Support column-wise data split with in-memory inputs (#9628)

---------

Co-authored-by: Jiaming Yuan <jm.yuan@outlook.com>

tests/python/test_dmatrix.py

@@ -1,4 +1,5 @@
 import os
+import sys
 import tempfile
 
 import numpy as np
@@ -9,6 +10,7 @@ from scipy.sparse import csr_matrix, rand
 
 import xgboost as xgb
 from xgboost import testing as tm
+from xgboost.core import DataSplitMode
 from xgboost.testing.data import np_dtypes
 
 rng = np.random.RandomState(1)
@@ -467,3 +469,97 @@ class TestDMatrix:
             m0 = xgb.DMatrix(orig)
             m1 = xgb.DMatrix(x)
             assert tm.predictor_equal(m0, m1)
+
+
+class TestDMatrixColumnSplit:
+    def test_numpy(self):
+        def verify_numpy():
+            data = np.random.randn(5, 5)
+            dm = xgb.DMatrix(data, data_split_mode=DataSplitMode.COL)
+            assert dm.num_row() == 5
+            assert dm.num_col() == 5 * xgb.collective.get_world_size()
+            assert dm.feature_names is None
+            assert dm.feature_types is None
+
+        tm.run_with_rabit(world_size=3, test_fn=verify_numpy)
+
+    def test_numpy_feature_names(self):
+        def verify_numpy_feature_names():
+            world_size = xgb.collective.get_world_size()
+            data = np.random.randn(5, 5)
+            feature_names = [f'feature{x}' for x in range(5)]
+            feature_types = ['float'] * 5
+            dm = xgb.DMatrix(data, feature_names=feature_names, feature_types=feature_types,
+                             data_split_mode=DataSplitMode.COL)
+            assert dm.num_row() == 5
+            assert dm.num_col() == 5 * world_size
+            assert len(dm.feature_names) == 5 * world_size
+            assert len(dm.feature_types) == 5 * world_size
+
+        tm.run_with_rabit(world_size=3, test_fn=verify_numpy_feature_names)
+
+    def test_csr(self):
+        def verify_csr():
+            indptr = np.array([0, 2, 3, 6])
+            indices = np.array([0, 2, 2, 0, 1, 2])
+            data = np.array([1, 2, 3, 4, 5, 6])
+            X = scipy.sparse.csr_matrix((data, indices, indptr), shape=(3, 3))
+            dtrain = xgb.DMatrix(X, data_split_mode=DataSplitMode.COL)
+            assert dtrain.num_row() == 3
+            assert dtrain.num_col() == 3 * xgb.collective.get_world_size()
+
+        tm.run_with_rabit(world_size=3, test_fn=verify_csr)
+
+    def test_csc(self):
+        def verify_csc():
+            row = np.array([0, 2, 2, 0, 1, 2])
+            col = np.array([0, 0, 1, 2, 2, 2])
+            data = np.array([1, 2, 3, 4, 5, 6])
+            X = scipy.sparse.csc_matrix((data, (row, col)), shape=(3, 3))
+            dtrain = xgb.DMatrix(X, data_split_mode=DataSplitMode.COL)
+            assert dtrain.num_row() == 3
+            assert dtrain.num_col() == 3 * xgb.collective.get_world_size()
+
+        tm.run_with_rabit(world_size=3, test_fn=verify_csc)
+
+    def test_coo(self):
+        def verify_coo():
+            row = np.array([0, 2, 2, 0, 1, 2])
+            col = np.array([0, 0, 1, 2, 2, 2])
+            data = np.array([1, 2, 3, 4, 5, 6])
+            X = scipy.sparse.coo_matrix((data, (row, col)), shape=(3, 3))
+            dtrain = xgb.DMatrix(X, data_split_mode=DataSplitMode.COL)
+            assert dtrain.num_row() == 3
+            assert dtrain.num_col() == 3 * xgb.collective.get_world_size()
+
+        tm.run_with_rabit(world_size=3, test_fn=verify_coo)
+
+    def test_list(self):
+        def verify_list():
+            data = [
+                [1, 2, 3, 4, 5],
+                [6, 7, 8, 9, 10],
+                [11, 12, 13, 14, 15],
+                [16, 17, 18, 19, 20],
+                [21, 22, 23, 24, 25]
+            ]
+            dm = xgb.DMatrix(data, data_split_mode=DataSplitMode.COL)
+            assert dm.num_row() == 5
+            assert dm.num_col() == 5 * xgb.collective.get_world_size()
+
+        tm.run_with_rabit(world_size=3, test_fn=verify_list)
+
+    def test_tuple(self):
+        def verify_tuple():
+            data = (
+                (1, 2, 3, 4, 5),
+                (6, 7, 8, 9, 10),
+                (11, 12, 13, 14, 15),
+                (16, 17, 18, 19, 20),
+                (21, 22, 23, 24, 25)
+            )
+            dm = xgb.DMatrix(data, data_split_mode=DataSplitMode.COL)
+            assert dm.num_row() == 5
+            assert dm.num_col() == 5 * xgb.collective.get_world_size()
+
+        tm.run_with_rabit(world_size=3, test_fn=verify_tuple)