Run training with empty DMatrix. (#4990)

This makes GPU Hist robust in distributed environment as some workers might not
be associated with any data in either training or evaluation.

* Disable rabit mock test for now: See #5012 .

* Disable dask-cudf test at prediction for now: See #5003

* Launch dask job for all workers despite they might not have any data.
* Check 0 rows in elementwise evaluation metrics.

   Using AUC and AUC-PR still throws an error.  See #4663 for a robust fix.

* Add tests for edge cases.
* Add `LaunchKernel` wrapper handling zero sized grid.
* Move some parts of allreducer into a cu file.
* Don't validate feature names when the booster is empty.

* Sync number of columns in DMatrix.

  As num_feature is required to be the same across all workers in data split
  mode.

* Filtering in dask interface now by default syncs all booster that's not
empty, instead of using rank 0.

* Fix Jenkins' GPU tests.

* Install dask-cuda from source in Jenkins' test.

  Now all tests are actually running.

* Restore GPU Hist tree synchronization test.

* Check UUID of running devices.

  The check is only performed on CUDA version >= 10.x, as 9.x doesn't have UUID field.

* Fix CMake policy and project variables.

  Use xgboost_SOURCE_DIR uniformly, add policy for CMake >= 3.13.

* Fix copying data to CPU

* Fix race condition in cpu predictor.

* Fix duplicated DMatrix construction.

* Don't download extra nccl in CI script.

src/objective/regression_obj.cu

@@ -54,7 +54,9 @@ class RegLossObj : public ObjFunction {
                    const MetaInfo &info,
                    int iter,
                    HostDeviceVector<GradientPair>* out_gpair) override {
-    CHECK_NE(info.labels_.Size(), 0U) << "label set cannot be empty";
+    if (info.labels_.Size() == 0U) {
+      LOG(WARNING) << "Label set is empty.";
+    }
     CHECK_EQ(preds.Size(), info.labels_.Size())
         << "labels are not correctly provided"
         << "preds.size=" << preds.Size() << ", label.size=" << info.labels_.Size();