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_main.cc

@@ -1,7 +1,12 @@
 // Copyright by Contributors
 #include <gtest/gtest.h>
+#include <xgboost/logging.h>
+#include <string>
+#include <vector>
 
 int main(int argc, char ** argv) {
+  std::vector<std::pair<std::string, std::string>> args {{"verbosity", "3"}};
+  xgboost::ConsoleLogger::Configure(args.begin(), args.end());
   testing::InitGoogleTest(&argc, argv);
   testing::FLAGS_gtest_death_test_style = "threadsafe";
   return RUN_ALL_TESTS();