[CI] Migrate linters to GitHub Actions (#6035)

* [CI] Move lint to GitHub Actions

* [CI] Move Doxygen to GitHub Actions

* [CI] Move Sphinx build test to GitHub Actions

* [CI] Reduce workload for Windows R tests

* [CI] Move clang-tidy to Build stage

tests/ci_build/doxygen.sh

@@ -1,19 +0,0 @@
-#!/bin/bash
-
-if [ $# -ne 1 ]; then
-  echo "Usage: $0 [branch name]"
-  exit 1
-fi
-
-set -e
-set -x
-
-branch_name=$1
-
-rm -rf build
-mkdir build
-cd build
-cmake .. -DBUILD_C_DOC=ON
-make -j
-
-tar cvjf ${branch_name}.tar.bz2 doc_doxygen/