[CI] Improve R linter script

[hcho3]

• Move R linter launcher to a separate script. Testthat will no longer run lintr.
• Run R linter launcher as a separate GitHub action.
• Run lintr::lint() on individual R files to ensure that warnings and errors show in the console.
• Fix lint errors in R demos.
• Run R demos in GitHub Actions.

Closes #5796

[hcho3]

Will re-open once I figure how to get the warning to show up. Right now it doesn't: https://github.com/hcho3/xgboost/runs/911333487

[hcho3]

Now the log is finally working: https://github.com/hcho3/xgboost/runs/911457444?check_suite_focus=true

demo/interaction_constraints.R:66:45: style: Put spaces around all infix operators.
  rapply(object, function(x) LUT[x], classes="character", how="replace")
                                           ~^~
demo/interaction_constraints.R:66:62: style: Put spaces around all infix operators.
  rapply(object, function(x) LUT[x], classes="character", how="replace")
                                                            ~^~
demo/interaction_constraints.R:68:22: style: Use <-, not =, for assignment.
interaction_list_fid = cols2ids(interaction_list, colnames(train))
...

TODO. Fix lint for the R demos.

[codecov-commenter]

Codecov Report

Merging #5944 into master will not change coverage.
The diff coverage is n/a.

@@           Coverage Diff           @@
##           master    #5944   +/-   ##
=======================================
  Coverage   78.11%   78.11%           
=======================================
  Files          12       12           
  Lines        2979     2979           
=======================================
  Hits         2327     2327           
  Misses        652      652           

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[hcho3]

cc @jameslamb

[jameslamb]

Looks good! In my opinion it is not worth taking on a Suggests dependency on {crayon} just to get colored output.

[hcho3]

In my opinion it is not worth taking on a Suggests dependency on {crayon} just to get colored output.

Thanks for reviewing. Crayon is a hard dependency of lintr actually, so installing lintr also installs crayon.

[jameslamb]

In my opinion it is not worth taking on a Suggests dependency on {crayon} just to get colored output.

Thanks for reviewing. Crayon is a hard dependency of lintr actually, so installing lintr also installs crayon.

ah I see, ok!