Loop over thrust::reduce. (#6229)

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

src/common/device_helpers.cuh

@@ -1132,4 +1132,21 @@ size_t SegmentedUnique(Inputs &&...inputs) {
   dh::XGBCachingDeviceAllocator<char> alloc;
   return SegmentedUnique(thrust::cuda::par(alloc), std::forward<Inputs&&>(inputs)...);
 }
+
+template <typename Policy, typename InputIt, typename Init, typename Func>
+auto Reduce(Policy policy, InputIt first, InputIt second, Init init, Func reduce_op) {
+  size_t constexpr kLimit = std::numeric_limits<int32_t>::max() / 2;
+  size_t size = std::distance(first, second);
+  using Ty = std::remove_cv_t<Init>;
+  Ty aggregate = init;
+  for (size_t offset = 0; offset < size; offset += kLimit) {
+    auto begin_it = first + offset;
+    auto end_it = first + std::min(offset + kLimit, size);
+    size_t batch_size = std::distance(begin_it, end_it);
+    CHECK_LE(batch_size, size);
+    auto ret = thrust::reduce(policy, begin_it, end_it, init, reduce_op);
+    aggregate = reduce_op(aggregate, ret);
+  }
+  return aggregate;
+}
 }  // namespace dh