Support host data in proxy DMatrix. (#7087)

tests/cpp/data/test_proxy_dmatrix.cc

@@ -0,0 +1,31 @@
+/*!
+ * Copyright 2021 XGBoost contributors
+ */
+#include <gtest/gtest.h>
+#include "../helpers.h"
+#include "../../../src/data/proxy_dmatrix.h"
+#include "../../../src/data/adapter.h"
+
+namespace xgboost {
+namespace data {
+TEST(ProxyDMatrix, HostData) {
+  DMatrixProxy proxy;
+  size_t constexpr kRows = 100, kCols = 10;
+  std::vector<HostDeviceVector<float>> label_storage(1);
+
+  HostDeviceVector<float> storage;
+  auto data = RandomDataGenerator(kRows, kCols, 0.5)
+                  .Device(0)
+                  .GenerateArrayInterface(&storage);
+
+  proxy.SetArrayData(data.c_str());
+
+  auto n_samples = HostAdapterDispatch(
+      &proxy, [](auto const &value) { return value.Size(); });
+  ASSERT_EQ(n_samples, kRows);
+  auto n_features = HostAdapterDispatch(
+      &proxy, [](auto const &value) { return value.NumCols(); });
+  ASSERT_EQ(n_features, kCols);
+}
+}  // namespace data
+}  // namespace xgboost