[EM] Make page concatenation optional. (#10826)

This PR introduces a new parameter `extmem_concat_pages` to make the page concatenation optional for GPU hist. In addition, the document is updated for the new GPU-based external memory.

python-package/xgboost/core.py

@@ -504,8 +504,8 @@ def _prediction_output(
 class DataIter(ABC):  # pylint: disable=too-many-instance-attributes
     """The interface for user defined data iterator. The iterator facilitates
     distributed training, :py:class:`QuantileDMatrix`, and external memory support using
-    :py:class:`DMatrix`. Most of time, users don't need to interact with this class
-    directly.
+    :py:class:`DMatrix` or :py:class:`ExtMemQuantileDMatrix`. Most of time, users don't
+    need to interact with this class directly.
 
     .. note::
 
@@ -525,15 +525,16 @@ class DataIter(ABC):  # pylint: disable=too-many-instance-attributes
         keep the cache.
 
     on_host :
-        Whether the data should be cached on host memory instead of harddrive when using
-        GPU with external memory. If set to true, then the "external memory" would
-        simply be CPU (host) memory.
+        Whether the data should be cached on the host memory instead of the file system
+        when using GPU with external memory. When set to true (the default), the
+        "external memory" is the CPU (host) memory. See
+        :doc:`/tutorials/external_memory` for more info.
 
         .. versionadded:: 3.0.0
 
         .. warning::
 
-            This is still working in progress, not ready for test yet.
+            This is an experimental parameter.
 
     """
 
@@ -541,7 +542,7 @@ class DataIter(ABC):  # pylint: disable=too-many-instance-attributes
         self,
         cache_prefix: Optional[str] = None,
         release_data: bool = True,
-        on_host: bool = False,
+        on_host: bool = True,
     ) -> None:
         self.cache_prefix = cache_prefix
         self.on_host = on_host
@@ -1681,9 +1682,12 @@ class QuantileDMatrix(DMatrix):
 class ExtMemQuantileDMatrix(DMatrix):
     """The external memory version of the :py:class:`QuantileDMatrix`.
 
+    See :doc:`/tutorials/external_memory` for explanation and usage examples, and
+    :py:class:`QuantileDMatrix` for parameter document.
+
     .. warning::
 
-        This is still working in progress, not ready for test yet.
+        This is an experimental feature.
 
     .. versionadded:: 3.0.0
 
@@ -1699,6 +1703,13 @@ class ExtMemQuantileDMatrix(DMatrix):
         ref: Optional[DMatrix] = None,
         enable_categorical: bool = False,
     ) -> None:
+        """
+        Parameters
+        ----------
+        data :
+            A user-defined :py:class:`DataIter` for loading data.
+
+        """
         self.max_bin = max_bin
         self.missing = missing if missing is not None else np.nan
         self.nthread = nthread if nthread is not None else -1