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/test_logging.cc

@@ -52,6 +52,9 @@ TEST(Logging, Basic) {
   LOG(CONSOLE) << "Test Log Console";  // ignore global setting.
   output = testing::internal::GetCapturedStderr();
   ASSERT_NE(output.find("Test Log Console"), std::string::npos);
+
+  args["verbosity"] = "1";  // restore
+  ConsoleLogger::Configure(args.cbegin(), args.cend());
 }
 
 }  // namespace xgboost