Unify thread configuration. (#6186)

src/common/threading_utils.h

@@ -144,6 +144,22 @@ void ParallelFor(size_t size, size_t nthreads, Func fn) {
   omp_exc.Rethrow();
 }
 
+/* \brief Configure parallel threads.
+ *
+ * \param p_threads Number of threads, when it's less than or equal to 0, this function
+ *        will change it to number of process on system.
+ *
+ * \return Global openmp max threads before configuration.
+ */
+inline int32_t OmpSetNumThreads(int32_t* p_threads) {
+  auto& threads = *p_threads;
+  int32_t nthread_original = omp_get_max_threads();
+  if (threads <= 0) {
+    threads = omp_get_num_procs();
+  }
+  omp_set_num_threads(threads);
+  return nthread_original;
+}
 }  // namespace common
 }  // namespace xgboost