Implement transform to reduce CPU/GPU code duplication. (#3643)

* Implement Transform class.
* Add tests for softmax.
* Use Transform in regression, softmax and hinge objectives, except for Cox.
* Mark old gpu objective functions deprecated.
* static_assert for softmax.
* Split up multi-gpu tests.

src/common/device_helpers.cuh

@@ -9,6 +9,7 @@
 #include <xgboost/logging.h>
 
 #include "common.h"
+#include "span.h"
 
 #include <algorithm>
 #include <chrono>
@@ -955,7 +956,7 @@ class SaveCudaContext {
     // cudaGetDevice will fail.
     try {
       safe_cuda(cudaGetDevice(&saved_device_));
-    } catch (thrust::system::system_error & err) {
+    } catch (const thrust::system::system_error & err) {
       saved_device_ = -1;
     }
     func();
@@ -1035,4 +1036,22 @@ ReduceT ReduceShards(std::vector<ShardT> *shards, FunctionT f) {
   };
   return std::accumulate(sums.begin(), sums.end(), ReduceT());
 }
+
+template <typename T,
+  typename IndexT = typename xgboost::common::Span<T>::index_type>
+xgboost::common::Span<T> ToSpan(
+    thrust::device_vector<T>& vec,
+    IndexT offset = 0,
+    IndexT size = -1) {
+  size = size == -1 ? vec.size() : size;
+  CHECK_LE(offset + size, vec.size());
+  return {vec.data().get() + offset, static_cast<IndexT>(size)};
+}
+
+template <typename T>
+xgboost::common::Span<T> ToSpan(thrust::device_vector<T>& vec,
+                                size_t offset, size_t size) {
+  using IndexT = typename xgboost::common::Span<T>::index_type;
+  return ToSpan(vec, static_cast<IndexT>(offset), static_cast<IndexT>(size));
+}
 }  // namespace dh