Fix learning rate scheduler with cv. (#6720)

* Expose more methods in cvpack and packed booster.
* Fix cv context in deprecated callbacks.
* Fix document.

tests/python/test_callback.py

@@ -206,6 +206,7 @@ class TestCallbacks:
                 booster.best_iteration + early_stopping_rounds + 1
 
     def run_eta_decay(self, tree_method, deprecated_callback):
+        """Test learning rate scheduler, used by both CPU and GPU tests."""
         if deprecated_callback:
             scheduler = xgb.callback.reset_learning_rate
         else:
@@ -217,7 +218,10 @@ class TestCallbacks:
         watchlist = [(dtest, 'eval'), (dtrain, 'train')]
         num_round = 4
 
-        warning_check = pytest.warns(UserWarning) if deprecated_callback else tm.noop_context()
+        if deprecated_callback:
+            warning_check = pytest.warns(UserWarning)
+        else:
+            warning_check = tm.noop_context()
 
         # learning_rates as a list
         # init eta with 0 to check whether learning_rates work
@@ -288,17 +292,22 @@ class TestCallbacks:
         for i in range(1, len(eval_errors_0)):
             assert eval_errors_3[i] != eval_errors_2[i]
 
-    def test_eta_decay_hist(self):
-        self.run_eta_decay('hist', True)
-        self.run_eta_decay('hist', False)
+        with warning_check:
+            xgb.cv(param, dtrain, num_round, callbacks=[scheduler(eta_decay)])
 
-    def test_eta_decay_approx(self):
-        self.run_eta_decay('approx', True)
-        self.run_eta_decay('approx', False)
-
-    def test_eta_decay_exact(self):
-        self.run_eta_decay('exact', True)
-        self.run_eta_decay('exact', False)
+    @pytest.mark.parametrize(
+        "tree_method, deprecated_callback",
+        [
+            ("hist", True),
+            ("hist", False),
+            ("approx", True),
+            ("approx", False),
+            ("exact", True),
+            ("exact", False),
+        ],
+    )
+    def test_eta_decay(self, tree_method, deprecated_callback):
+        self.run_eta_decay(tree_method, deprecated_callback)
 
     def test_check_point(self):
         from sklearn.datasets import load_breast_cancer