Document CUDA requirement, lack of external memory on GPU (dmlc#3624)

* Document fact that GPU doesn't support external memory

* Document CUDA requirement

doc/gpu/index.rst

@@ -5,6 +5,12 @@ XGBoost GPU Support
 This page contains information about GPU algorithms supported in XGBoost.
 To install GPU support, checkout the :doc:`/build`.
 
+.. note:: CUDA 8.0, Compute Capability 3.5 required
+
+  The GPU algorithms in XGBoost require a graphics card with compute capability 3.5 or higher, with
+  CUDA toolkits 8.0 or later.
+  (See `this list <https://en.wikipedia.org/wiki/CUDA#GPUs_supported>`_ to look up compute capability of your GPU card.)
+
 *********************************************
 CUDA Accelerated Tree Construction Algorithms
 *********************************************

doc/tutorials/external_memory.rst

@@ -13,6 +13,10 @@ The external memory version takes in the following filename format:
 The ``filename`` is the normal path to libsvm file you want to load in, and ``cacheprefix`` is a
 path to a cache file that XGBoost will use for external memory cache.
 
+.. note:: External memory is not available with GPU algorithms
+
+  External memory is not available when ``tree_method`` is set to ``gpu_exact`` or ``gpu_hist``.
+
 The following code was extracted from `demo/guide-python/external_memory.py <https://github.com/dmlc/xgboost/blob/master/demo/guide-python/external_memory.py>`_:
 
 .. code-block:: python