diff --git a/doc/parameter.rst b/doc/parameter.rst
index 3ad297b5a3c0..d977a35e50a2 100644
--- a/doc/parameter.rst
+++ b/doc/parameter.rst
@@ -181,12 +181,17 @@ Parameters for Tree Booster
   - Maximum number of discrete bins to bucket continuous features.
   - Increasing this number improves the optimality of splits at the cost of higher computation time.
 
-* ``predictor``, [default=``cpu_predictor``]
+* ``predictor``, [default=``auto``]
 
   - The type of predictor algorithm to use. Provides the same results but allows the use of GPU or CPU.
 
+    - ``auto``: Configure predictor based on heuristics.
     - ``cpu_predictor``: Multicore CPU prediction algorithm.
-    - ``gpu_predictor``: Prediction using GPU. Default when ``tree_method`` is ``gpu_hist``.
+    - ``gpu_predictor``: Prediction using GPU.  Used when ``tree_method`` is ``gpu_hist``.
+      When ``predictor`` is set to default value ``auto``, the ``gpu_hist`` tree method is
+      able to provide GPU based prediction without copying training data to GPU memory.
+      If ``gpu_predictor`` is explicitly specified, then all data is copied into GPU, only
+      recommended for performing prediction tasks.
 
 * ``num_parallel_tree``, [default=1]
   - Number of parallel trees constructed during each iteration. This option is used to support boosted random forest.
diff --git a/include/xgboost/gbm.h b/include/xgboost/gbm.h
index b7ba637cf75a..9779c76d9850 100644
--- a/include/xgboost/gbm.h
+++ b/include/xgboost/gbm.h
@@ -28,7 +28,7 @@ namespace xgboost {
  */
 class GradientBooster {
  protected:
-  GenericParameter const* learner_param_;
+  GenericParameter const* generic_param_;
 
  public:
   /*! \brief virtual destructor */
diff --git a/include/xgboost/generic_parameters.h b/include/xgboost/generic_parameters.h
index b250c020c30d..17b4225b1133 100644
--- a/include/xgboost/generic_parameters.h
+++ b/include/xgboost/generic_parameters.h
@@ -12,6 +12,9 @@
 
 namespace xgboost {
 struct GenericParameter : public XGBoostParameter<GenericParameter> {
+  // Constant representing the device ID of CPU.
+  static int constexpr kCpuId = -1;
+
   // stored random seed
   int seed;
   // whether seed the PRNG each iteration
@@ -24,6 +27,8 @@ struct GenericParameter : public XGBoostParameter<GenericParameter> {
   // gpu page size in external memory mode, 0 means using the default.
   size_t gpu_page_size;
 
+  void ConfigureGpuId(bool require_gpu);
+
   void CheckDeprecated() {
     if (this->n_gpus != 0) {
       LOG(WARNING)
diff --git a/include/xgboost/predictor.h b/include/xgboost/predictor.h
index 8960a1acf284..b49a4899e33f 100644
--- a/include/xgboost/predictor.h
+++ b/include/xgboost/predictor.h
@@ -26,6 +26,15 @@ struct GBTreeModel;
 }
 
 namespace xgboost {
+/**
+ * \struct  PredictionCacheEntry
+ *
+ * \brief Contains pointer to input matrix and associated cached predictions.
+ */
+struct PredictionCacheEntry {
+  std::shared_ptr<DMatrix> data;
+  HostDeviceVector<bst_float> predictions;
+};
 
 /**
  * \class Predictor
@@ -41,23 +50,37 @@ namespace xgboost {
 
 class Predictor {
  protected:
-  GenericParameter const* learner_param_;
+  /*
+   * \brief Runtime parameters.
+   */
+  GenericParameter const* generic_param_;
+  /**
+   * \brief Map of matrices and associated cached predictions to facilitate
+   * storing and looking up predictions.
+   */
+  std::shared_ptr<std::unordered_map<DMatrix*, PredictionCacheEntry>> cache_;
+
+  std::unordered_map<DMatrix*, PredictionCacheEntry>::iterator FindCache(DMatrix const* dmat) {
+    auto cache_emtry = std::find_if(
+        cache_->begin(), cache_->end(),
+        [dmat](std::pair<DMatrix *, PredictionCacheEntry const &> const &kv) {
+          return kv.second.data.get() == dmat;
+        });
+    return cache_emtry;
+  }
 
  public:
+  Predictor(GenericParameter const* generic_param,
+            std::shared_ptr<std::unordered_map<DMatrix*, PredictionCacheEntry>> cache) :
+      generic_param_{generic_param}, cache_{cache} {}
   virtual ~Predictor() = default;
 
   /**
-   * \fn  virtual void Predictor::Init(const std::vector<std::pair<std::string,
-   * std::string> >&cfg ,const std::vector<std::shared_ptr<DMatrix> > &cache);
-   *
    * \brief Configure and register input matrices in prediction cache.
    *
    * \param cfg   The configuration.
-   * \param cache Vector of DMatrix's to be used in prediction.
    */
-
-  virtual void Configure(const std::vector<std::pair<std::string, std::string>>& cfg,
-                         const std::vector<std::shared_ptr<DMatrix>>& cache);
+  virtual void Configure(const std::vector<std::pair<std::string, std::string>>& cfg);
 
   /**
    * \brief Generate batch predictions for a given feature matrix. May use
@@ -162,45 +185,33 @@ class Predictor {
                                    unsigned condition_feature = 0) = 0;
 
   virtual void PredictInteractionContributions(DMatrix* dmat,
-                                   std::vector<bst_float>* out_contribs,
-                                   const gbm::GBTreeModel& model,
-                                   unsigned ntree_limit = 0,
-                                   std::vector<bst_float>* tree_weights = nullptr,
-                                   bool approximate = false) = 0;
-
-  /**
-   * \fn  static Predictor* Predictor::Create(std::string name);
-   *
-   * \brief Creates a new Predictor*.
-   *
-   */
+                                               std::vector<bst_float>* out_contribs,
+                                               const gbm::GBTreeModel& model,
+                                               unsigned ntree_limit = 0,
+                                               std::vector<bst_float>* tree_weights = nullptr,
+                                               bool approximate = false) = 0;
 
-  static Predictor* Create(std::string const& name, GenericParameter const*);
 
- protected:
   /**
-   * \struct  PredictionCacheEntry
+   * \brief Creates a new Predictor*.
    *
-   * \brief Contains pointer to input matrix and associated cached predictions.
-   */
-  struct PredictionCacheEntry {
-    std::shared_ptr<DMatrix> data;
-    HostDeviceVector<bst_float> predictions;
-  };
-
-  /**
-   * \brief Map of matrices and associated cached predictions to facilitate
-   * storing and looking up predictions.
+   * \param name           Name of the predictor.
+   * \param generic_param  Pointer to runtime parameters.
+   * \param cache          Pointer to prediction cache.
    */
-  std::unordered_map<DMatrix*, PredictionCacheEntry> cache_;
+  static Predictor* Create(
+      std::string const& name, GenericParameter const* generic_param,
+      std::shared_ptr<std::unordered_map<DMatrix*, PredictionCacheEntry>> cache);
 };
 
 /*!
  * \brief Registry entry for predictor.
  */
 struct PredictorReg
-    : public dmlc::FunctionRegEntryBase<PredictorReg,
-                                        std::function<Predictor*()>> {};
+    : public dmlc::FunctionRegEntryBase<
+  PredictorReg, std::function<Predictor*(
+      GenericParameter const*,
+      std::shared_ptr<std::unordered_map<DMatrix*, PredictionCacheEntry>>)>> {};
 
 #define XGBOOST_REGISTER_PREDICTOR(UniqueId, Name)      \
   static DMLC_ATTRIBUTE_UNUSED ::xgboost::PredictorReg& \
diff --git a/src/gbm/gblinear.cc b/src/gbm/gblinear.cc
index f1d2b3d94148..f5735202a517 100644
--- a/src/gbm/gblinear.cc
+++ b/src/gbm/gblinear.cc
@@ -65,7 +65,7 @@ class GBLinear : public GradientBooster {
       model_.param.InitAllowUnknown(cfg);
     }
     param_.UpdateAllowUnknown(cfg);
-    updater_.reset(LinearUpdater::Create(param_.updater, learner_param_));
+    updater_.reset(LinearUpdater::Create(param_.updater, generic_param_));
     updater_->Configure(cfg);
     monitor_.Init("GBLinear");
     if (param_.updater == "gpu_coord_descent") {
diff --git a/src/gbm/gbm.cc b/src/gbm/gbm.cc
index e0bc355f8241..644888b88ab4 100644
--- a/src/gbm/gbm.cc
+++ b/src/gbm/gbm.cc
@@ -13,7 +13,7 @@ DMLC_REGISTRY_ENABLE(::xgboost::GradientBoosterReg);
 namespace xgboost {
 GradientBooster* GradientBooster::Create(
     const std::string& name,
-    GenericParameter const* learner_param,
+    GenericParameter const* generic_param,
     const std::vector<std::shared_ptr<DMatrix> >& cache_mats,
     bst_float base_margin) {
   auto *e = ::dmlc::Registry< ::xgboost::GradientBoosterReg>::Get()->Find(name);
@@ -21,7 +21,7 @@ GradientBooster* GradientBooster::Create(
     LOG(FATAL) << "Unknown gbm type " << name;
   }
   auto p_bst =  (e->body)(cache_mats, base_margin);
-  p_bst->learner_param_ = learner_param;
+  p_bst->generic_param_ = generic_param;
   return p_bst;
 }
 
diff --git a/src/gbm/gbtree.cc b/src/gbm/gbtree.cc
index 694d8cc2f3ed..ec21cdd014ca 100644
--- a/src/gbm/gbtree.cc
+++ b/src/gbm/gbtree.cc
@@ -46,42 +46,44 @@ void GBTree::Configure(const Args& cfg) {
   // configure predictors
   if (!cpu_predictor_) {
     cpu_predictor_ = std::unique_ptr<Predictor>(
-        Predictor::Create("cpu_predictor", this->learner_param_));
-    cpu_predictor_->Configure(cfg, cache_);
+        Predictor::Create("cpu_predictor", this->generic_param_, cache_));
   }
+  cpu_predictor_->Configure(cfg);
 #if defined(XGBOOST_USE_CUDA)
-  if (!gpu_predictor_) {
+  auto n_gpus = common::AllVisibleGPUs();
+  if (!gpu_predictor_ && n_gpus != 0) {
     gpu_predictor_ = std::unique_ptr<Predictor>(
-        Predictor::Create("gpu_predictor", this->learner_param_));
-    gpu_predictor_->Configure(cfg, cache_);
+        Predictor::Create("gpu_predictor", this->generic_param_, cache_));
+  }
+  if (n_gpus != 0) {
+    gpu_predictor_->Configure(cfg);
   }
 #endif  // defined(XGBOOST_USE_CUDA)
 
   monitor_.Init("GBTree");
 
-  specified_predictor_ = std::any_of(cfg.cbegin(), cfg.cend(),
-                   [](std::pair<std::string, std::string> const& arg) {
-                     return arg.first == "predictor";
-                   });
-  if (!specified_predictor_ && tparam_.tree_method == TreeMethod::kGPUHist) {
-    tparam_.predictor = "gpu_predictor";
-  }
-
   specified_updater_ = std::any_of(cfg.cbegin(), cfg.cend(),
                    [](std::pair<std::string, std::string> const& arg) {
                      return arg.first == "updater";
                    });
-  if (specified_updater_) {
+
+  if (specified_updater_ && !showed_updater_warning_) {
     LOG(WARNING) << "DANGER AHEAD: You have manually specified `updater` "
         "parameter. The `tree_method` parameter will be ignored. "
         "Incorrect sequence of updaters will produce undefined "
-        "behavior. For common uses, we recommend using "
+        "behavior. For common uses, we recommend using"
         "`tree_method` parameter instead.";
+    // Don't drive users to silent XGBOost.
+    showed_updater_warning_ = true;
   } else {
     this->ConfigureUpdaters();
     LOG(DEBUG) << "Using updaters: " << tparam_.updater_seq;
   }
 
+  for (auto& up : updaters_) {
+    up->Configure(cfg);
+  }
+
   configured_ = true;
 }
 
@@ -162,9 +164,6 @@ void GBTree::ConfigureUpdaters() {
     case TreeMethod::kGPUHist:
       this->AssertGPUSupport();
       tparam_.updater_seq = "grow_gpu_hist";
-      if (!specified_predictor_) {
-        tparam_.predictor = "gpu_predictor";
-      }
       break;
     default:
       LOG(FATAL) << "Unknown tree_method ("
@@ -239,7 +238,7 @@ void GBTree::InitUpdater(Args const& cfg) {
   }
 
   for (const std::string& pstr : ups) {
-    std::unique_ptr<TreeUpdater> up(TreeUpdater::Create(pstr.c_str(), learner_param_));
+    std::unique_ptr<TreeUpdater> up(TreeUpdater::Create(pstr.c_str(), generic_param_));
     up->Configure(cfg);
     updaters_.push_back(std::move(up));
   }
diff --git a/src/gbm/gbtree.h b/src/gbm/gbtree.h
index 5c9373cfd848..cc10e2c91f92 100644
--- a/src/gbm/gbtree.h
+++ b/src/gbm/gbtree.h
@@ -10,21 +10,22 @@
 #include <dmlc/omp.h>
 #include <dmlc/parameter.h>
 
-#include <xgboost/logging.h>
-#include <xgboost/gbm.h>
-#include <xgboost/predictor.h>
-#include <xgboost/tree_updater.h>
-#include <xgboost/parameter.h>
-
 #include <vector>
 #include <map>
 #include <memory>
 #include <utility>
 #include <string>
-
-#include "gbtree_model.h"
+#include <unordered_map>
+
+#include "xgboost/logging.h"
+#include "xgboost/gbm.h"
+#include "xgboost/predictor.h"
+#include "xgboost/tree_updater.h"
+#include "xgboost/parameter.h"
+#include "xgboost/json.h"
 #include "xgboost/host_device_vector.h"
 
+#include "gbtree_model.h"
 #include "../common/common.h"
 #include "../common/timer.h"
 
@@ -39,10 +40,17 @@ enum class TreeProcessType : int {
   kDefault = 0,
   kUpdate = 1
 };
+
+enum class PredictorType : int {
+  kAuto = 0,
+  kCPUPredictor,
+  kGPUPredictor
+};
 }  // namespace xgboost
 
 DECLARE_FIELD_ENUM_CLASS(xgboost::TreeMethod);
 DECLARE_FIELD_ENUM_CLASS(xgboost::TreeProcessType);
+DECLARE_FIELD_ENUM_CLASS(xgboost::PredictorType);
 
 namespace xgboost {
 namespace gbm {
@@ -58,8 +66,8 @@ struct GBTreeTrainParam : public XGBoostParameter<GBTreeTrainParam> {
   std::string updater_seq;
   /*! \brief type of boosting process to run */
   TreeProcessType process_type;
-  // predictor name
-  std::string predictor;
+  // predictor type
+  PredictorType predictor;
   // tree construction method
   TreeMethod tree_method;
   // declare parameters
@@ -81,8 +89,11 @@ struct GBTreeTrainParam : public XGBoostParameter<GBTreeTrainParam> {
     // add alias
     DMLC_DECLARE_ALIAS(updater_seq, updater);
     DMLC_DECLARE_FIELD(predictor)
-      .set_default("cpu_predictor")
-      .describe("Predictor algorithm type");
+        .set_default(PredictorType::kAuto)
+        .add_enum("auto", PredictorType::kAuto)
+        .add_enum("cpu_predictor", PredictorType::kCPUPredictor)
+        .add_enum("gpu_predictor", PredictorType::kGPUPredictor)
+        .describe("Predictor algorithm type");
     DMLC_DECLARE_FIELD(tree_method)
         .set_default(TreeMethod::kAuto)
         .add_enum("auto",      TreeMethod::kAuto)
@@ -145,7 +156,10 @@ class GBTree : public GradientBooster {
   explicit GBTree(bst_float base_margin) : model_(base_margin) {}
 
   void InitCache(const std::vector<std::shared_ptr<DMatrix> > &cache) {
-    cache_ = cache;
+    cache_ = std::make_shared<std::unordered_map<DMatrix*, PredictionCacheEntry>>();
+    for (std::shared_ptr<DMatrix> const& d : cache) {
+      (*cache_)[d.get()].data = d;
+    }
   }
 
   void Configure(const Args& cfg) override;
@@ -163,7 +177,7 @@ class GBTree : public GradientBooster {
 
   bool UseGPU() const override {
     return
-        tparam_.predictor == "gpu_predictor" ||
+        tparam_.predictor == PredictorType::kGPUPredictor ||
         tparam_.tree_method == TreeMethod::kGPUHist;
   }
 
@@ -246,62 +260,82 @@ class GBTree : public GradientBooster {
   std::unique_ptr<Predictor> const& GetPredictor(HostDeviceVector<float> const* out_pred = nullptr,
                                                  DMatrix* f_dmat = nullptr) const {
     CHECK(configured_);
-    auto on_device = f_dmat && (*(f_dmat->GetBatches<SparsePage>().begin())).data.DeviceCanRead();
+    if (tparam_.predictor != PredictorType::kAuto) {
+      if (tparam_.predictor == PredictorType::kGPUPredictor) {
 #if defined(XGBOOST_USE_CUDA)
+        CHECK(gpu_predictor_);
+        return gpu_predictor_;
+#else
+        this->AssertGPUSupport();
+#endif  // defined(XGBOOST_USE_CUDA)
+      }
+      CHECK(cpu_predictor_);
+      return cpu_predictor_;
+    }
+
+    auto on_device = f_dmat && (*(f_dmat->GetBatches<SparsePage>().begin())).data.DeviceCanRead();
+
     // Use GPU Predictor if data is already on device.
-    if (!specified_predictor_ && on_device) {
+    if (on_device) {
+#if defined(XGBOOST_USE_CUDA)
       CHECK(gpu_predictor_);
       return gpu_predictor_;
-    }
+#else
+      LOG(FATAL) << "Data is on CUDA device, but XGBoost is not compiled with CUDA support.";
+      return cpu_predictor_;
 #endif  // defined(XGBOOST_USE_CUDA)
+    }
+
     // GPU_Hist by default has prediction cache calculated from quantile values, so GPU
     // Predictor is not used for training dataset.  But when XGBoost performs continue
     // training with an existing model, the prediction cache is not availbale and number
-    // of tree doesn't equal zero, the whole training dataset got copied into GPU for
+    // of trees doesn't equal zero, the whole training dataset got copied into GPU for
     // precise prediction.  This condition tries to avoid such copy by calling CPU
-    // Predictor.
+    // Predictor instead.
     if ((out_pred && out_pred->Size() == 0) &&
         (model_.param.num_trees != 0) &&
         // FIXME(trivialfis): Implement a better method for testing whether data is on
         // device after DMatrix refactoring is done.
         !on_device) {
-      return cpu_predictor_;
-    }
-    if (tparam_.predictor == "cpu_predictor") {
       CHECK(cpu_predictor_);
       return cpu_predictor_;
-    } else if (tparam_.predictor == "gpu_predictor") {
+    }
+
+    if (tparam_.tree_method == TreeMethod::kGPUHist) {
 #if defined(XGBOOST_USE_CUDA)
       CHECK(gpu_predictor_);
       return gpu_predictor_;
 #else
-      LOG(FATAL) << "XGBoost is not compiled with CUDA support.";
+      this->AssertGPUSupport();
       return cpu_predictor_;
 #endif  // defined(XGBOOST_USE_CUDA)
-    } else {
-      LOG(FATAL) << "Unknown predictor: " << tparam_.predictor;
-      return cpu_predictor_;
     }
+
+    CHECK(cpu_predictor_);
+    return cpu_predictor_;
   }
 
   // commit new trees all at once
-  virtual void CommitModel(
-      std::vector<std::vector<std::unique_ptr<RegTree>>>&& new_trees);
+  virtual void CommitModel(std::vector<std::vector<std::unique_ptr<RegTree>>>&& new_trees);
 
   // --- data structure ---
   GBTreeModel model_;
   // training parameter
   GBTreeTrainParam tparam_;
   // ----training fields----
+  bool showed_updater_warning_ {false};
   bool specified_updater_   {false};
-  bool specified_predictor_ {false};
   bool configured_ {false};
   // configurations for tree
   Args cfg_;
   // the updaters that can be applied to each of tree
   std::vector<std::unique_ptr<TreeUpdater>> updaters_;
-  // Cached matrices
-  std::vector<std::shared_ptr<DMatrix>> cache_;
+  /**
+   * \brief Map of matrices and associated cached predictions to facilitate
+   * storing and looking up predictions.
+   */
+  std::shared_ptr<std::unordered_map<DMatrix*, PredictionCacheEntry>> cache_;
+  // Predictors
   std::unique_ptr<Predictor> cpu_predictor_;
 #if defined(XGBOOST_USE_CUDA)
   std::unique_ptr<Predictor> gpu_predictor_;
diff --git a/src/learner.cc b/src/learner.cc
index 21c00046bb08..fa1f289fa051 100644
--- a/src/learner.cc
+++ b/src/learner.cc
@@ -138,6 +138,36 @@ DMLC_REGISTER_PARAMETER(LearnerModelParam);
 DMLC_REGISTER_PARAMETER(LearnerTrainParam);
 DMLC_REGISTER_PARAMETER(GenericParameter);
 
+int constexpr GenericParameter::kCpuId;
+
+void GenericParameter::ConfigureGpuId(bool require_gpu) {
+#if defined(XGBOOST_USE_CUDA)
+  int32_t n_visible = common::AllVisibleGPUs();
+  if (n_visible == 0) {
+    // Running XGBoost compiled with CUDA on CPU only machine.
+    this->UpdateAllowUnknown(Args{{"gpu_id", std::to_string(kCpuId)}});
+    return;
+  }
+
+  if (this->gpu_id == kCpuId) {  // 0. User didn't specify the `gpu_id'
+    if (require_gpu) {     // 1. `tree_method' or `predictor' or both are using
+                           // GPU.
+      // 2. Use device 0 as default.
+      this->UpdateAllowUnknown(Args{{"gpu_id", "0"}});
+    }
+  }
+
+  // 3. When booster is loaded from a memory image (Python pickle or R
+  // raw model), number of available GPUs could be different.  Wrap around it.
+  if (this->gpu_id != kCpuId && this->gpu_id >= n_visible) {
+    this->UpdateAllowUnknown(Args{{"gpu_id", std::to_string(gpu_id % n_gpus)}});
+  }
+#else
+  // Just set it to CPU, don't think about it.
+  this->UpdateAllowUnknown(Args{{"gpu_id", std::to_string(kCpuId)}});
+#endif  // defined(XGBOOST_USE_CUDA)
+}
+
 /*!
  * \brief learner that performs gradient boosting for a specific objective
  * function. It does training and prediction.
@@ -182,6 +212,8 @@ class LearnerImpl : public Learner {
     this->ConfigureGBM(old_tparam, args);
     this->ConfigureMetrics(args);
 
+    generic_param_.ConfigureGpuId(this->gbm_->UseGPU());
+
     this->configured_ = true;
     monitor_.Stop("Configure");
   }
@@ -282,12 +314,16 @@ class LearnerImpl : public Learner {
             kv.second = "cpu_predictor";
           }
 #endif  // XGBOOST_USE_CUDA
+#if defined(XGBOOST_USE_CUDA)
           // NO visible GPU in current environment
           if (is_gpu_predictor && common::AllVisibleGPUs() == 0) {
             cfg_["predictor"] = "cpu_predictor";
             kv.second = "cpu_predictor";
             LOG(INFO) << "Switch gpu_predictor to cpu_predictor.";
+          } else if (is_gpu_predictor) {
+            cfg_["predictor"] = "gpu_predictor";
           }
+#endif  // defined(XGBOOST_USE_CUDA)
           if (saved_configs_.find(saved_param) != saved_configs_.end()) {
             cfg_[saved_param] = kv.second;
           }
@@ -327,6 +363,8 @@ class LearnerImpl : public Learner {
     if (tparam_.dsplit == DataSplitMode::kAuto && rabit::IsDistributed()) {
       tparam_.dsplit = DataSplitMode::kRow;
     }
+
+    this->generic_param_.ConfigureGpuId(gbm_->UseGPU());
     this->configured_ = true;
   }
 
@@ -373,6 +411,18 @@ class LearnerImpl : public Learner {
         }
       }
     }
+#if defined(XGBOOST_USE_CUDA)
+    {
+      // Force save gpu_id.
+      if (std::none_of(extra_attr.cbegin(), extra_attr.cend(),
+                   [](std::pair<std::string, std::string> const& it) {
+                     return it.first == "SAVED_PARAM_gpu_id";
+                   })) {
+        mparam.contain_extra_attrs = 1;
+        extra_attr.emplace_back("SAVED_PARAM_gpu_id", std::to_string(generic_param_.gpu_id));
+      }
+    }
+#endif  // defined(XGBOOST_USE_CUDA)
     fo->Write(&mparam, sizeof(LearnerModelParam));
     fo->Write(tparam_.objective);
     fo->Write(tparam_.booster);
@@ -611,12 +661,6 @@ class LearnerImpl : public Learner {
                                          cache_, mparam_.base_score));
     }
     gbm_->Configure(args);
-
-    if (this->gbm_->UseGPU()) {
-      if (generic_param_.gpu_id == -1) {
-        generic_param_.gpu_id = 0;
-      }
-    }
   }
 
   // set number of features correctly.
diff --git a/src/predictor/cpu_predictor.cc b/src/predictor/cpu_predictor.cc
index 4d04b1f4ad50..f9db9bf70156 100644
--- a/src/predictor/cpu_predictor.cc
+++ b/src/predictor/cpu_predictor.cc
@@ -1,6 +1,8 @@
 /*!
- * Copyright by Contributors 2017
+ * Copyright by Contributors 2017-2019
  */
+#include <dmlc/omp.h>
+
 #include "xgboost/predictor.h"
 #include "xgboost/tree_model.h"
 #include "xgboost/tree_updater.h"
@@ -43,10 +45,11 @@ class CPUPredictor : public Predictor {
       }
     }
   }
-  inline void PredLoopSpecalize(DMatrix* p_fmat,
-                                std::vector<bst_float>* out_preds,
-                                const gbm::GBTreeModel& model, int num_group,
-                                unsigned tree_begin, unsigned tree_end) {
+
+  void PredLoopInternal(DMatrix* p_fmat, std::vector<bst_float>* out_preds,
+                        gbm::GBTreeModel const& model, int32_t tree_begin,
+                        int32_t tree_end) {
+    int32_t const num_group = model.param.num_output_group;
     const int nthread = omp_get_max_threads();
     InitThreadTemp(nthread, model.param.num_feature);
     std::vector<bst_float>& preds = *out_preds;
@@ -99,22 +102,15 @@ class CPUPredictor : public Predictor {
     }
   }
 
-  void PredLoopInternal(DMatrix* dmat, std::vector<bst_float>* out_preds,
-                        const gbm::GBTreeModel& model, int tree_begin,
-                        unsigned ntree_limit) {
-    // TODO(Rory): Check if this specialisation actually improves performance
-    PredLoopSpecalize(dmat, out_preds, model, model.param.num_output_group,
-                      tree_begin, ntree_limit);
-  }
-
   bool PredictFromCache(DMatrix* dmat,
                         HostDeviceVector<bst_float>* out_preds,
                         const gbm::GBTreeModel& model,
-                        unsigned ntree_limit) {
+                        unsigned ntree_limit) const {
+    CHECK(cache_);
     if (ntree_limit == 0 ||
         ntree_limit * model.param.num_output_group >= model.trees.size()) {
-      auto it = cache_.find(dmat);
-      if (it != cache_.end()) {
+      auto it = cache_->find(dmat);
+      if (it != cache_->end()) {
         const HostDeviceVector<bst_float>& y = it->second.predictions;
         if (y.Size() != 0) {
           out_preds->Resize(y.Size());
@@ -130,6 +126,7 @@ class CPUPredictor : public Predictor {
   void InitOutPredictions(const MetaInfo& info,
                           HostDeviceVector<bst_float>* out_preds,
                           const gbm::GBTreeModel& model) const {
+    CHECK_NE(model.param.num_output_group, 0);
     size_t n = model.param.num_output_group * info.num_row_;
     const auto& base_margin = info.base_margin_.HostVector();
     out_preds->Resize(n);
@@ -150,21 +147,24 @@ class CPUPredictor : public Predictor {
           oss << "[number of data points], i.e. " << info.num_row_ << ". ";
         }
         oss << "Instead, all data points will use "
-            << "base_score = " << model.base_margin;
+            << "base_margin = " << model.base_margin;
         LOG(WARNING) << oss.str();
       }
-      std::fill(out_preds_h.begin(), out_preds_h.end(), model.base_margin);
+      std::fill(out_preds_h.begin(), out_preds_h.end(),
+                model.base_margin);
     }
   }
 
  public:
+  CPUPredictor(GenericParameter const* generic_param,
+               std::shared_ptr<std::unordered_map<DMatrix*, PredictionCacheEntry>> cache) :
+      Predictor::Predictor{generic_param, cache} {}
   void PredictBatch(DMatrix* dmat, HostDeviceVector<bst_float>* out_preds,
                     const gbm::GBTreeModel& model, int tree_begin,
                     unsigned ntree_limit = 0) override {
     if (this->PredictFromCache(dmat, out_preds, model, ntree_limit)) {
       return;
     }
-
     this->InitOutPredictions(dmat->Info(), out_preds, model);
 
     ntree_limit *= model.param.num_output_group;
@@ -174,6 +174,15 @@ class CPUPredictor : public Predictor {
 
     this->PredLoopInternal(dmat, &out_preds->HostVector(), model,
                            tree_begin, ntree_limit);
+
+    auto cache_emtry = this->FindCache(dmat);
+    if (cache_emtry == cache_->cend()) { return; }
+    if (cache_emtry->second.predictions.Size() == 0) {
+      // See comment in GPUPredictor::PredictBatch.
+      InitOutPredictions(cache_emtry->second.data->Info(),
+                         &(cache_emtry->second.predictions), model);
+      cache_emtry->second.predictions.Copy(*out_preds);
+    }
   }
 
   void UpdatePredictionCache(
@@ -182,7 +191,7 @@ class CPUPredictor : public Predictor {
       int num_new_trees) override {
     int old_ntree = model.trees.size() - num_new_trees;
     // update cache entry
-    for (auto& kv : cache_) {
+    for (auto& kv : (*cache_)) {
       PredictionCacheEntry& e = kv.second;
 
       if (e.predictions.Size() == 0) {
@@ -215,7 +224,7 @@ class CPUPredictor : public Predictor {
     out_preds->resize(model.param.num_output_group *
                       (model.param.size_leaf_vector + 1));
     // loop over output groups
-    for (int gid = 0; gid < model.param.num_output_group; ++gid) {
+    for (uint32_t gid = 0; gid < model.param.num_output_group; ++gid) {
       (*out_preds)[gid] =
           PredValue(inst, model.trees, model.tree_info, gid,
                     &thread_temp[0], 0, ntree_limit) +
@@ -254,10 +263,9 @@ class CPUPredictor : public Predictor {
   }
 
   void PredictContribution(DMatrix* p_fmat, std::vector<bst_float>* out_contribs,
-                           const gbm::GBTreeModel& model, unsigned ntree_limit,
+                           const gbm::GBTreeModel& model, uint32_t ntree_limit,
                            std::vector<bst_float>* tree_weights,
-                           bool approximate,
-                           int condition,
+                           bool approximate, int condition,
                            unsigned condition_feature) override {
     const int nthread = omp_get_max_threads();
     InitThreadTemp(nthread,  model.param.num_feature);
@@ -268,7 +276,9 @@ class CPUPredictor : public Predictor {
       ntree_limit = static_cast<unsigned>(model.trees.size());
     }
     const int ngroup = model.param.num_output_group;
+    CHECK_NE(ngroup, 0);
     size_t const ncolumns = model.param.num_feature + 1;
+    CHECK_NE(ncolumns, 0);
     // allocate space for (number of features + bias) times the number of rows
     std::vector<bst_float>& contribs = *out_contribs;
     contribs.resize(info.num_row_ * ncolumns * model.param.num_output_group);
@@ -292,8 +302,7 @@ class CPUPredictor : public Predictor {
         RegTree::FVec& feats = thread_temp[omp_get_thread_num()];
         // loop over all classes
         for (int gid = 0; gid < ngroup; ++gid) {
-          bst_float* p_contribs =
-              &contribs[(row_idx * ngroup + gid) * ncolumns];
+          bst_float* p_contribs = &contribs[(row_idx * ngroup + gid) * ncolumns];
           feats.Fill(batch[i]);
           // calculate contributions
           for (unsigned j = 0; j < ntree_limit; ++j) {
@@ -307,7 +316,7 @@ class CPUPredictor : public Predictor {
             } else {
               model.trees[j]->CalculateContributionsApprox(feats, &this_tree_contribs[0]);
             }
-            for (int ci = 0 ; ci < ncolumns ; ++ci) {
+            for (size_t ci = 0 ; ci < ncolumns ; ++ci) {
                 p_contribs[ci] += this_tree_contribs[ci] *
                     (tree_weights == nullptr ? 1 : (*tree_weights)[j]);
             }
@@ -330,7 +339,7 @@ class CPUPredictor : public Predictor {
                                        bool approximate) override {
     const MetaInfo& info = p_fmat->Info();
     const int ngroup = model.param.num_output_group;
-    size_t ncolumns = model.param.num_feature;
+    size_t const ncolumns = model.param.num_feature;
     const unsigned row_chunk = ngroup * (ncolumns + 1) * (ncolumns + 1);
     const unsigned mrow_chunk = (ncolumns + 1) * (ncolumns + 1);
     const unsigned crow_chunk = ngroup * (ncolumns + 1);
@@ -375,7 +384,10 @@ class CPUPredictor : public Predictor {
 };
 
 XGBOOST_REGISTER_PREDICTOR(CPUPredictor, "cpu_predictor")
-    .describe("Make predictions using CPU.")
-    .set_body([]() { return new CPUPredictor(); });
+.describe("Make predictions using CPU.")
+.set_body([](GenericParameter const* generic_param,
+             std::shared_ptr<std::unordered_map<DMatrix*, PredictionCacheEntry>> cache) {
+            return new CPUPredictor(generic_param, cache);
+          });
 }  // namespace predictor
 }  // namespace xgboost
diff --git a/src/predictor/gpu_predictor.cu b/src/predictor/gpu_predictor.cu
index e3371bfcefe5..9cc91b966bfc 100644
--- a/src/predictor/gpu_predictor.cu
+++ b/src/predictor/gpu_predictor.cu
@@ -202,7 +202,7 @@ class GPUPredictor : public xgboost::Predictor {
    const thrust::host_vector<size_t>& h_tree_segments,
    const thrust::host_vector<DevicePredictionNode>& h_nodes,
    size_t tree_begin, size_t tree_end) {
-    dh::safe_cuda(cudaSetDevice(device_));
+    dh::safe_cuda(cudaSetDevice(generic_param_->gpu_id));
     nodes_.resize(h_nodes.size());
     dh::safe_cuda(cudaMemcpyAsync(nodes_.data().get(), h_nodes.data(),
                                   sizeof(DevicePredictionNode) * h_nodes.size(),
@@ -224,7 +224,11 @@ class GPUPredictor : public xgboost::Predictor {
                        size_t num_features,
                        HostDeviceVector<bst_float>* predictions,
                        size_t batch_offset) {
-    dh::safe_cuda(cudaSetDevice(device_));
+    dh::safe_cuda(cudaSetDevice(generic_param_->gpu_id));
+    batch.data.SetDevice(generic_param_->gpu_id);
+    batch.offset.SetDevice(generic_param_->gpu_id);
+    predictions->SetDevice(generic_param_->gpu_id);
+
     const uint32_t BLOCK_THREADS = 128;
     size_t num_rows = batch.Size();
     auto GRID_SIZE = static_cast<uint32_t>(common::DivRoundUp(num_rows, BLOCK_THREADS));
@@ -271,16 +275,19 @@ class GPUPredictor : public xgboost::Predictor {
                              HostDeviceVector<bst_float>* out_preds,
                              const gbm::GBTreeModel& model, size_t tree_begin,
                              size_t tree_end) {
-    if (tree_end - tree_begin == 0) { return; }
+    if (tree_end - tree_begin == 0) {
+      return;
+    }
     monitor_.StartCuda("DevicePredictInternal");
 
     InitModel(model, tree_begin, tree_end);
 
     size_t batch_offset = 0;
     for (auto &batch : dmat->GetBatches<SparsePage>()) {
-      batch.offset.SetDevice(device_);
-      batch.data.SetDevice(device_);
-      PredictInternal(batch, model.param.num_feature, out_preds, batch_offset);
+      batch.offset.SetDevice(generic_param_->gpu_id);
+      batch.data.SetDevice(generic_param_->gpu_id);
+      PredictInternal(batch, model.param.num_feature,
+                      out_preds, batch_offset);
       batch_offset += batch.Size() * model.param.num_output_group;
     }
 
@@ -288,19 +295,21 @@ class GPUPredictor : public xgboost::Predictor {
   }
 
  public:
-  GPUPredictor() : device_{-1} {}
+  GPUPredictor(GenericParameter const* generic_param,
+               std::shared_ptr<std::unordered_map<DMatrix*, PredictionCacheEntry>> cache) :
+      Predictor::Predictor{generic_param, cache} {}
 
   ~GPUPredictor() override {
-    if (device_ >= 0) {
-      dh::safe_cuda(cudaSetDevice(device_));
+    if (generic_param_->gpu_id >= 0) {
+      dh::safe_cuda(cudaSetDevice(generic_param_->gpu_id));
     }
   }
 
   void PredictBatch(DMatrix* dmat, HostDeviceVector<bst_float>* out_preds,
                     const gbm::GBTreeModel& model, int tree_begin,
                     unsigned ntree_limit = 0) override {
-    int device = learner_param_->gpu_id;
-    CHECK_GE(device, 0);
+    int device = generic_param_->gpu_id;
+    CHECK_GE(device, 0) << "Set `gpu_id' to positive value for processing GPU data.";
     ConfigureDevice(device);
 
     if (this->PredictFromCache(dmat, out_preds, model, ntree_limit)) {
@@ -308,13 +317,30 @@ class GPUPredictor : public xgboost::Predictor {
     }
     this->InitOutPredictions(dmat->Info(), out_preds, model);
 
-    int tree_end = ntree_limit * model.param.num_output_group;
+    int32_t tree_end = ntree_limit * model.param.num_output_group;
 
     if (ntree_limit == 0 || ntree_limit > model.trees.size()) {
       tree_end = static_cast<unsigned>(model.trees.size());
     }
 
     DevicePredictInternal(dmat, out_preds, model, tree_begin, tree_end);
+
+    auto cache_emtry = this->FindCache(dmat);
+    if (cache_emtry == cache_->cend()) { return; }
+    if (cache_emtry->second.predictions.Size() == 0) {
+      // Initialise the cache on first iteration, this comes useful
+      // when performing training continuation:
+      //
+      // 1. PredictBatch
+      // 2. CommitModel
+      //  - updater->UpdatePredictionCache
+      //
+      // If we don't initialise this cache, the 2 step will recieve an invalid cache as
+      // the first step only modifies prediction store in learner without following code.
+      InitOutPredictions(cache_emtry->second.data->Info(),
+                         &(cache_emtry->second.predictions), model);
+      cache_emtry->second.predictions.Copy(*out_preds);
+    }
   }
 
  protected:
@@ -324,7 +350,7 @@ class GPUPredictor : public xgboost::Predictor {
     size_t n_classes = model.param.num_output_group;
     size_t n = n_classes * info.num_row_;
     const HostDeviceVector<bst_float>& base_margin = info.base_margin_;
-    out_preds->SetDevice(device_);
+    out_preds->SetDevice(generic_param_->gpu_id);
     out_preds->Resize(n);
     if (base_margin.Size() != 0) {
       CHECK_EQ(base_margin.Size(), n);
@@ -338,8 +364,8 @@ class GPUPredictor : public xgboost::Predictor {
                         const gbm::GBTreeModel& model, unsigned ntree_limit) {
     if (ntree_limit == 0 ||
         ntree_limit * model.param.num_output_group >= model.trees.size()) {
-      auto it = cache_.find(dmat);
-      if (it != cache_.end()) {
+      auto it = (*cache_).find(dmat);
+      if (it != cache_->cend()) {
         const HostDeviceVector<bst_float>& y = it->second.predictions;
         if (y.Size() != 0) {
           monitor_.StartCuda("PredictFromCache");
@@ -360,7 +386,7 @@ class GPUPredictor : public xgboost::Predictor {
       int num_new_trees) override {
     auto old_ntree = model.trees.size() - num_new_trees;
     // update cache entry
-    for (auto& kv : cache_) {
+    for (auto& kv : (*cache_)) {
       PredictionCacheEntry& e = kv.second;
       DMatrix* dmat = kv.first;
       HostDeviceVector<bst_float>& predictions = e.predictions;
@@ -382,14 +408,14 @@ class GPUPredictor : public xgboost::Predictor {
   void PredictInstance(const SparsePage::Inst& inst,
                        std::vector<bst_float>* out_preds,
                        const gbm::GBTreeModel& model, unsigned ntree_limit) override {
-    LOG(FATAL) << "Internal error: " << __func__
+    LOG(FATAL) << "[Internal error]: " << __func__
                << " is not implemented in GPU Predictor.";
   }
 
   void PredictLeaf(DMatrix* p_fmat, std::vector<bst_float>* out_preds,
                    const gbm::GBTreeModel& model,
                    unsigned ntree_limit) override {
-    LOG(FATAL) << "Internal error: " << __func__
+    LOG(FATAL) << "[Internal error]: " << __func__
                << " is not implemented in GPU Predictor.";
   }
 
@@ -399,7 +425,7 @@ class GPUPredictor : public xgboost::Predictor {
                            std::vector<bst_float>* tree_weights,
                            bool approximate, int condition,
                            unsigned condition_feature) override {
-    LOG(FATAL) << "Internal error: " << __func__
+    LOG(FATAL) << "[Internal error]: " << __func__
                << " is not implemented in GPU Predictor.";
   }
 
@@ -409,15 +435,14 @@ class GPUPredictor : public xgboost::Predictor {
                                        unsigned ntree_limit,
                                        std::vector<bst_float>* tree_weights,
                                        bool approximate) override {
-    LOG(FATAL) << "Internal error: " << __func__
+    LOG(FATAL) << "[Internal error]: " << __func__
                << " is not implemented in GPU Predictor.";
   }
 
-  void Configure(const std::vector<std::pair<std::string, std::string>>& cfg,
-                 const std::vector<std::shared_ptr<DMatrix>>& cache) override {
-    Predictor::Configure(cfg, cache);
+  void Configure(const std::vector<std::pair<std::string, std::string>>& cfg) override {
+    Predictor::Configure(cfg);
 
-    int device = learner_param_->gpu_id;
+    int device = generic_param_->gpu_id;
     if (device >= 0) {
       ConfigureDevice(device);
     }
@@ -426,14 +451,11 @@ class GPUPredictor : public xgboost::Predictor {
  private:
   /*! \brief Reconfigure the device when GPU is changed. */
   void ConfigureDevice(int device) {
-    if (device_ == device) return;
-    device_ = device;
-    if (device_ >= 0) {
-      max_shared_memory_bytes_ = dh::MaxSharedMemory(device_);
+    if (device >= 0) {
+      max_shared_memory_bytes_ = dh::MaxSharedMemory(device);
     }
   }
 
-  int device_;
   common::Monitor monitor_;
   dh::device_vector<DevicePredictionNode> nodes_;
   dh::device_vector<size_t> tree_segments_;
@@ -445,8 +467,11 @@ class GPUPredictor : public xgboost::Predictor {
 };
 
 XGBOOST_REGISTER_PREDICTOR(GPUPredictor, "gpu_predictor")
-    .describe("Make predictions using GPU.")
-    .set_body([]() { return new GPUPredictor(); });
+.describe("Make predictions using GPU.")
+.set_body([](GenericParameter const* generic_param,
+             std::shared_ptr<std::unordered_map<DMatrix*, PredictionCacheEntry>> cache) {
+            return new GPUPredictor(generic_param, cache);
+          });
 
 }  // namespace predictor
 }  // namespace xgboost
diff --git a/src/predictor/predictor.cc b/src/predictor/predictor.cc
index 3aab7c4e8ac8..115caa8396e9 100644
--- a/src/predictor/predictor.cc
+++ b/src/predictor/predictor.cc
@@ -9,19 +9,16 @@ DMLC_REGISTRY_ENABLE(::xgboost::PredictorReg);
 }  // namespace dmlc
 namespace xgboost {
 void Predictor::Configure(
-    const std::vector<std::pair<std::string, std::string>>& cfg,
-    const std::vector<std::shared_ptr<DMatrix>>& cache) {
-  for (const std::shared_ptr<DMatrix>& d : cache) {
-    cache_[d.get()].data = d;
-  }
+    const std::vector<std::pair<std::string, std::string>>& cfg) {
 }
-Predictor* Predictor::Create(std::string const& name, GenericParameter const* learner_param) {
+Predictor* Predictor::Create(
+    std::string const& name, GenericParameter const* generic_param,
+    std::shared_ptr<std::unordered_map<DMatrix*, PredictionCacheEntry>> cache) {
   auto* e = ::dmlc::Registry<PredictorReg>::Get()->Find(name);
   if (e == nullptr) {
     LOG(FATAL) << "Unknown predictor type " << name;
   }
-  auto p_predictor =  (e->body)();
-  p_predictor->learner_param_ = learner_param;
+  auto p_predictor = (e->body)(generic_param, cache);
   return p_predictor;
 }
 }  // namespace xgboost
diff --git a/tests/cpp/gbm/test_gbtree.cc b/tests/cpp/gbm/test_gbtree.cc
index 13afff9485d3..621b63658331 100644
--- a/tests/cpp/gbm/test_gbtree.cc
+++ b/tests/cpp/gbm/test_gbtree.cc
@@ -29,21 +29,17 @@ TEST(GBTree, SelectTreeMethod) {
   ASSERT_EQ(tparam.updater_seq, "grow_colmaker,prune");
   gbtree.Configure({{"tree_method", "hist"}, {"num_feature", n_feat}});
   ASSERT_EQ(tparam.updater_seq, "grow_quantile_histmaker");
-  ASSERT_EQ(tparam.predictor, "cpu_predictor");
   gbtree.Configure({{"booster", "dart"}, {"tree_method", "hist"},
                     {"num_feature", n_feat}});
   ASSERT_EQ(tparam.updater_seq, "grow_quantile_histmaker");
-  ASSERT_EQ(tparam.predictor, "cpu_predictor");
 
 #ifdef XGBOOST_USE_CUDA
   generic_param.UpdateAllowUnknown(Args{{"gpu_id", "0"}});
   gbtree.Configure({{"tree_method", "gpu_hist"}, {"num_feature", n_feat}});
   ASSERT_EQ(tparam.updater_seq, "grow_gpu_hist");
-  ASSERT_EQ(tparam.predictor, "gpu_predictor");
   gbtree.Configure({{"booster", "dart"}, {"tree_method", "gpu_hist"},
                     {"num_feature", n_feat}});
   ASSERT_EQ(tparam.updater_seq, "grow_gpu_hist");
-  ASSERT_EQ(tparam.predictor, "gpu_predictor");
 #endif
 }
 
diff --git a/tests/cpp/predictor/test_cpu_predictor.cc b/tests/cpp/predictor/test_cpu_predictor.cc
index 2f22f2abd00b..38b4eba9db04 100644
--- a/tests/cpp/predictor/test_cpu_predictor.cc
+++ b/tests/cpp/predictor/test_cpu_predictor.cc
@@ -9,8 +9,9 @@
 namespace xgboost {
 TEST(cpu_predictor, Test) {
   auto lparam = CreateEmptyGenericParam(GPUIDX);
+  auto cache = std::make_shared<std::unordered_map<DMatrix*, PredictionCacheEntry>>();
   std::unique_ptr<Predictor> cpu_predictor =
-      std::unique_ptr<Predictor>(Predictor::Create("cpu_predictor", &lparam));
+      std::unique_ptr<Predictor>(Predictor::Create("cpu_predictor", &lparam, cache));
 
   gbm::GBTreeModel model = CreateTestModel();
 
@@ -62,8 +63,10 @@ TEST(cpu_predictor, ExternalMemoryTest) {
   std::string filename = tmpdir.path + "/big.libsvm";
   std::unique_ptr<DMatrix> dmat = CreateSparsePageDMatrix(12, 64, filename);
   auto lparam = CreateEmptyGenericParam(GPUIDX);
+  auto cache = std::make_shared<std::unordered_map<DMatrix*, PredictionCacheEntry>>();
+
   std::unique_ptr<Predictor> cpu_predictor =
-      std::unique_ptr<Predictor>(Predictor::Create("cpu_predictor", &lparam));
+      std::unique_ptr<Predictor>(Predictor::Create("cpu_predictor", &lparam, cache));
 
   gbm::GBTreeModel model = CreateTestModel();
 
diff --git a/tests/cpp/predictor/test_gpu_predictor.cu b/tests/cpp/predictor/test_gpu_predictor.cu
index 487bad8ef27a..b997ecf23ae4 100644
--- a/tests/cpp/predictor/test_gpu_predictor.cu
+++ b/tests/cpp/predictor/test_gpu_predictor.cu
@@ -36,14 +36,15 @@ namespace predictor {
 TEST(gpu_predictor, Test) {
   auto cpu_lparam = CreateEmptyGenericParam(-1);
   auto gpu_lparam = CreateEmptyGenericParam(0);
+  auto cache = std::make_shared<std::unordered_map<DMatrix*, PredictionCacheEntry>>();
 
   std::unique_ptr<Predictor> gpu_predictor =
-      std::unique_ptr<Predictor>(Predictor::Create("gpu_predictor", &gpu_lparam));
+      std::unique_ptr<Predictor>(Predictor::Create("gpu_predictor", &gpu_lparam, cache));
   std::unique_ptr<Predictor> cpu_predictor =
-      std::unique_ptr<Predictor>(Predictor::Create("cpu_predictor", &cpu_lparam));
+      std::unique_ptr<Predictor>(Predictor::Create("cpu_predictor", &cpu_lparam, cache));
 
-  gpu_predictor->Configure({}, {});
-  cpu_predictor->Configure({}, {});
+  gpu_predictor->Configure({});
+  cpu_predictor->Configure({});
 
   for (size_t i = 1; i < 33; i *= 2) {
     int n_row = i, n_col = i;
@@ -71,9 +72,10 @@ TEST(gpu_predictor, Test) {
 
 TEST(gpu_predictor, ExternalMemoryTest) {
   auto lparam = CreateEmptyGenericParam(0);
+  auto cache = std::make_shared<std::unordered_map<DMatrix*, PredictionCacheEntry>>();
   std::unique_ptr<Predictor> gpu_predictor =
-      std::unique_ptr<Predictor>(Predictor::Create("gpu_predictor", &lparam));
-  gpu_predictor->Configure({}, {});
+      std::unique_ptr<Predictor>(Predictor::Create("gpu_predictor", &lparam, cache));
+  gpu_predictor->Configure({});
   gbm::GBTreeModel model = CreateTestModel();
   model.param.num_feature = 3;
   const int n_classes = 3;
diff --git a/tests/python-gpu/test_gpu_training_continuation.py b/tests/python-gpu/test_gpu_training_continuation.py
new file mode 100644
index 000000000000..3d4b053dff63
--- /dev/null
+++ b/tests/python-gpu/test_gpu_training_continuation.py
@@ -0,0 +1,48 @@
+import unittest
+import numpy as np
+import xgboost as xgb
+import json
+
+rng = np.random.RandomState(1994)
+
+
+class TestGPUTrainingContinuation(unittest.TestCase):
+    def test_training_continuation_binary(self):
+        kRows = 32
+        kCols = 16
+        X = np.random.randn(kRows, kCols)
+        y = np.random.randn(kRows)
+        dtrain = xgb.DMatrix(X, y)
+        params = {'tree_method': 'gpu_hist', 'max_depth': '2'}
+        bst_0 = xgb.train(params, dtrain, num_boost_round=4)
+        dump_0 = bst_0.get_dump(dump_format='json')
+
+        bst_1 = xgb.train(params, dtrain, num_boost_round=2)
+        bst_1 = xgb.train(params, dtrain, num_boost_round=2, xgb_model=bst_1)
+        dump_1 = bst_1.get_dump(dump_format='json')
+
+        def recursive_compare(obj_0, obj_1):
+            if isinstance(obj_0, float):
+                assert np.isclose(obj_0, obj_1)
+            elif isinstance(obj_0, str):
+                assert obj_0 == obj_1
+            elif isinstance(obj_0, int):
+                assert obj_0 == obj_1
+            elif isinstance(obj_0, dict):
+                keys_0 = list(obj_0.keys())
+                keys_1 = list(obj_1.keys())
+                values_0 = list(obj_0.values())
+                values_1 = list(obj_1.values())
+                for i in range(len(obj_0.items())):
+                    assert keys_0[i] == keys_1[i]
+                    if list(obj_0.keys())[i] != 'missing':
+                        recursive_compare(values_0[i],
+                                          values_1[i])
+            else:
+                for i in range(len(obj_0)):
+                    recursive_compare(obj_0[i], obj_1[i])
+
+        for i in range(len(dump_0)):
+            obj_0 = json.loads(dump_0[i])
+            obj_1 = json.loads(dump_1[i])
+            recursive_compare(obj_0, obj_1)
diff --git a/tests/python-gpu/test_gpu_with_dask.py b/tests/python-gpu/test_gpu_with_dask.py
index 8bdeb8299e3d..f0ae5e292a1a 100644
--- a/tests/python-gpu/test_gpu_with_dask.py
+++ b/tests/python-gpu/test_gpu_with_dask.py
@@ -45,9 +45,8 @@ def test_dask_dataframe(self):
                 assert isinstance(out['booster'], dxgb.Booster)
                 assert len(out['history']['X']['rmse']) == 2
 
-                # FIXME(trivialfis): Re-enable this after #5003  is fixed
-                # predictions = dxgb.predict(client, out, dtrain).compute()
-                # assert isinstance(predictions, np.ndarray)
+                predictions = dxgb.predict(client, out, dtrain).compute()
+                assert isinstance(predictions, np.ndarray)
 
     @pytest.mark.skipif(**tm.no_dask())
     @pytest.mark.skipif(**tm.no_dask_cuda())