[backport] Fix device dispatch for linear updater. (#9507) (#9532)

tests/cpp/gbm/test_gblinear.cu

@@ -0,0 +1,42 @@
+/**
+ * Copyright 2023, XGBoost Contributors
+ */
+#include <gtest/gtest.h>
+#include <xgboost/global_config.h>  // for GlobalConfigThreadLocalStore
+#include <xgboost/json.h>           // for Json, Object
+#include <xgboost/learner.h>        // for Learner
+
+#include <algorithm>  // for transform
+#include <string>     // for string
+#include <utility>    // for swap
+
+#include "../helpers.h"  // for RandomDataGenerator
+
+namespace xgboost {
+TEST(GBlinear, DispatchUpdater) {
+  auto verbosity = 3;
+  std::swap(GlobalConfigThreadLocalStore::Get()->verbosity, verbosity);
+
+  auto test = [](std::string device) {
+    auto p_fmat = RandomDataGenerator{10, 10, 0.0f}.GenerateDMatrix(true);
+    std::unique_ptr<Learner> learner{Learner::Create({p_fmat})};
+    learner->SetParams(
+        Args{{"booster", "gblinear"}, {"updater", "coord_descent"}, {"device", device}});
+    learner->Configure();
+    for (std::int32_t iter = 0; iter < 3; ++iter) {
+      learner->UpdateOneIter(iter, p_fmat);
+    }
+    Json config{Object{}};
+    ::testing::internal::CaptureStderr();
+    learner->SaveConfig(&config);
+    auto str = ::testing::internal::GetCapturedStderr();
+    std::transform(device.cbegin(), device.cend(), device.begin(),
+                   [](char c) { return std::toupper(c); });
+    ASSERT_NE(str.find(device), std::string::npos);
+  };
+  test("cpu");
+  test("gpu");
+
+  std::swap(GlobalConfigThreadLocalStore::Get()->verbosity, verbosity);
+}
+}  // namespace xgboost