Address #2754, accuracy issues with gpu_hist (#3793)

* Address windows compilation error

* Do not allow divide by zero in weight calculation

* Update tests

src/objective/multiclass_obj.cu

@@ -101,7 +101,8 @@ class SoftmaxMultiClassObj : public ObjFunction {
           for (int k = 0; k < nclass; ++k) {
             // Computation duplicated to avoid creating a cache.
             bst_float p = expf(point[k] - wmax) / static_cast<float>(wsum);
-            const bst_float h = fmax(2.0f * p * (1.0f - p) * wt, kRtEps);
+            const float eps = 1e-16f;
+            const bst_float h = fmax(2.0f * p * (1.0f - p) * wt, eps);
             p = label == k ? p - 1.0f : p;
             gpair[idx * nclass + k] = GradientPair(p * wt, h);
           }