Update Python demos with tests. (#5651)

* Remove GPU memory usage demo.
* Add tests for demos.
* Remove `silent`.
* Remove shebang as it's not portable.

demo/guide-python/sklearn_parallel.py

@@ -1,29 +1,11 @@
-import os
+from sklearn.model_selection import GridSearchCV
+from sklearn.datasets import load_boston
+import xgboost as xgb
 
 if __name__ == "__main__":
-    # NOTE: on posix systems, this *has* to be here and in the
-    # `__name__ == "__main__"` clause to run XGBoost in parallel processes
-    # using fork, if XGBoost was built with OpenMP support. Otherwise, if you
-    # build XGBoost without OpenMP support, you can use fork, which is the
-    # default backend for joblib, and omit this.
-    try:
-        from multiprocessing import set_start_method
-    except ImportError:
-        raise ImportError("Unable to import multiprocessing.set_start_method."
-                          " This example only runs on Python 3.4")
-    set_start_method("forkserver")
-
-    import numpy as np
-    from sklearn.model_selection import GridSearchCV
-    from sklearn.datasets import load_boston
-    import xgboost as xgb
-
-    rng = np.random.RandomState(31337)
-
     print("Parallel Parameter optimization")
     boston = load_boston()
 
-    os.environ["OMP_NUM_THREADS"] = "2"  # or to whatever you want
     y = boston['target']
     X = boston['data']
     xgb_model = xgb.XGBRegressor()