[SYCL] Add dask support for distributed (#10812)

tests/ci_build/conda_env/linux_sycl_test.yml

@@ -17,5 +17,6 @@ dependencies:
 - pytest
 - pytest-timeout
 - pytest-cov
+- dask
 - dpcpp_linux-64
 - onedpl-devel

tests/python-sycl/test_sycl_simple_dask.py

@@ -0,0 +1,42 @@
+from xgboost import dask as dxgb
+from xgboost import testing as tm
+
+from hypothesis import given, strategies, assume, settings, note
+
+import dask.array as da
+import dask.distributed
+
+
+def train_result(client, param, dtrain, num_rounds):
+    result = dxgb.train(
+        client,
+        param,
+        dtrain,
+        num_rounds,
+        verbose_eval=False,
+        evals=[(dtrain, "train")],
+    )
+    return result
+
+
+class TestSYCLDask:
+    # The simplest test verify only one node training.
+    def test_simple(self):
+        cluster = dask.distributed.LocalCluster(n_workers=1)
+        client = dask.distributed.Client(cluster)
+
+        param = {}
+        param["tree_method"] = "hist"
+        param["device"] = "sycl"
+        param["verbosity"] = 0
+        param["objective"] = "reg:squarederror"
+
+        # X and y must be Dask dataframes or arrays
+        num_obs = 1e4
+        num_features = 20
+        X = da.random.random(size=(num_obs, num_features), chunks=(1000, num_features))
+        y = da.random.random(size=(num_obs, 1), chunks=(1000, 1))
+        dtrain = dxgb.DaskDMatrix(client, X, y)
+
+        result = train_result(client, param, dtrain, 10)
+        assert tm.non_increasing(result["history"]["train"]["rmse"])