Loop over thrust::reduce. (#6229)

* Check input chunk size of dqdm.
* Add doc for current limitation.

python-package/xgboost/core.py

@@ -871,6 +871,8 @@ class DeviceQuantileDMatrix(DMatrix):
 
     .. versionadded:: 1.1.0
 
+    Known limitation:
+    The data size (rows * cols) can not exceed 2 ** 31 - 1000
     """
 
     def __init__(self, data, label=None, weight=None,  # pylint: disable=W0231

python-package/xgboost/dask.py

@@ -509,6 +509,10 @@ class DaskDeviceQuantileDMatrix(DaskDMatrix):
     max_bin: Number of bins for histogram construction.
 
 
+    Know issue:
+    The size of each chunk (rows * cols for a single dask chunk/partition) can
+    not exceed 2 ** 31 - 1000
+
     '''
     def __init__(self, client,
                  data,