Better message when no GPU is found. (#5594)

tests/python-gpu/test_gpu_pickling.py

@@ -157,3 +157,14 @@ class TestPickling(unittest.TestCase):
         bst.set_param({'predictor': 'cpu_predictor'})
         cpu_pred = model.predict(x, output_margin=True)
         np.testing.assert_allclose(cpu_pred, gpu_pred, rtol=1e-5)
+
+    def test_training_on_cpu_only_env(self):
+        cuda_environment = {'CUDA_VISIBLE_DEVICES': '-1'}
+        env = os.environ.copy()
+        env.update(cuda_environment)
+        args = self.args_template.copy()
+        args.append(
+            "./tests/python-gpu/"
+            "load_pickle.py::TestLoadPickle::test_training_on_cpu_only_env")
+        status = subprocess.call(args, env=env)
+        assert status == 0