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.

tests/cpp/common/test_device_helpers.cu

@@ -5,6 +5,7 @@
 #include <thrust/device_vector.h>
 #include <xgboost/base.h>
 #include "../../../src/common/device_helpers.cuh"
+#include "../helpers.h"
 #include "gtest/gtest.h"
 
 using xgboost::common::Span;
@@ -65,7 +66,9 @@ void TestLbs() {
   }
 }
 
-TEST(cub_lbs, Test) { TestLbs(); }
+TEST(cub_lbs, Test) {
+  TestLbs();
+}
 
 TEST(sumReduce, Test) {
   thrust::device_vector<float> data(100, 1.0f);
@@ -89,4 +92,6 @@ void TestAllocator() {
 }
 
 // Define the test in a function so we can use device lambda
-TEST(bulkAllocator, Test) { TestAllocator(); }
+TEST(bulkAllocator, Test) {
+  TestAllocator();
+}