Note for DaskDMatrix. (#5144)

* Brief introduction to `DaskDMatrix`.

* Add xgboost.dask.train to API doc

doc/python/python_api.rst

@@ -82,6 +82,8 @@ Dask API
 
 .. autofunction:: xgboost.dask.DaskDMatrix
 
+.. autofunction:: xgboost.dask.train
+
 .. autofunction:: xgboost.dask.predict
 
 .. autofunction:: xgboost.dask.DaskXGBClassifier

doc/tutorials/dask.rst

@@ -77,6 +77,27 @@ interface with ``DaskXGBClassifier`` and ``DaskXGBRegressor``.  See ``xgboost/de
 for more examples.
 
 
+*****************************************************************************
+Why is the initialization of ``DaskDMatrix``  so slow and throws weird errors
+*****************************************************************************
+
+The dask API in XGBoost requires construction of ``DaskDMatrix``.  With ``Scikit-Learn``
+interface, ``DaskDMatrix`` is implicitly constructed for each input data during `fit` or
+`predict`.  You might have observed its construction is taking incredible amount of time,
+and sometimes throws error that doesn't seem to be relevant to `DaskDMatrix`.  Here is a
+brief explanation for why.  By default most of dask's computation is `lazy
+<https://docs.dask.org/en/latest/user-interfaces.html#laziness-and-computing>`_, which
+means the computation is not carried out until you explicitly ask for result, either by
+calling `compute()` or `wait()`.  See above link for details in dask, and `this wiki
+<https://en.wikipedia.org/wiki/Lazy_evaluation>`_ for general concept of lazy evaluation.
+The `DaskDMatrix` constructor forces all lazy computation to materialize, which means it's
+where all your earlier computation actually being carried out, including operations like
+`dd.read_csv()`.  To isolate the computation in `DaskDMatrix` from other lazy
+computations, one can explicitly wait for results of input data before calling constructor
+of `DaskDMatrix`.  Also dask's `web interface
+<https://distributed.dask.org/en/latest/web.html>`_ can be used to monitor what operations
+are currently being performed.
+
 ***********
 Limitations
 ***********

python-package/xgboost/dask.py

@@ -113,7 +113,10 @@ def _assert_client(client):
 
 class DaskDMatrix:
     # pylint: disable=missing-docstring, too-many-instance-attributes
-    '''DMatrix holding on references to Dask DataFrame or Dask Array.
+    '''DMatrix holding on references to Dask DataFrame or Dask Array.  Constructing
+    a `DaskDMatrix` forces all lazy computation to be carried out.  Wait for
+    the input data explicitly if you want to see actual computation of
+    constructing `DaskDMatrix`.
 
     Parameters
     ----------
@@ -351,7 +354,7 @@ def train(client, params, dtrain, *args, evals=(), **kwargs):
     client: dask.distributed.Client
         Specify the dask client used for training.  Use default client
         returned from dask if it's set to None.
-
+    \\*\\*kwargs:
         Other parameters are the same as `xgboost.train` except for `evals_result`,
         which is returned as part of function return value instead of argument.
 

python-package/xgboost/plotting.py

@@ -136,7 +136,7 @@ def to_graphviz(booster, fmap='', num_trees=0, rankdir=None,
         Edge color when meets the node condition.
     no_color : str, default '#FF0000'
         Edge color when doesn't meet the node condition.
-    condition_node_params : dict (optional)
+    condition_node_params : dict, optional
         Condition node configuration for for graphviz.  Example:
 
         .. code-block:: python
@@ -145,7 +145,7 @@ def to_graphviz(booster, fmap='', num_trees=0, rankdir=None,
              'style': 'filled,rounded',
              'fillcolor': '#78bceb'}
 
-    leaf_node_params : dict (optional)
+    leaf_node_params : dict, optional
         Leaf node configuration for graphviz. Example:
 
         .. code-block:: python
@@ -154,8 +154,8 @@ def to_graphviz(booster, fmap='', num_trees=0, rankdir=None,
              'style': 'filled',
              'fillcolor': '#e48038'}
 
-    kwargs : Other keywords passed to graphviz graph_attr, E.g.:
-        ``graph [ {key} = {value} ]``
+    \\*\\*kwargs: dict, optional
+        Other keywords passed to graphviz graph_attr, e.g. ``graph [ {key} = {value} ]``
 
     Returns
     -------