Fix gpu coordinate running on multi-gpu. (#3893)

tests/cpp/linear/test_linear.cu

@@ -0,0 +1,70 @@
+// Copyright by Contributors
+#include <xgboost/linear_updater.h>
+#include "../helpers.h"
+#include "xgboost/gbm.h"
+
+namespace xgboost {
+
+TEST(Linear, GPUCoordinate) {
+  dh::safe_cuda(cudaSetDevice(0));
+  auto mat = xgboost::CreateDMatrix(10, 10, 0);
+  auto updater = std::unique_ptr<xgboost::LinearUpdater>(
+      xgboost::LinearUpdater::Create("gpu_coord_descent"));
+  updater->Init({{"eta", "1."}, {"n_gpus", "1"}});
+  xgboost::HostDeviceVector<xgboost::GradientPair> gpair(
+      (*mat)->Info().num_row_, xgboost::GradientPair(-5, 1.0));
+  xgboost::gbm::GBLinearModel model;
+  model.param.num_feature = (*mat)->Info().num_col_;
+  model.param.num_output_group = 1;
+  model.LazyInitModel();
+  updater->Update(&gpair, (*mat).get(), &model, gpair.Size());
+
+  ASSERT_EQ(model.bias()[0], 5.0f);
+
+  delete mat;
+}
+
+#if defined(XGBOOST_USE_NCCL)
+TEST(Linear, MGPU_GPUCoordinate) {
+  dh::safe_cuda(cudaSetDevice(0));
+  {
+    auto mat = xgboost::CreateDMatrix(10, 10, 0);
+    auto updater = std::unique_ptr<xgboost::LinearUpdater>(
+        xgboost::LinearUpdater::Create("gpu_coord_descent"));
+    updater->Init({{"eta", "1."}, {"n_gpus", "-1"}});
+    xgboost::HostDeviceVector<xgboost::GradientPair> gpair(
+        (*mat)->Info().num_row_, xgboost::GradientPair(-5, 1.0));
+    xgboost::gbm::GBLinearModel model;
+    model.param.num_feature = (*mat)->Info().num_col_;
+    model.param.num_output_group = 1;
+    model.LazyInitModel();
+    updater->Update(&gpair, (*mat).get(), &model, gpair.Size());
+
+    ASSERT_EQ(model.bias()[0], 5.0f);
+    delete mat;
+  }
+
+  dh::safe_cuda(cudaSetDevice(0));
+  {
+    auto mat = xgboost::CreateDMatrix(10, 10, 0);
+    auto updater = std::unique_ptr<xgboost::LinearUpdater>(
+        xgboost::LinearUpdater::Create("gpu_coord_descent"));
+    updater->Init({
+        {"eta", "1."},
+        {"n_gpus", "-1"},
+        {"gpu_id", "1"}});
+    xgboost::HostDeviceVector<xgboost::GradientPair> gpair(
+        (*mat)->Info().num_row_, xgboost::GradientPair(-5, 1.0));
+    xgboost::gbm::GBLinearModel model;
+    model.param.num_feature = (*mat)->Info().num_col_;
+    model.param.num_output_group = 1;
+    model.LazyInitModel();
+    updater->Update(&gpair, (*mat).get(), &model, gpair.Size());
+
+    ASSERT_EQ(model.bias()[0], 5.0f);
+    delete mat;
+  }
+}
+#endif
+
+}  // namespace xgboost