Enable running objectives with 0 GPU. (#3878)

* Enable running objectives with 0 GPU.

* Enable 0 GPU for objectives.
* Add doc for GPU objectives.
* Fix some objectives defaulted to running on all GPUs.

src/common/common.h

@@ -165,7 +165,7 @@ class GPUSet {
     CHECK_GE(n_gpus, -1) << "n_gpus must be >= -1.";
 
     GpuIdType const n_devices_visible = AllVisible().Size();
-    if (n_devices_visible == 0) { return Empty(); }
+    if (n_devices_visible == 0 || n_gpus == 0) { return Empty(); }
 
     GpuIdType const n_available_devices = n_devices_visible - gpu_id;