 0.18 or later

* Add use_rmm flag to global configuration

* Modify XGBCachingDeviceAllocatorImpl to skip CUB when use_rmm=True

* Update the demo

* [CI] Pin NumPy to 1.19.4, since NumPy 1.19.5 doesn't work with latest Shap

include/xgboost/global_config.h

@@ -16,11 +16,15 @@ class Json;
 
 struct GlobalConfiguration : public XGBoostParameter<GlobalConfiguration> {
   int verbosity { 1 };
+  bool use_rmm { false };
   DMLC_DECLARE_PARAMETER(GlobalConfiguration) {
     DMLC_DECLARE_FIELD(verbosity)
         .set_range(0, 3)
         .set_default(1)  // shows only warning
         .describe("Flag to print out detailed breakdown of runtime.");
+    DMLC_DECLARE_FIELD(use_rmm)
+        .set_default(false)
+        .describe("Whether to use RAPIDS Memory Manager to allocate GPU memory in XGBoost");
   }
 };