[Breaking] Update sklearn interface. (#4929)

* Remove nthread, seed, silent. Add tree_method, gpu_id, num_parallel_tree. Fix #4909.
* Check data shape. Fix #4896.
* Check element of eval_set is tuple. Fix #4875
*  Add doc for random_state with hogwild. Fixes #4919

tests/python-gpu/test_gpu_with_sklearn.py

@@ -0,0 +1,31 @@
+import xgboost as xgb
+import pytest
+import sys
+import numpy as np
+
+sys.path.append("tests/python")
+import testing as tm
+
+pytestmark = pytest.mark.skipif(**tm.no_sklearn())
+
+rng = np.random.RandomState(1994)
+
+
+def test_gpu_binary_classification():
+    from sklearn.datasets import load_digits
+    from sklearn.model_selection import KFold
+
+    digits = load_digits(2)
+    y = digits['target']
+    X = digits['data']
+    kf = KFold(n_splits=2, shuffle=True, random_state=rng)
+    for cls in (xgb.XGBClassifier, xgb.XGBRFClassifier):
+        for train_index, test_index in kf.split(X, y):
+            xgb_model = cls(
+                random_state=42, tree_method='gpu_hist',
+                n_estimators=4, gpu_id='0').fit(X[train_index], y[train_index])
+            preds = xgb_model.predict(X[test_index])
+            labels = y[test_index]
+            err = sum(1 for i in range(len(preds))
+                      if int(preds[i] > 0.5) != labels[i]) / float(len(preds))
+            assert err < 0.1