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

tests/python/test_with_dask.py

@@ -834,9 +834,15 @@ def test_dask_predict_leaf(booster: str, client: "Client") -> None:
 
 
 class TestWithDask:
-    def test_global_config(self, client: "Client") -> None:
+    @pytest.mark.parametrize('config_key,config_value', [('verbosity', 0), ('use_rmm', True)])
+    def test_global_config(
+            self,
+            client: "Client",
+            config_key: str,
+            config_value: Any
+    ) -> None:
         X, y, _ = generate_array()
-        xgb.config.set_config(verbosity=0)
+        xgb.config.set_config(**{config_key: config_value})
         dtrain = DaskDMatrix(client, X, y)
         before_fname = './before_training-test_global_config'
         after_fname = './after_training-test_global_config'
@@ -844,36 +850,36 @@ class TestWithDask:
         class TestCallback(xgb.callback.TrainingCallback):
             def write_file(self, fname: str) -> None:
                 with open(fname, 'w') as fd:
-                    fd.write(str(xgb.config.get_config()['verbosity']))
+                    fd.write(str(xgb.config.get_config()[config_key]))
 
             def before_training(self, model: xgb.Booster) -> xgb.Booster:
                 self.write_file(before_fname)
-                assert xgb.config.get_config()['verbosity'] == 0
+                assert xgb.config.get_config()[config_key] == config_value
                 return model
 
             def after_training(self, model: xgb.Booster) -> xgb.Booster:
-                assert xgb.config.get_config()['verbosity'] == 0
+                assert xgb.config.get_config()[config_key] == config_value
                 return model
 
             def before_iteration(
                     self, model: xgb.Booster, epoch: int, evals_log: Dict
             ) -> bool:
-                assert xgb.config.get_config()['verbosity'] == 0
+                assert xgb.config.get_config()[config_key] == config_value
                 return False
 
             def after_iteration(
                     self, model: xgb.Booster, epoch: int, evals_log: Dict
             ) -> bool:
                 self.write_file(after_fname)
-                assert xgb.config.get_config()['verbosity'] == 0
+                assert xgb.config.get_config()[config_key] == config_value
                 return False
 
         xgb.dask.train(client, {}, dtrain, num_boost_round=4, callbacks=[TestCallback()])[
             'booster']
 
         with open(before_fname, 'r') as before, open(after_fname, 'r') as after:
-            assert before.read() == '0'
-            assert after.read() == '0'
+            assert before.read() == str(config_value)
+            assert after.read() == str(config_value)
 
         os.remove(before_fname)
         os.remove(after_fname)