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/python-gpu/load_pickle.py

@@ -0,0 +1,20 @@
+'''Loading a pickled model generated by test_pickling.py'''
+import pickle
+import unittest
+import os
+import xgboost as xgb
+import sys
+
+sys.path.append("tests/python")
+from test_pickling import build_dataset, model_path
+
+
+class TestLoadPickle(unittest.TestCase):
+    def test_load_pkl(self):
+        assert os.environ['CUDA_VISIBLE_DEVICES'] == ''
+        with open(model_path, 'rb') as fd:
+            bst = pickle.load(fd)
+        x, y = build_dataset()
+        test_x = xgb.DMatrix(x)
+        res = bst.predict(test_x)
+        assert len(res) == 10