Fix data loading (#4862)

* Fix loading text data.
* Fix config regex.
* Try to explain the error better in exception.
* Update doc.

doc/contrib/docs.rst

@@ -28,5 +28,3 @@ Examples
 * We are super excited to hear about your story, if you have blogposts,
   tutorials code solutions using XGBoost, please tell us and we will add
   a link in the example pages.
-
-

doc/python/python_intro.rst

@@ -18,6 +18,8 @@ To verify your installation, run the following in Python:
 
   import xgboost as xgb
 
+.. _python_data_interface:
+
 Data Interface
 --------------
 The XGBoost python module is able to load data from:
@@ -50,7 +52,7 @@ The data is stored in a :py:class:`DMatrix <xgboost.DMatrix>` object.
 
   .. note:: Categorical features not supported
 
-    Note that XGBoost does not support categorical features; if your data contains
+    Note that XGBoost does not provide specialization for categorical features; if your data contains
     categorical features, load it as a NumPy array first and then perform
     `one-hot encoding <http://scikit-learn.org/stable/modules/generated/sklearn.preprocessing.OneHotEncoder.html>`_.
 

doc/tutorials/input_format.rst

@@ -7,6 +7,9 @@ Basic Input Format
 ******************
 XGBoost currently supports two text formats for ingesting data: LibSVM and CSV. The rest of this document will describe the LibSVM format. (See `this Wikipedia article <https://en.wikipedia.org/wiki/Comma-separated_values>`_ for a description of the CSV format.)
 
+.. note::
+   * XGBoost does **not** understand file extensions nor try to guess the file format.  Instead it employs uri format for specifying input file type.  For example if you provide a `csv` file ``./data.train.csv`` as input, XGBoost will use the default libsvm parser to digest it and generate a parser error.  Instead, users need to provide an uri in the form of ``train.csv?format=csv``.  For external memory input, the uri should of a form similar to ``train.csv?format=csv#dtrain.cache``.  See :ref:`python_data_interface` also.
+
 For training or predicting, XGBoost takes an instance file with the format as below:
 
 .. code-block:: none