Feature weights (#5962)

tests/python-gpu/test_device_quantile_dmatrix.py

@@ -16,6 +16,20 @@ class TestDeviceQuantileDMatrix(unittest.TestCase):
                            match='is not supported for DeviceQuantileDMatrix'):
             xgb.DeviceQuantileDMatrix(data, np.ones(5, dtype=np.float64))
 
+    @pytest.mark.skipif(**tm.no_cupy())
+    def test_dmatrix_feature_weights(self):
+        import cupy as cp
+        rng = cp.random.RandomState(1994)
+        data = rng.randn(5, 5)
+        m = xgb.DMatrix(data)
+
+        feature_weights = rng.uniform(size=5)
+        m.set_info(feature_weights=feature_weights)
+
+        cp.testing.assert_array_equal(
+            cp.array(m.get_float_info('feature_weights')),
+            feature_weights.astype(np.float32))
+
     @pytest.mark.skipif(**tm.no_cupy())
     def test_dmatrix_cupy_init(self):
         import cupy as cp