Cleanup Python GPU tests. (#9934)

* Cleanup Python GPU tests.

- Remove the use of `gpu_hist` and `gpu_id` in cudf/cupy tests.
- Move base margin test into the testing directory.

python-package/xgboost/testing/data.py

@@ -3,7 +3,17 @@
 import os
 import zipfile
 from dataclasses import dataclass
-from typing import Any, Generator, List, NamedTuple, Optional, Tuple, Union
+from typing import (
+    Any,
+    Callable,
+    Generator,
+    List,
+    NamedTuple,
+    Optional,
+    Tuple,
+    Type,
+    Union,
+)
 from urllib import request
 
 import numpy as np
@@ -603,3 +613,51 @@ def sort_ltr_samples(
     data = X, clicks, y, qid
 
     return data
+
+
+def run_base_margin_info(
+    DType: Callable, DMatrixT: Type[xgboost.DMatrix], device: str
+) -> None:
+    """Run tests for base margin."""
+    rng = np.random.default_rng()
+    X = DType(rng.normal(0, 1.0, size=100).astype(np.float32).reshape(50, 2))
+    if hasattr(X, "iloc"):
+        y = X.iloc[:, 0]
+    else:
+        y = X[:, 0]
+    base_margin = X
+    # no error at set
+    Xy = DMatrixT(X, y, base_margin=base_margin)
+    # Error at train, caused by check in predictor.
+    with pytest.raises(ValueError, match=r".*base_margin.*"):
+        xgboost.train({"tree_method": "hist", "device": device}, Xy)
+
+    if not hasattr(X, "iloc"):
+        # column major matrix
+        got = DType(Xy.get_base_margin().reshape(50, 2))
+        assert (got == base_margin).all()
+
+        assert base_margin.T.flags.c_contiguous is False
+        assert base_margin.T.flags.f_contiguous is True
+        Xy.set_info(base_margin=base_margin.T)
+        got = DType(Xy.get_base_margin().reshape(2, 50))
+        assert (got == base_margin.T).all()
+
+        # Row vs col vec.
+        base_margin = y
+        Xy.set_base_margin(base_margin)
+        bm_col = Xy.get_base_margin()
+        Xy.set_base_margin(base_margin.reshape(1, base_margin.size))
+        bm_row = Xy.get_base_margin()
+        assert (bm_row == bm_col).all()
+
+        # type
+        base_margin = base_margin.astype(np.float64)
+        Xy.set_base_margin(base_margin)
+        bm_f64 = Xy.get_base_margin()
+        assert (bm_f64 == bm_col).all()
+
+        # too many dimensions
+        base_margin = X.reshape(2, 5, 2, 5)
+        with pytest.raises(ValueError, match=r".*base_margin.*"):
+            Xy.set_base_margin(base_margin)