Config for linear updaters. (#5222)

tests/cpp/linear/test_linear.cu

@@ -3,6 +3,7 @@
 #include <xgboost/gbm.h>
 
 #include "../helpers.h"
+#include "test_json_io.h"
 #include "../../../src/gbm/gblinear_model.h"
 
 namespace xgboost {
@@ -33,4 +34,8 @@ TEST(Linear, GPUCoordinate) {
 
   delete mat;
 }
+
+TEST(GPUCoordinate, JsonIO) {
+  TestUpdaterJsonIO("gpu_coord_descent");
+}
 }  // namespace xgboost