[pyspark] support gpu transform (#9542)

---------

Co-authored-by: Jiaming Yuan <jm.yuan@outlook.com>

tests/test_distributed/test_with_spark/test_spark_local.py

@@ -888,6 +888,34 @@ class TestPySparkLocal:
         clf = SparkXGBClassifier(device="cuda")
         clf._validate_params()
 
+    def test_gpu_transform(self, clf_data: ClfData) -> None:
+        """local mode"""
+        classifier = SparkXGBClassifier(device="cpu")
+        model: SparkXGBClassifierModel = classifier.fit(clf_data.cls_df_train)
+
+        with tempfile.TemporaryDirectory() as tmpdir:
+            path = "file:" + tmpdir
+            model.write().overwrite().save(path)
+
+            # The model trained with CPU, transform defaults to cpu
+            assert not model._gpu_transform()
+
+            # without error
+            model.transform(clf_data.cls_df_test).collect()
+
+            model.set_device("cuda")
+            assert model._gpu_transform()
+
+            model_loaded = SparkXGBClassifierModel.load(path)
+
+            # The model trained with CPU, transform defaults to cpu
+            assert not model_loaded._gpu_transform()
+            # without error
+            model_loaded.transform(clf_data.cls_df_test).collect()
+
+            model_loaded.set_device("cuda")
+            assert model_loaded._gpu_transform()
+
 
 class XgboostLocalTest(SparkTestCase):
     def setUp(self):