Rewrite Dask interface. (#4819)

demo/dask/sklearn_cpu_training.py

@@ -0,0 +1,30 @@
+'''Dask interface demo:
+
+Use scikit-learn regressor interface with CPU histogram tree method.'''
+from dask.distributed import Client
+from dask.distributed import LocalCluster
+from dask import array as da
+import xgboost
+
+if __name__ == '__main__':
+    cluster = LocalCluster(n_workers=2, silence_logs=False)  # or use any other clusters
+    client = Client(cluster)
+
+    n = 100
+    m = 10000
+    partition_size = 100
+    X = da.random.random((m, n), partition_size)
+    y = da.random.random(m, partition_size)
+
+    regressor = xgboost.dask.DaskXGBRegressor(verbosity=2, n_estimators=2)
+    regressor.set_params(tree_method='hist')
+    regressor.client = client
+
+    regressor.fit(X, y, eval_set=[(X, y)])
+    prediction = regressor.predict(X)
+
+    bst = regressor.get_booster()
+    history = regressor.evals_result()
+
+    print('Evaluation history:', history)
+    assert isinstance(prediction, da.Array)