[pyspark] User guide doc and tutorials (#8082)

Co-authored-by: Bobby Wang <wbo4958@gmail.com>

python-package/xgboost/spark/core.py

@@ -379,10 +379,6 @@ class _SparkXGBEstimator(Estimator, _SparkXGBParams, MLReadable, MLWritable):
                 )
             if k in _pyspark_param_alias_map:
                 real_k = _pyspark_param_alias_map[k]
-                if real_k in kwargs:
-                    raise ValueError(
-                        f"You should set only one of param '{k}' and '{real_k}'"
-                    )
                 k = real_k
 
             if self.hasParam(k):

python-package/xgboost/spark/estimator.py

@@ -31,6 +31,9 @@ class SparkXGBRegressor(_SparkXGBEstimator):
 
     SparkXGBRegressor doesn't support `validate_features` and `output_margin` param.
 
+    SparkXGBRegressor doesn't support setting `nthread` xgboost param, instead, the `nthread`
+    param for each xgboost worker will be set equal to `spark.task.cpus` config value.
+
     callbacks:
         The export and import of the callback functions are at best effort.
         For details, see :py:attr:`xgboost.spark.SparkXGBRegressor.callbacks` param doc.
@@ -128,6 +131,10 @@ class SparkXGBClassifier(_SparkXGBEstimator, HasProbabilityCol, HasRawPrediction
 
     SparkXGBClassifier doesn't support `validate_features` and `output_margin` param.
 
+    SparkXGBRegressor doesn't support setting `nthread` xgboost param, instead, the `nthread`
+    param for each xgboost worker will be set equal to `spark.task.cpus` config value.
+
+
     Parameters
     ----------