Handle missing categorical value in CPU evaluator. (#7948)

tests/cpp/tree/hist/test_evaluate_splits.cc

@@ -147,9 +147,9 @@ auto CompareOneHotAndPartition(bool onehot) {
   auto dmat =
       RandomDataGenerator(kRows, kCols, 0).Seed(3).Type(ft).MaxCategory(n_cats).GenerateDMatrix();
 
-  int32_t n_threads = 16;
   auto sampler = std::make_shared<common::ColumnSampler>();
-  auto evaluator = HistEvaluator<CPUExpandEntry>{param, dmat->Info(), n_threads, sampler};
+  auto evaluator =
+      HistEvaluator<CPUExpandEntry>{param, dmat->Info(), common::OmpGetNumThreads(0), sampler};
   std::vector<CPUExpandEntry> entries(1);
 
   for (auto const &gmat : dmat->GetBatches<GHistIndexMatrix>({32, param.sparse_threshold})) {

tests/cpp/tree/test_evaluate_splits.h

@@ -2,11 +2,14 @@
  * Copyright 2022 by XGBoost Contributors
  */
 #include <gtest/gtest.h>
+#include <xgboost/data.h>
 
 #include <algorithm>  // next_permutation
 #include <numeric>    // iota
 
-#include "../../../src/tree/hist/evaluate_splits.h"
+#include "../../../src/common/hist_util.h"  // HistogramCuts,HistCollection
+#include "../../../src/tree/param.h"        // TrainParam
+#include "../../../src/tree/split_evaluator.h"
 #include "../helpers.h"
 
 namespace xgboost {