Avoid calling CUDA code on CPU for linear model. (#7154)

src/gbm/gblinear.cc

@@ -1,5 +1,5 @@
 /*!
- * Copyright 2014-2020 by Contributors
+ * Copyright 2014-2021 by Contributors
  * \file gblinear.cc
  * \brief Implementation of Linear booster, with L1/L2 regularization: Elastic Net
  *        the update rule is parallel coordinate descent (shotgun)
@@ -37,6 +37,17 @@ struct GBLinearTrainParam : public XGBoostParameter<GBLinearTrainParam> {
   std::string updater;
   float tolerance;
   size_t max_row_perbatch;
+
+  void CheckGPUSupport() {
+    auto n_gpus = common::AllVisibleGPUs();
+    if (n_gpus == 0 && this->updater == "gpu_coord_descent") {
+      common::AssertGPUSupport();
+      this->UpdateAllowUnknown(Args{{"updater", "coord_descent"}});
+      LOG(WARNING) << "Loading configuration on a CPU only machine.   Changing "
+                      "updater to `coord_descent`.";
+    }
+  }
+
   DMLC_DECLARE_PARAMETER(GBLinearTrainParam) {
     DMLC_DECLARE_FIELD(updater)
         .set_default("shotgun")
@@ -74,12 +85,10 @@ class GBLinear : public GradientBooster {
       model_.Configure(cfg);
     }
     param_.UpdateAllowUnknown(cfg);
+    param_.CheckGPUSupport();
     updater_.reset(LinearUpdater::Create(param_.updater, generic_param_));
     updater_->Configure(cfg);
     monitor_.Init("GBLinear");
-    if (param_.updater == "gpu_coord_descent") {
-      common::AssertGPUSupport();
-    }
   }
 
   int32_t BoostedRounds() const override {
@@ -110,6 +119,7 @@ class GBLinear : public GradientBooster {
   void LoadConfig(Json const& in) override {
     CHECK_EQ(get<String>(in["name"]), "gblinear");
     FromJson(in["gblinear_train_param"], &param_);
+    param_.CheckGPUSupport();
     updater_.reset(LinearUpdater::Create(param_.updater, generic_param_));
     this->updater_->LoadConfig(in["updater"]);
   }