Add back xgboost.rabit for backwards compatibility (#8408)

* Add back xgboost.rabit for backwards compatibility

* fix my errors

* Fix lint

* Use FutureWarning

Co-authored-by: Hyunsu Philip Cho <chohyu01@cs.washington.edu>

tests/python/test_collective.py

@@ -39,6 +39,37 @@ def test_rabit_communicator():
         assert worker.exitcode == 0
 
 
+# TODO(rongou): remove this once we remove the rabit api.
+def run_rabit_api_worker(rabit_env, world_size):
+    with xgb.rabit.RabitContext(rabit_env):
+        assert xgb.rabit.get_world_size() == world_size
+        assert xgb.rabit.is_distributed()
+        assert xgb.rabit.get_processor_name().decode() == socket.gethostname()
+        ret = xgb.rabit.broadcast('test1234', 0)
+        assert str(ret) == 'test1234'
+        ret = xgb.rabit.allreduce(np.asarray([1, 2, 3]), xgb.rabit.Op.SUM)
+        assert np.array_equal(ret, np.asarray([2, 4, 6]))
+
+
+# TODO(rongou): remove this once we remove the rabit api.
+def test_rabit_api():
+    world_size = 2
+    tracker = RabitTracker(host_ip='127.0.0.1', n_workers=world_size)
+    tracker.start(world_size)
+    rabit_env = []
+    for k, v in tracker.worker_envs().items():
+        rabit_env.append(f"{k}={v}".encode())
+    workers = []
+    for _ in range(world_size):
+        worker = multiprocessing.Process(target=run_rabit_api_worker,
+                                         args=(rabit_env, world_size))
+        workers.append(worker)
+        worker.start()
+    for worker in workers:
+        worker.join()
+        assert worker.exitcode == 0
+
+
 def run_federated_worker(port, world_size, rank):
     with xgb.collective.CommunicatorContext(xgboost_communicator='federated',
                                             federated_server_address=f'localhost:{port}',