Update JSON parser demo with categorical feature. (#8401)

- Parse categorical features in the Python example.
- Add tests.
- Update document.

src/tree/tree_model.cc

@@ -807,7 +807,7 @@ void RegTree::ExpandNode(bst_node_t nid, unsigned split_index, bst_float split_v
   this->split_types_.at(nid) = FeatureType::kNumerical;
 }
 
-void RegTree::ExpandCategorical(bst_node_t nid, unsigned split_index,
+void RegTree::ExpandCategorical(bst_node_t nid, bst_feature_t split_index,
                                 common::Span<const uint32_t> split_cat, bool default_left,
                                 bst_float base_weight, bst_float left_leaf_weight,
                                 bst_float right_leaf_weight, bst_float loss_change, float sum_hess,
@@ -935,12 +935,15 @@ void RegTree::LoadCategoricalSplit(Json const& in) {
   if (!categories_nodes.empty()) {
     last_cat_node = GetElem<Integer>(categories_nodes, cnt);
   }
+  // `categories_segments' is only available for categorical nodes to prevent overhead for
+  // numerical node. As a result, we need to track the categorical nodes we have processed
+  // so far.
   for (bst_node_t nidx = 0; nidx < param.num_nodes; ++nidx) {
     if (nidx == last_cat_node) {
       auto j_begin = GetElem<Integer>(categories_segments, cnt);
       auto j_end = GetElem<Integer>(categories_sizes, cnt) + j_begin;
       bst_cat_t max_cat{std::numeric_limits<bst_cat_t>::min()};
-      CHECK_NE(j_end - j_begin, 0) << nidx;
+      CHECK_GT(j_end - j_begin, 0) << nidx;
 
       for (auto j = j_begin; j < j_end; ++j) {
         auto const& category = GetElem<Integer>(categories, j);
@@ -1059,6 +1062,8 @@ bool LoadModelImpl(Json const& in, TreeParam* param, std::vector<RTreeNodeStat>*
   if (has_cat) {
     split_type = get<U8ArrayT const>(in["split_type"]);
   }
+
+  // Initialization
   stats = std::remove_reference_t<decltype(stats)>(n_nodes);
   nodes = std::remove_reference_t<decltype(nodes)>(n_nodes);
   split_types = std::remove_reference_t<decltype(split_types)>(n_nodes);
@@ -1068,6 +1073,7 @@ bool LoadModelImpl(Json const& in, TreeParam* param, std::vector<RTreeNodeStat>*
   static_assert(std::is_floating_point<decltype(GetElem<Number>(loss_changes, 0))>::value, "");
   CHECK_EQ(n_nodes, split_categories_segments.size());
 
+  // Set node
   for (int32_t i = 0; i < n_nodes; ++i) {
     auto& s = stats[i];
     s.loss_chg = GetElem<Number>(loss_changes, i);