Fix external memory race in colmaker. (#4980)

* Move `GetColDensity` out of omp parallel block.

src/data/ellpack_page.cu

@@ -121,7 +121,7 @@ void EllpackPageImpl::InitInfo(int device,
 
 // Initialize the buffer to stored compressed features.
 void EllpackPageImpl::InitCompressedData(int device, size_t num_rows) {
-  int num_symbols = matrix.info.n_bins + 1;
+  size_t num_symbols = matrix.info.n_bins + 1;
 
   // Required buffer size for storing data matrix in ELLPack format.
   size_t compressed_size_bytes = common::CompressedBufferWriter::CalculateBufferSize(

src/data/ellpack_page.cuh

@@ -140,7 +140,7 @@ struct RowStateOnDevice {
 // to begin processing on each device
 class DeviceHistogramBuilderState {
  public:
-  explicit DeviceHistogramBuilderState(int n_rows) : device_row_state_(n_rows) {}
+  explicit DeviceHistogramBuilderState(size_t n_rows) : device_row_state_(n_rows) {}
 
   const RowStateOnDevice& GetRowStateOnDevice() const {
     return device_row_state_;

src/data/sparse_page_dmatrix.cc

@@ -41,6 +41,7 @@ class SparseBatchIteratorImpl : public BatchIteratorImpl<T> {
 
 BatchSet<SparsePage> SparsePageDMatrix::GetRowBatches() {
   auto cast = dynamic_cast<SparsePageSource<SparsePage>*>(row_source_.get());
+  CHECK(cast);
   cast->BeforeFirst();
   cast->Next();
   auto begin_iter = BatchIterator<SparsePage>(

src/data/sparse_page_source.h

@@ -1,5 +1,5 @@
 /*!
- *  Copyright (c) 2014 by Contributors
+ *  Copyright (c) 2014-2019 by Contributors
  * \file page_csr_source.h
  *  External memory data source, saved with sparse_batch_page binary format.
  * \author Tianqi Chen
@@ -7,8 +7,6 @@
 #ifndef XGBOOST_DATA_SPARSE_PAGE_SOURCE_H_
 #define XGBOOST_DATA_SPARSE_PAGE_SOURCE_H_
 
-#include <xgboost/base.h>
-#include <xgboost/data.h>
 #include <dmlc/threadediter.h>
 #include <dmlc/timer.h>
 
@@ -20,6 +18,9 @@
 #include <utility>
 #include <vector>
 
+#include "xgboost/base.h"
+#include "xgboost/data.h"
+
 #include "sparse_page_writer.h"
 #include "../common/common.h"
 

src/data/sparse_page_writer.h

@@ -1,5 +1,5 @@
 /*!
- * Copyright (c) 2014 by Contributors
+ * Copyright (c) 2014-2019 by Contributors
  * \file sparse_page_writer.h
  * \author Tianqi Chen
  */