Fix GPU ID and prediction cache from pickle (#5086)

* Hack for saving GPU ID.

* Declare prediction cache on GBTree.

* Add a simple test.

* Add `auto` option for GPU Predictor.

include/xgboost/gbm.h

@@ -28,7 +28,7 @@ namespace xgboost {
  */
 class GradientBooster {
  protected:
-  GenericParameter const* learner_param_;
+  GenericParameter const* generic_param_;
 
  public:
   /*! \brief virtual destructor */

include/xgboost/generic_parameters.h

@@ -12,6 +12,9 @@
 
 namespace xgboost {
 struct GenericParameter : public XGBoostParameter<GenericParameter> {
+  // Constant representing the device ID of CPU.
+  static int constexpr kCpuId = -1;
+
   // stored random seed
   int seed;
   // whether seed the PRNG each iteration
@@ -24,6 +27,8 @@ struct GenericParameter : public XGBoostParameter<GenericParameter> {
   // gpu page size in external memory mode, 0 means using the default.
   size_t gpu_page_size;
 
+  void ConfigureGpuId(bool require_gpu);
+
   void CheckDeprecated() {
     if (this->n_gpus != 0) {
       LOG(WARNING)

include/xgboost/predictor.h

@@ -26,6 +26,15 @@ struct GBTreeModel;
 }
 
 namespace xgboost {
+/**
+ * \struct  PredictionCacheEntry
+ *
+ * \brief Contains pointer to input matrix and associated cached predictions.
+ */
+struct PredictionCacheEntry {
+  std::shared_ptr<DMatrix> data;
+  HostDeviceVector<bst_float> predictions;
+};
 
 /**
  * \class Predictor
@@ -41,23 +50,37 @@ namespace xgboost {
 
 class Predictor {
  protected:
-  GenericParameter const* learner_param_;
+  /*
+   * \brief Runtime parameters.
+   */
+  GenericParameter const* generic_param_;
+  /**
+   * \brief Map of matrices and associated cached predictions to facilitate
+   * storing and looking up predictions.
+   */
+  std::shared_ptr<std::unordered_map<DMatrix*, PredictionCacheEntry>> cache_;
+
+  std::unordered_map<DMatrix*, PredictionCacheEntry>::iterator FindCache(DMatrix const* dmat) {
+    auto cache_emtry = std::find_if(
+        cache_->begin(), cache_->end(),
+        [dmat](std::pair<DMatrix *, PredictionCacheEntry const &> const &kv) {
+          return kv.second.data.get() == dmat;
+        });
+    return cache_emtry;
+  }
 
  public:
+  Predictor(GenericParameter const* generic_param,
+            std::shared_ptr<std::unordered_map<DMatrix*, PredictionCacheEntry>> cache) :
+      generic_param_{generic_param}, cache_{cache} {}
   virtual ~Predictor() = default;
 
   /**
-   * \fn  virtual void Predictor::Init(const std::vector<std::pair<std::string,
-   * std::string> >&cfg ,const std::vector<std::shared_ptr<DMatrix> > &cache);
-   *
    * \brief Configure and register input matrices in prediction cache.
    *
    * \param cfg   The configuration.
-   * \param cache Vector of DMatrix's to be used in prediction.
    */
-
-  virtual void Configure(const std::vector<std::pair<std::string, std::string>>& cfg,
-                         const std::vector<std::shared_ptr<DMatrix>>& cache);
+  virtual void Configure(const std::vector<std::pair<std::string, std::string>>& cfg);
 
   /**
    * \brief Generate batch predictions for a given feature matrix. May use
@@ -162,45 +185,33 @@ class Predictor {
                                    unsigned condition_feature = 0) = 0;
 
   virtual void PredictInteractionContributions(DMatrix* dmat,
-                                   std::vector<bst_float>* out_contribs,
-                                   const gbm::GBTreeModel& model,
-                                   unsigned ntree_limit = 0,
-                                   std::vector<bst_float>* tree_weights = nullptr,
-                                   bool approximate = false) = 0;
+                                               std::vector<bst_float>* out_contribs,
+                                               const gbm::GBTreeModel& model,
+                                               unsigned ntree_limit = 0,
+                                               std::vector<bst_float>* tree_weights = nullptr,
+                                               bool approximate = false) = 0;
+
 
   /**
-   * \fn  static Predictor* Predictor::Create(std::string name);
-   *
    * \brief Creates a new Predictor*.
    *
+   * \param name           Name of the predictor.
+   * \param generic_param  Pointer to runtime parameters.
+   * \param cache          Pointer to prediction cache.
    */
-
-  static Predictor* Create(std::string const& name, GenericParameter const*);
-
- protected:
-  /**
-   * \struct  PredictionCacheEntry
-   *
-   * \brief Contains pointer to input matrix and associated cached predictions.
-   */
-  struct PredictionCacheEntry {
-    std::shared_ptr<DMatrix> data;
-    HostDeviceVector<bst_float> predictions;
-  };
-
-  /**
-   * \brief Map of matrices and associated cached predictions to facilitate
-   * storing and looking up predictions.
-   */
-  std::unordered_map<DMatrix*, PredictionCacheEntry> cache_;
+  static Predictor* Create(
+      std::string const& name, GenericParameter const* generic_param,
+      std::shared_ptr<std::unordered_map<DMatrix*, PredictionCacheEntry>> cache);
 };
 
 /*!
  * \brief Registry entry for predictor.
  */
 struct PredictorReg
-    : public dmlc::FunctionRegEntryBase<PredictorReg,
-                                        std::function<Predictor*()>> {};
+    : public dmlc::FunctionRegEntryBase<
+  PredictorReg, std::function<Predictor*(
+      GenericParameter const*,
+      std::shared_ptr<std::unordered_map<DMatrix*, PredictionCacheEntry>>)>> {};
 
 #define XGBOOST_REGISTER_PREDICTOR(UniqueId, Name)      \
   static DMLC_ATTRIBUTE_UNUSED ::xgboost::PredictorReg& \