[GPU] Add support for linear tree with device=gpu

R-package/src/Makevars.in

@@ -49,6 +49,7 @@ OBJECTS = \
     treelearner/feature_histogram.o \
     treelearner/feature_parallel_tree_learner.o \
     treelearner/gpu_tree_learner.o \
+    treelearner/gpu_linear_tree_learner.o \
     treelearner/gradient_discretizer.o \
     treelearner/linear_tree_learner.o \
     treelearner/serial_tree_learner.o \

R-package/src/Makevars.win.in

@@ -50,6 +50,7 @@ OBJECTS = \
     treelearner/feature_histogram.o \
     treelearner/feature_parallel_tree_learner.o \
     treelearner/gpu_tree_learner.o \
+    treelearner/gpu_linear_tree_learner.o \
     treelearner/gradient_discretizer.o \
     treelearner/linear_tree_learner.o \
     treelearner/serial_tree_learner.o \

src/io/config.cpp

@@ -417,9 +417,9 @@ void Config::CheckParamConflict(const std::unordered_map<std::string, std::strin
   }
   // linear tree learner must be serial type and run on CPU device
   if (linear_tree) {
-    if (device_type != std::string("cpu")) {
+    if (device_type != std::string("cpu") && device_type != std::string("gpu")) {
       device_type = "cpu";
-      Log::Warning("Linear tree learner only works with CPU.");
+      Log::Warning("Linear tree learner only works with CPU and GPU.");
     }
     if (tree_learner != std::string("serial")) {
       tree_learner = "serial";