Fix dmlc#3730: scikit-learn 0.20 compatibility fix

sklearn.cross_validation has been removed from scikit-learn 0.20,
so replace it with sklearn.model_selection

tests/python-gpu/test_gpu_prediction.py

@@ -49,7 +49,10 @@ def non_decreasing(self, L):
     # Test case for a bug where multiple batch predictions made on a test set produce incorrect results
     def test_multi_predict(self):
         from sklearn.datasets import make_regression
-        from sklearn.cross_validation import train_test_split
+        try:
+            from sklearn.model_selection import train_test_split
+        except:
+            from sklearn.cross_validation import train_test_split
 
         n = 1000
         X, y = make_regression(n, random_state=rng)

tests/python/test_with_sklearn.py

@@ -149,7 +149,10 @@ def test_boston_housing_regression():
     tm._skip_if_no_sklearn()
     from sklearn.metrics import mean_squared_error
     from sklearn.datasets import load_boston
-    from sklearn.cross_validation import KFold
+    try:
+        from sklearn.model_selection import KFold
+    except:
+        from sklearn.cross_validation import KFold
 
     boston = load_boston()
     y = boston['target']
@@ -191,7 +194,10 @@ def test_regression_with_custom_objective():
     tm._skip_if_no_sklearn()
     from sklearn.metrics import mean_squared_error
     from sklearn.datasets import load_boston
-    from sklearn.cross_validation import KFold
+    try:
+        from sklearn.model_selection import KFold
+    except:
+        from sklearn.cross_validation import KFold
 
     def objective_ls(y_true, y_pred):
         grad = (y_pred - y_true)
@@ -224,7 +230,10 @@ def dummy_objective(y_true, y_pred):
 def test_classification_with_custom_objective():
     tm._skip_if_no_sklearn()
     from sklearn.datasets import load_digits
-    from sklearn.cross_validation import KFold
+    try:
+        from sklearn.model_selection import KFold
+    except:
+        from sklearn.cross_validation import KFold
 
     def logregobj(y_true, y_pred):
         y_pred = 1.0 / (1.0 + np.exp(-y_pred))
@@ -263,7 +272,10 @@ def dummy_objective(y_true, y_preds):
 def test_sklearn_api():
     tm._skip_if_no_sklearn()
     from sklearn.datasets import load_iris
-    from sklearn.cross_validation import train_test_split
+    try:
+        from sklearn.model_selection import train_test_split
+    except:
+        from sklearn.cross_validation import train_test_split
 
     iris = load_iris()
     tr_d, te_d, tr_l, te_l = train_test_split(iris.data, iris.target, train_size=120)
@@ -280,7 +292,10 @@ def test_sklearn_api():
 def test_sklearn_api_gblinear():
     tm._skip_if_no_sklearn()
     from sklearn.datasets import load_iris
-    from sklearn.cross_validation import train_test_split
+    try:
+        from sklearn.model_selection import train_test_split
+    except:
+        from sklearn.cross_validation import train_test_split
 
     iris = load_iris()
     tr_d, te_d, tr_l, te_l = train_test_split(iris.data, iris.target, train_size=120)