Loop over thrust::reduce. (#6229)

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

tests/cpp/common/test_device_helpers.cu

@@ -1,4 +1,3 @@
-
 /*!
  * Copyright 2017 XGBoost contributors
  */
@@ -122,6 +121,14 @@ void TestSegmentedUniqueRegression(std::vector<SketchEntry> values, size_t n_dup
   ASSERT_EQ(segments.at(1), d_segments_out[1] + n_duplicated);
 }
 
+TEST(DeviceHelpers, Reduce) {
+  size_t kSize = std::numeric_limits<uint32_t>::max();
+  auto it = thrust::make_counting_iterator(0ul);
+  dh::XGBCachingDeviceAllocator<char> alloc;
+  auto batched = dh::Reduce(thrust::cuda::par(alloc), it, it + kSize, 0ul, thrust::maximum<size_t>{});
+  CHECK_EQ(batched, kSize - 1);
+}
+
 
 TEST(SegmentedUnique, Regression) {
   {