Use inplace predict for sklearn. (#6718)

* Use inplace predict for sklearn when possible.

python-package/xgboost/sklearn.py

@@ -783,7 +783,7 @@ class XGBModel(XGBModelBase):
         """
         Predict with `X`.
 
-        .. note:: This function is only thread safe for `gbtree`
+        .. note:: This function is only thread safe for `gbtree` and `dart`.
 
         Parameters
         ----------
@@ -813,6 +813,24 @@ class XGBModel(XGBModelBase):
             self.get_booster(), ntree_limit, iteration_range
         )
         iteration_range = self._get_iteration_range(iteration_range)
+        if self._can_use_inplace_predict():
+            try:
+                predts = self.get_booster().inplace_predict(
+                    data=X,
+                    iteration_range=iteration_range,
+                    predict_type="margin" if output_margin else "value",
+                    missing=self.missing,
+                    base_margin=base_margin,
+                    validate_features=validate_features,
+                )
+                if _is_cupy_array(predts):
+                    import cupy     # pylint: disable=import-error
+                    predts = cupy.asnumpy(predts)  # ensure numpy array is used.
+                return predts
+            except TypeError:
+                # coo, csc, dt
+                pass
+
         test = DMatrix(
             X, base_margin=base_margin, missing=self.missing, nthread=self.n_jobs
         )
@@ -1217,7 +1235,7 @@ class XGBClassifier(XGBModel, XGBClassifierBase):
     ) -> np.ndarray:
         """ Predict the probability of each `X` example being of a given class.
 
-        .. note:: This function is only thread safe for `gbtree`
+        .. note:: This function is only thread safe for `gbtree` and `dart`.
 
         Parameters
         ----------