Initial support for quantile loss. (#8750)

- Add support for Python.
- Add objective.

tests/python/test_demos.py

@@ -146,6 +146,13 @@ def test_multioutput_reg() -> None:
     subprocess.check_call(cmd)
 
 
+@pytest.mark.skipif(**tm.no_sklearn())
+def test_quantile_reg() -> None:
+    script = os.path.join(PYTHON_DEMO_DIR, "quantile_regression.py")
+    cmd = ['python', script]
+    subprocess.check_call(cmd)
+
+
 @pytest.mark.skipif(**tm.no_ubjson())
 def test_json_model() -> None:
     script = os.path.join(DEMO_DIR, "json-model", "json_parser.py")

tests/python/test_updaters.py

@@ -10,7 +10,7 @@ from xgboost.testing.params import (
     exact_parameter_strategy,
     hist_parameter_strategy,
 )
-from xgboost.testing.updater import check_init_estimation
+from xgboost.testing.updater import check_init_estimation, check_quantile_loss
 
 import xgboost as xgb
 from xgboost import testing as tm
@@ -469,3 +469,7 @@ class TestTreeMethod:
 
     def test_init_estimation(self) -> None:
         check_init_estimation("hist")
+
+    @pytest.mark.parametrize("weighted", [True, False])
+    def test_quantile_loss(self, weighted: bool) -> None:
+        check_quantile_loss("hist", weighted)