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/updater_gpu_coordinate.cu

@@ -164,7 +164,7 @@ class GPUCoordinateUpdater : public LinearUpdater {
                       const gbm::GBLinearModelParam &model_param) {
     if (!shards_.empty()) return;
 
-    dist_ = GPUDistribution::Block(GPUSet::All(tparam_.gpu_id, tparam_.n_gpus,
+    dist_ = GPUDistribution::Block(GPUSet::All(learner_param_->gpu_id, learner_param_->n_gpus,
                                                p_fmat->Info().num_row_));
     auto devices = dist_.Devices();