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.

tests/cpp/common/test_transform_range.cu

@@ -0,0 +1,43 @@
+// This converts all tests from CPU to GPU.
+#include "test_transform_range.cc"
+
+#if defined(XGBOOST_USE_NCCL)
+namespace xgboost {
+namespace common {
+
+// Test here is multi gpu specific
+TEST(Transform, MGPU_Basic) {
+  auto devices = GPUSet::AllVisible();
+  CHECK_GT(devices.Size(), 1);
+  const size_t size {256};
+  std::vector<bst_float> h_in(size);
+  std::vector<bst_float> h_out(size);
+  InitializeRange(h_in.begin(), h_in.end());
+  std::vector<bst_float> h_sol(size);
+  InitializeRange(h_sol.begin(), h_sol.end());
+
+  const HostDeviceVector<bst_float> in_vec {h_in,
+        GPUDistribution::Block(GPUSet::Empty())};
+  HostDeviceVector<bst_float> out_vec {h_out,
+        GPUDistribution::Block(GPUSet::Empty())};
+  out_vec.Fill(0);
+
+  in_vec.Reshard(GPUDistribution::Granular(devices, 8));
+  out_vec.Reshard(GPUDistribution::Block(devices));
+
+  // Granularity is different, resharding will throw.
+  EXPECT_ANY_THROW(
+      Transform<>::Init(TestTransformRange<bst_float>{}, Range{0, size}, devices)
+      .Eval(&out_vec, &in_vec));
+
+
+  Transform<>::Init(TestTransformRange<bst_float>{}, Range{0, size},
+                    devices, false).Eval(&out_vec, &in_vec);
+  std::vector<bst_float> res = out_vec.HostVector();
+
+  ASSERT_TRUE(std::equal(h_sol.begin(), h_sol.end(), res.begin()));
+}
+
+}  // namespace xgboost
+}  // namespace common
+#endif