diff --git a/gputreeshap b/gputreeshap
index acb5be3c17e9..787259b412c1 160000
--- a/gputreeshap
+++ b/gputreeshap
@@ -1 +1 @@
-Subproject commit acb5be3c17e9adae34ac0b176da6ea8e197cb17e
+Subproject commit 787259b412c18ab8d5f24bf2b8bd6a59ff8208f3
diff --git a/jvm-packages/xgboost4j-gpu/src/native/xgboost4j-gpu.cu b/jvm-packages/xgboost4j-gpu/src/native/xgboost4j-gpu.cu
index 4ecf8b0f1da1..bf3f6a0db316 100644
--- a/jvm-packages/xgboost4j-gpu/src/native/xgboost4j-gpu.cu
+++ b/jvm-packages/xgboost4j-gpu/src/native/xgboost4j-gpu.cu
@@ -1,7 +1,7 @@
 #include <jni.h>
-#include <thrust/system/cuda/experimental/pinned_allocator.h>
 
 #include "../../../../src/common/device_helpers.cuh"
+#include "../../../../src/common/cuda_pinned_allocator.h"
 #include "../../../../src/data/array_interface.h"
 #include "jvm_utils.h"
 #include <xgboost/c_api.h>
@@ -131,7 +131,7 @@ class DataIteratorProxy {
   bool cache_on_host_{true}; // TODO(Bobby): Make this optional.
 
   template <typename T>
-  using Alloc = thrust::system::cuda::experimental::pinned_allocator<T>;
+  using Alloc = xgboost::common::cuda::pinned_allocator<T>;
   template <typename U>
   using HostVector = std::vector<U, Alloc<U>>;
 
diff --git a/src/common/cuda_pinned_allocator.h b/src/common/cuda_pinned_allocator.h
new file mode 100644
index 000000000000..d11851d99d37
--- /dev/null
+++ b/src/common/cuda_pinned_allocator.h
@@ -0,0 +1,91 @@
+/*!
+ * Copyright 2022 by XGBoost Contributors
+ * \file common.h
+ * \brief cuda pinned allocator for usage with thrust containers
+ */
+
+#pragma once
+
+#include <cstddef>
+#include <limits>
+
+#include "common.h"
+
+namespace xgboost {
+namespace common {
+namespace cuda {
+
+// \p pinned_allocator is a CUDA-specific host memory allocator
+//  that employs \c cudaMallocHost for allocation.
+//
+// This implementation is ported from the experimental/pinned_allocator
+// that Thrust used to provide.
+//
+//  \see https://en.cppreference.com/w/cpp/memory/allocator
+template <typename T>
+class pinned_allocator;
+
+template <>
+class pinned_allocator<void> {
+ public:
+  using value_type      = void;            // NOLINT: The type of the elements in the allocator
+  using pointer         = void*;           // NOLINT: The type returned by address() / allocate()
+  using const_pointer   = const void*;     // NOLINT: The type returned by address()
+  using size_type       = std::size_t;     // NOLINT: The type used for the size of the allocation
+  using difference_type = std::ptrdiff_t;  // NOLINT: The type of the distance between two pointers
+
+  template <typename U>
+  struct rebind {                       // NOLINT
+    using other = pinned_allocator<U>;  // NOLINT: The rebound type
+  };
+};
+
+
+template <typename T>
+class pinned_allocator {
+ public:
+  using value_type      = T;               // NOLINT: The type of the elements in the allocator
+  using pointer         = T*;              // NOLINT: The type returned by address() / allocate()
+  using const_pointer   = const T*;        // NOLINT: The type returned by address()
+  using reference       = T&;              // NOLINT: The parameter type for address()
+  using const_reference = const T&;        // NOLINT: The parameter type for address()
+  using size_type       = std::size_t;     // NOLINT: The type used for the size of the allocation
+  using difference_type = std::ptrdiff_t;  // NOLINT: The type of the distance between two pointers
+
+  template <typename U>
+  struct rebind {                       // NOLINT
+    using other = pinned_allocator<U>;  // NOLINT: The rebound type
+  };
+
+  XGBOOST_DEVICE inline pinned_allocator() {}; // NOLINT: host/device markup ignored on defaulted functions
+  XGBOOST_DEVICE inline ~pinned_allocator() {} // NOLINT: host/device markup ignored on defaulted functions
+  XGBOOST_DEVICE inline pinned_allocator(pinned_allocator const&) {} // NOLINT: host/device markup ignored on defaulted functions
+
+
+  template <typename U>
+  XGBOOST_DEVICE inline pinned_allocator(pinned_allocator<U> const&) {} // NOLINT
+
+  XGBOOST_DEVICE inline pointer address(reference r) { return &r; } // NOLINT
+  XGBOOST_DEVICE inline const_pointer address(const_reference r) { return &r; } // NOLINT
+
+  inline pointer allocate(size_type cnt, const_pointer = nullptr) { // NOLINT
+    if (cnt > this->max_size()) { throw std::bad_alloc(); }  // end if
+
+    pointer result(nullptr);
+    dh::safe_cuda(cudaMallocHost(reinterpret_cast<void**>(&result), cnt * sizeof(value_type)));
+    return result;
+  }
+
+  inline void deallocate(pointer p, size_type) { dh::safe_cuda(cudaFreeHost(p)); } // NOLINT
+
+  inline size_type max_size() const { return (std::numeric_limits<size_type>::max)() / sizeof(T); } // NOLINT
+
+  XGBOOST_DEVICE inline bool operator==(pinned_allocator const& x) const { return true; }
+
+  XGBOOST_DEVICE inline bool operator!=(pinned_allocator const& x) const {
+    return !operator==(x);
+  }
+};
+}  // namespace cuda
+}  // namespace common
+}  // namespace xgboost
diff --git a/src/tree/gpu_hist/evaluate_splits.cuh b/src/tree/gpu_hist/evaluate_splits.cuh
index 2da207e79104..d3174c4df651 100644
--- a/src/tree/gpu_hist/evaluate_splits.cuh
+++ b/src/tree/gpu_hist/evaluate_splits.cuh
@@ -3,10 +3,10 @@
  */
 #ifndef EVALUATE_SPLITS_CUH_
 #define EVALUATE_SPLITS_CUH_
-#include <thrust/system/cuda/experimental/pinned_allocator.h>
 #include <xgboost/span.h>
 
 #include "../../common/categorical.h"
+#include "../../common/cuda_pinned_allocator.h"
 #include "../split_evaluator.h"
 #include "../updater_gpu_common.cuh"
 #include "expand_entry.cuh"
@@ -57,7 +57,7 @@ struct CatAccessor {
 class GPUHistEvaluator {
   using CatST = common::CatBitField::value_type;  // categorical storage type
   // use pinned memory to stage the categories, used for sort based splits.
-  using Alloc = thrust::system::cuda::experimental::pinned_allocator<CatST>;
+  using Alloc = xgboost::common::cuda::pinned_allocator<CatST>;
 
  private:
   TreeEvaluator tree_evaluator_;