- Pass context from booster to DMatrix.
- Use context instead of integer for `n_threads`.
- Check the consistency configuration for `max_bin`.
- Test for all combinations of initialization options.
This PR prepares the GHistIndexMatrix to host the column matrix which is used by the hist tree method by accepting sparse_threshold parameter.
Some cleanups are made to ensure the correct batch param is being passed into DMatrix along with some additional tests for correctness of SimpleDMatrix.