Cudf support. (#4745)

* Initial support for cudf integration.

* Add two C APIs for consuming data and metainfo.

* Add CopyFrom for SimpleCSRSource as a generic function to consume the data.

* Add FromDeviceColumnar for consuming device data.

* Add new MetaInfo::SetInfo for consuming label, weight etc.

tests/python-gpu/test_from_columnar.py

@@ -0,0 +1,44 @@
+import numpy as np
+import xgboost as xgb
+import sys
+import pytest
+sys.path.append("tests/python")
+import testing as tm
+
+pytestmark = pytest.mark.skipif(**tm.no_cudf())
+
+
+class TestFromColumnar:
+    '''Tests for constructing DMatrix from data structure conforming Apache
+Arrow specification.'''
+
+    @pytest.mark.skipif(**tm.no_cudf())
+    def test_from_cudf():
+        '''Test constructing DMatrix from cudf'''
+        import cudf
+        import pandas as pd
+
+        kRows = 80
+        kCols = 2
+
+        na = np.random.randn(kRows, kCols).astype(np.float32)
+        na[3, 1] = np.NAN
+        na[5, 0] = np.NAN
+
+        pa = pd.DataFrame(na)
+
+        np_label = np.random.randn(kRows).astype(np.float32)
+        pa_label = pd.DataFrame(np_label)
+
+        names = []
+
+        for i in range(0, kCols):
+            names.append(str(i))
+        pa.columns = names
+
+        cd: cudf.DataFrame = cudf.from_pandas(pa)
+        cd_label: cudf.DataFrame = cudf.from_pandas(pa_label)
+
+        dtrain = xgb.DMatrix(cd, label=cd_label)
+        assert dtrain.num_col() == kCols
+        assert dtrain.num_row() == kRows