Update GPUTreeshap (#6163)

* Reduce shap test duration

* Test interoperability with shap package

* Add feature interactions

* Update GPUTreeShap

tests/python/test_with_shap.py

@@ -0,0 +1,25 @@
+import numpy as np
+import xgboost as xgb
+import testing as tm
+import pytest
+
+try:
+    import shap
+except ImportError:
+    shap = None
+    pass
+
+pytestmark = pytest.mark.skipif(shap is None, reason="Requires shap package")
+
+
+# Check integration is not broken from xgboost side
+# Changes in binary format may cause problems
+def test_with_shap():
+    X, y = shap.datasets.boston()
+    dtrain = xgb.DMatrix(X, label=y)
+    model = xgb.train({"learning_rate": 0.01}, dtrain, 10)
+    explainer = shap.TreeExplainer(model)
+    shap_values = explainer.shap_values(X)
+    margin = model.predict(dtrain, output_margin=True)
+    assert np.allclose(np.sum(shap_values, axis=len(shap_values.shape) - 1),
+                       margin - explainer.expected_value, 1e-3, 1e-3)