Remove omp_get_max_threads (#7608)

This is the one last PR for removing omp global variable.

* Add context object to the `DMatrix`.  This bridges `DMatrix` with https://github.com/dmlc/xgboost/issues/7308 .
* Require context to be available at the construction time of booster.
* Add `n_threads` support for R csc DMatrix constructor.
* Remove `omp_get_max_threads` in R glue code.
* Remove threading utilities that rely on omp global variable.

include/xgboost/data.h

@@ -1,5 +1,5 @@
 /*!
- * Copyright (c) 2015-2022 by Contributors
+ * Copyright (c) 2015-2022 by XGBoost Contributors
  * \file data.h
  * \brief The input data structure of xgboost.
  * \author Tianqi Chen
@@ -11,6 +11,7 @@
 #include <dmlc/data.h>
 #include <dmlc/serializer.h>
 #include <xgboost/base.h>
+#include <xgboost/generic_parameters.h>
 #include <xgboost/host_device_vector.h>
 #include <xgboost/linalg.h>
 #include <xgboost/span.h>
@@ -467,6 +468,11 @@ class DMatrix {
 
   /*! \brief Get thread local memory for returning data from DMatrix. */
   XGBAPIThreadLocalEntry& GetThreadLocal() const;
+  /**
+   * \brief Get the context object of this DMatrix.  The context is created during construction of
+   *        DMatrix with user specified `nthread` parameter.
+   */
+  virtual GenericParameter const* Ctx() const = 0;
 
   /**
    * \brief Gets batches. Use range based for loop over BatchSet to access individual batches.

include/xgboost/gbm.h

@@ -1,5 +1,5 @@
 /*!
- * Copyright 2014-2021 by Contributors
+ * Copyright 2014-2022 by XGBoost Contributors
  * \file gbm.h
  * \brief Interface of gradient booster,
  *  that learns through gradient statistics.
@@ -39,6 +39,7 @@ class PredictionContainer;
 class GradientBooster : public Model, public Configurable {
  protected:
   GenericParameter const* ctx_;
+  explicit GradientBooster(GenericParameter const* ctx) : ctx_{ctx} {}
 
  public:
   /*! \brief virtual destructor */
@@ -208,9 +209,9 @@ class GradientBooster : public Model, public Configurable {
  */
 struct GradientBoosterReg
     : public dmlc::FunctionRegEntryBase<
-  GradientBoosterReg,
-  std::function<GradientBooster* (LearnerModelParam const* learner_model_param)> > {
-};
+          GradientBoosterReg,
+          std::function<GradientBooster*(LearnerModelParam const* learner_model_param,
+                                         GenericParameter const* ctx)> > {};
 
 /*!
  * \brief Macro to register gradient booster.

include/xgboost/learner.h

@@ -1,5 +1,5 @@
 /*!
- * Copyright 2015-2021 by Contributors
+ * Copyright 2015-2022 by XGBoost Contributors
  * \file learner.h
  * \brief Learner interface that integrates objective, gbm and evaluation together.
  *  This is the user facing XGBoost training module.
@@ -280,8 +280,10 @@ class Learner : public Model, public Configurable, public dmlc::Serializable {
    * \return Created learner.
    */
   static Learner* Create(const std::vector<std::shared_ptr<DMatrix> >& cache_data);
-
-  virtual GenericParameter const& GetGenericParameter() const = 0;
+  /**
+   * \brief Return the context object of this Booster.
+   */
+  virtual GenericParameter const* Ctx() const = 0;
   /*!
    * \brief Get configuration arguments currently stored by the learner
    * \return Key-value pairs representing configuration arguments