Use cudf.concat explicitly. (#4918)

* Use `cudf.concat` explicitly.

* Add test.

python-package/xgboost/compat.py

@@ -134,12 +134,14 @@ try:
     from cudf import DataFrame as CUDF_DataFrame
     from cudf import Series as CUDF_Series
     from cudf import MultiIndex as CUDF_MultiIndex
+    from cudf import concat as CUDF_concat
     CUDF_INSTALLED = True
 except ImportError:
     CUDF_DataFrame = object
     CUDF_Series = object
     CUDF_MultiIndex = object
     CUDF_INSTALLED = False
+    CUDF_concat = None
 
 # sklearn
 try:

python-package/xgboost/dask.py

@@ -25,6 +25,7 @@ from .compat import distributed_get_worker, distributed_wait, distributed_comm
 from .compat import da, dd, delayed, get_client
 from .compat import sparse, scipy_sparse
 from .compat import PANDAS_INSTALLED, DataFrame, Series, pandas_concat
+from .compat import CUDF_INSTALLED, CUDF_DataFrame, CUDF_Series, CUDF_concat
 
 from .core import DMatrix, Booster, _expect
 from .training import train as worker_train
@@ -84,6 +85,8 @@ def concat(value):
         return sparse.concatenate(value, axis=0)
     if PANDAS_INSTALLED and isinstance(value[0], (DataFrame, Series)):
         return pandas_concat(value, axis=0)
+    if CUDF_INSTALLED and isinstance(value[0], (CUDF_DataFrame, CUDF_Series)):
+        return CUDF_concat(value, axis=0)
     return dd.multi.concat(list(value), axis=0)