De-duplicate GPU parameters. (#4454)

* Only define `gpu_id` and `n_gpus` in `LearnerTrainParam`
* Pass LearnerTrainParam through XGBoost vid factory method.
* Disable all GPU usage when GPU related parameters are not specified (fixes XGBoost choosing GPU over aggressively).
* Test learner train param io.
* Fix gpu pickling.

src/linear/coordinate_common.h

@@ -9,7 +9,9 @@
 #include <vector>
 #include <limits>
 
+#include "xgboost/data.h"
 #include "./param.h"
+#include "../gbm/gblinear_model.h"
 #include "../common/random.h"
 
 namespace xgboost {