Jiaming Yuan 64575591d8
Use context in SetInfo. (#7687)
* Use the name `Context`.
* Pass a context object into `SetInfo`.
* Add context to proxy matrix.
* Add context to iterative DMatrix.

This is to remove the use of the default number of threads during `SetInfo` as a follow-up on
removing the global omp variable while preparing for CUDA stream semantic.  Currently, XGBoost
uses the legacy CUDA stream, we will gradually remove them in the future in favor of non-blocking streams.
2022-03-24 22:16:26 +08:00
..