Check inf in data for all types of DMatrix. (#8911)

src/data/gradient_index.h

@@ -1,21 +1,23 @@
-/*!
- * Copyright 2017-2022 by XGBoost Contributors
+/**
+ * Copyright 2017-2023 by XGBoost Contributors
  * \brief Data type for fast histogram aggregation.
  */
 #ifndef XGBOOST_DATA_GRADIENT_INDEX_H_
 #define XGBOOST_DATA_GRADIENT_INDEX_H_
 
-#include <algorithm>  // std::min
-#include <cinttypes>  // std::uint32_t
-#include <cstddef>    // std::size_t
+#include <algorithm>  // for min
+#include <atomic>     // for atomic
+#include <cinttypes>  // for uint32_t
+#include <cstddef>    // for size_t
 #include <memory>
 #include <vector>
 
 #include "../common/categorical.h"
+#include "../common/error_msg.h"  // for InfInData
 #include "../common/hist_util.h"
 #include "../common/numeric.h"
 #include "../common/threading_utils.h"
-#include "../common/transform_iterator.h"  // common::MakeIndexTransformIter
+#include "../common/transform_iterator.h"  // for MakeIndexTransformIter
 #include "adapter.h"
 #include "proxy_dmatrix.h"
 #include "xgboost/base.h"
@@ -62,6 +64,7 @@ class GHistIndexMatrix {
     BinIdxType* index_data = index_data_span.data();
     auto const& ptrs = cut.Ptrs();
     auto const& values = cut.Values();
+    std::atomic<bool> valid{true};
     common::ParallelFor(batch_size, batch_threads, [&](size_t i) {
       auto line = batch.GetLine(i);
       size_t ibegin = row_ptr[rbegin + i];  // index of first entry for current block
@@ -70,6 +73,9 @@ class GHistIndexMatrix {
       for (size_t j = 0; j < line.Size(); ++j) {
         data::COOTuple elem = line.GetElement(j);
         if (is_valid(elem)) {
+          if (XGBOOST_EXPECT((std::isinf(elem.value)), false)) {
+            valid = false;
+          }
           bst_bin_t bin_idx{-1};
           if (common::IsCat(ft, elem.column_idx)) {
             bin_idx = cut.SearchCatBin(elem.value, elem.column_idx, ptrs, values);
@@ -82,6 +88,8 @@ class GHistIndexMatrix {
         }
       }
     });
+
+    CHECK(valid) << error::InfInData();
   }
 
   // Gather hit_count from all threads