Merge model compatibility fixes from 1.0rc branch. (#5305)

* Port test model compatibility.
* Port logit model fix.

https://github.com/dmlc/xgboost/pull/5248
https://github.com/dmlc/xgboost/pull/5281

doc/python/convert_090to100.py

@@ -0,0 +1,79 @@
+'''This is a simple script that converts a pickled XGBoost
+Scikit-Learn interface object from 0.90 to a native model.  Pickle
+format is not stable as it's a direct serialization of Python object.
+We advice not to use it when stability is needed.
+
+'''
+import pickle
+import json
+import os
+import argparse
+import numpy as np
+import xgboost
+import warnings
+
+
+def save_label_encoder(le):
+    '''Save the label encoder in XGBClassifier'''
+    meta = dict()
+    for k, v in le.__dict__.items():
+        if isinstance(v, np.ndarray):
+            meta[k] = v.tolist()
+        else:
+            meta[k] = v
+    return meta
+
+
+def xgboost_skl_90to100(skl_model):
+    '''Extract the model and related metadata in SKL model.'''
+    model = {}
+    with open(skl_model, 'rb') as fd:
+        old = pickle.load(fd)
+        if not isinstance(old, xgboost.XGBModel):
+            raise TypeError(
+                'The script only handes Scikit-Learn interface object')
+
+    # Save Scikit-Learn specific Python attributes into a JSON document.
+    for k, v in old.__dict__.items():
+        if k == '_le':
+            model[k] = save_label_encoder(v)
+        elif k == 'classes_':
+            model[k] = v.tolist()
+        elif k == '_Booster':
+            continue
+        else:
+            try:
+                json.dumps({k: v})
+                model[k] = v
+            except TypeError:
+                warnings.warn(str(k) + ' is not saved in Scikit-Learn meta.')
+    booster = old.get_booster()
+    # Store the JSON serialization as an attribute
+    booster.set_attr(scikit_learn=json.dumps(model))
+
+    # Save it into a native model.
+    i = 0
+    while True:
+        path = 'xgboost_native_model_from_' + skl_model + '-' + str(i) + '.bin'
+        if os.path.exists(path):
+            i += 1
+            continue
+        booster.save_model(path)
+        break
+
+
+if __name__ == '__main__':
+    assert xgboost.__version__ != '1.0.0', ('Please use the XGBoost version'
+                                            ' that generates this pickle.')
+    parser = argparse.ArgumentParser(
+        description=('A simple script to convert pickle generated by'
+                     ' XGBoost 0.90 to XGBoost 1.0.0 model (not pickle).'))
+    parser.add_argument(
+        '--old-pickle',
+        type=str,
+        help='Path to old pickle file of Scikit-Learn interface object.  '
+        'Will output a native model converted from this pickle file',
+        required=True)
+    args = parser.parse_args()
+
+    xgboost_skl_90to100(args.old_pickle)