[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.

tests/python-gpu/test_gpu_data_iterator.py

@@ -3,6 +3,8 @@ import sys
 import pytest
 from hypothesis import given, settings, strategies
 
+import xgboost as xgb
+from xgboost import testing as tm
 from xgboost.testing import no_cupy
 from xgboost.testing.updater import check_extmem_qdm, check_quantile_loss_extmem
 
@@ -72,6 +74,22 @@ def test_extmem_qdm(
     check_extmem_qdm(n_samples_per_batch, n_features, n_batches, "cuda", on_host)
 
 
+def test_concat_pages() -> None:
+    it = tm.IteratorForTest(*tm.make_batches(64, 16, 4, use_cupy=True), cache=None)
+    Xy = xgb.ExtMemQuantileDMatrix(it)
+    with pytest.raises(ValueError, match="can not be used with concatenated pages"):
+        booster = xgb.train(
+            {
+                "device": "cuda",
+                "subsample": 0.5,
+                "sampling_method": "gradient_based",
+                "extmem_concat_pages": True,
+                "objective": "reg:absoluteerror",
+            },
+            Xy,
+        )
+
+
 @given(
     strategies.integers(1, 64),
     strategies.integers(1, 8),

tests/python-gpu/test_gpu_demos.py

@@ -6,24 +6,32 @@ import pytest
 
 from xgboost import testing as tm
 
-sys.path.append("tests/python")
-import test_demos as td  # noqa
+DEMO_DIR = tm.demo_dir(__file__)
+PYTHON_DEMO_DIR = os.path.join(DEMO_DIR, "guide-python")
 
 
 @pytest.mark.skipif(**tm.no_cupy())
 def test_data_iterator():
-    script = os.path.join(td.PYTHON_DEMO_DIR, "quantile_data_iterator.py")
+    script = os.path.join(PYTHON_DEMO_DIR, "quantile_data_iterator.py")
     cmd = ["python", script]
     subprocess.check_call(cmd)
 
 
 def test_update_process_demo():
-    script = os.path.join(td.PYTHON_DEMO_DIR, "update_process.py")
+    script = os.path.join(PYTHON_DEMO_DIR, "update_process.py")
     cmd = ["python", script]
     subprocess.check_call(cmd)
 
 
 def test_categorical_demo():
-    script = os.path.join(td.PYTHON_DEMO_DIR, "categorical.py")
+    script = os.path.join(PYTHON_DEMO_DIR, "categorical.py")
+    cmd = ["python", script]
+    subprocess.check_call(cmd)
+
+
+@pytest.mark.skipif(**tm.no_rmm())
+@pytest.mark.skipif(**tm.no_cupy())
+def test_external_memory_demo():
+    script = os.path.join(PYTHON_DEMO_DIR, "external_memory.py")
     cmd = ["python", script]
     subprocess.check_call(cmd)