Improve OpenMP exception handling (#6680)

src/common/hist_util.h

@@ -257,8 +257,7 @@ struct GHistIndexMatrix {
     const size_t batch_size = batch.Size();
     CHECK_LT(batch_size, offset_vec.size());
     BinIdxType* index_data = index_data_span.data();
-#pragma omp parallel for num_threads(batch_threads) schedule(static)
-    for (omp_ulong i = 0; i < batch_size; ++i) {
+    ParallelFor(omp_ulong(batch_size), batch_threads, [&](omp_ulong i) {
       const int tid = omp_get_thread_num();
       size_t ibegin = row_ptr[rbegin + i];
       size_t iend = row_ptr[rbegin + i + 1];
@@ -270,7 +269,7 @@ struct GHistIndexMatrix {
         index_data[ibegin + j] = get_offset(idx, j);
         ++hit_count_tloc_[tid * nbins + idx];
       }
-    }
+    });
   }
 
   void ResizeIndex(const size_t n_index,