Add GPU support.

src/data/data.cu

@@ -58,6 +58,15 @@ void CopyGroupInfoImpl(ArrayInterface column, std::vector<bst_group_t>* out) {
   std::partial_sum(out->begin(), out->end(), out->begin());
 }
 
+namespace {
+// thrust::all_of tries to copy lambda function.
+struct AllOfOp {
+  __device__ bool operator()(float w) {
+    return w >= 0;
+  }
+};
+}  // anonymous namespace
+
 void MetaInfo::SetInfo(const char * c_key, std::string const& interface_str) {
   Json j_interface = Json::Load({interface_str.c_str(), interface_str.size()});
   auto const& j_arr = get<Array>(j_interface);
@@ -82,6 +91,21 @@ void MetaInfo::SetInfo(const char * c_key, std::string const& interface_str) {
   } else if (key == "group") {
     CopyGroupInfoImpl(array_interface, &group_ptr_);
     return;
+  } else if (key == "label_lower_bound") {
+    CopyInfoImpl(array_interface, &labels_lower_bound_);
+    return;
+  } else if (key == "label_upper_bound") {
+    CopyInfoImpl(array_interface, &labels_upper_bound_);
+    return;
+  } else if (key == "feature_weights") {
+    CopyInfoImpl(array_interface, &feature_weigths);
+    auto d_feature_weights = feature_weigths.ConstDeviceSpan();
+    auto valid =
+        thrust::all_of(thrust::device, d_feature_weights.data(),
+                       d_feature_weights.data() + d_feature_weights.size(),
+                       AllOfOp{});
+    CHECK(valid) << "Feature weight must be greater than 0.";
+    return;
   } else {
     LOG(FATAL) << "Unknown metainfo: " << key;
   }

tests/python-gpu/test_device_quantile_dmatrix.py

@@ -16,6 +16,20 @@ def test_dmatrix_numpy_init(self):
                            match='is not supported for DeviceQuantileDMatrix'):
             xgb.DeviceQuantileDMatrix(data, np.ones(5, dtype=np.float64))
 
+    @pytest.mark.skipif(**tm.no_cupy())
+    def test_dmatrix_feature_weights(self):
+        import cupy as cp
+        rng = cp.random.RandomState(1994)
+        data = rng.randn(5, 5)
+        m = xgb.DMatrix(data)
+
+        feature_weights = rng.uniform(size=5)
+        m.set_info(feature_weights=feature_weights)
+
+        cp.testing.assert_array_equal(
+            cp.array(m.get_float_info('feature_weights')),
+            feature_weights.astype(np.float32))
+
     @pytest.mark.skipif(**tm.no_cupy())
     def test_dmatrix_cupy_init(self):
         import cupy as cp