add ROCm installation

python-package/README-ROCm.md

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+# ROCm version
+
+ROCm 5.5 and newer
+
+# Code
+Clone the code from our repo
+
+1. `git clone https://github.com/ROCmSoftwarePlatform/xgboost`
+1. `cd xgboost`
+1. `git checkout master-rocm`
+
+or a tag/branch with rocm suffix, such as v2.0.1-rocm
+
+# Submodules
+XGBoost ROCm support requires a few modules, which can be initialized as,
+
+`git submodule update --init --recursive`
+
+# Configure
+The following export may be required for some systems, and the ROCm path depends on installation,
+
+1. `export CMAKE_PREFIX_PATH=$CMAKE_PREFIX_PATH:/opt/rocm/lib/cmake:/opt/rocm/lib/cmake/AMDDeviceLibs/`
+1. `mkdir build`
+1. `cd build`
+1. `cmake -DUSE_HIP=ON ../`
+1. or `cmake -DUSE_HIP=1 ../`
+1. or `cmake -DUSE_HIP=1 -DUSE_RCCL=1 ../`
+1. or `cmake -DUSE_HIP=1 -DGOOGLE_TEST=1 ../`
+
+The first command may be optional depending on system configure.
+
+The **USE_HIP** macro enables HIP/ROCm support. **USE_RCCL** enables RCCL. **GOOGLE_TEST** enables Google test.
+
+apt-get install libgtest-dev libgmock-dev
+
+# Compile
+To compile, run command,
+
+`make -j`
+
+# Python Support
+After compilation, XGBoost can be installed as a Python package and supports a wide range of applications,
+
+1. `cd python-package/`
+1. `pip3 install .`
+
+# Use AMD GPUs
+When calling XGBoost, set the parameter `device` to `gpu` or `cuda`. Python sample,
+
+```
+params = dict()
+params["device"] = "gpu"
+params["tree_method"] = "hist"
+...
+```
+
+or
+
+```
+params = dict()
+params["device"] = "cuda"
+params["tree_method"] = "hist"
+...
+```