Support sklearn cross validation for ranker. (#8859)

* Support sklearn cross validation for ranker.

- Add a convention for X to include a special `qid` column.

sklearn utilities consider only `X`, `y` and `sample_weight` for supervised learning
algorithms, but we need an additional qid array for ranking.

It's important to be able to support the cross validation function in sklearn since all
other tuning functions like grid search are based on cross validation.

tests/python-gpu/test_gpu_with_sklearn.py

@@ -8,6 +8,7 @@ import pytest
 
 import xgboost as xgb
 from xgboost import testing as tm
+from xgboost.testing.ranking import run_ranking_qid_df
 
 sys.path.append("tests/python")
 import test_with_sklearn as twskl  # noqa
@@ -153,3 +154,10 @@ def test_classififer():
     y *= 10
     with pytest.raises(ValueError, match=r"Invalid classes.*"):
         clf.fit(X, y)
+
+
+@pytest.mark.skipif(**tm.no_pandas())
+def test_ranking_qid_df():
+    import cudf
+
+    run_ranking_qid_df(cudf, "gpu_hist")