Loop over reduce.

[trivialfis]

• Document the limitation.
• Loop over thrust::reduce.
• Check the batch size.

[codecov-io]

Codecov Report

Merging #6229 into master will not change coverage.
The diff coverage is n/a.

@@           Coverage Diff           @@
##           master    #6229   +/-   ##
=======================================
  Coverage   80.80%   80.80%           
=======================================
  Files          12       12           
  Lines        3334     3334           
=======================================
  Hits         2694     2694           
  Misses        640      640           

Impacted Files	Coverage Δ
python-package/xgboost/core.py	78.34% <ø> (ø)
python-package/xgboost/dask.py	80.07% <ø> (ø)

---

Continue to review full report at Codecov.

Legend - Click here to learn more
Δ = absolute <relative> (impact), ø = not affected, ? = missing data
Powered by Codecov. Last update 2443275...82d5d4d. Read the comment docs.