Make pip install xgboost*.tar.gz work by fixing build-python.sh (#5241)

* Make pip install xgboost*.tar.gz work by fixing build-python.sh

* Simplify install doc

* Add test

* Install Miniconda for Linux target too

* Build XGBoost only once in sdist

* Try importing xgboost after installation

* Don't set PYTHONPATH env var for sdist test

tests/travis/run_test.sh

@@ -4,6 +4,18 @@ make -f dmlc-core/scripts/packages.mk lz4
 
 source $HOME/miniconda/bin/activate
 
+if [ ${TASK} == "python_sdist_test" ]; then
+    set -e
+    make pippack
+
+    conda activate python3
+    python --version
+    conda install numpy scipy
+
+    python -m pip install xgboost-*.tar.gz -v --user
+    python -c 'import xgboost' || exit -1
+fi
+
 if [ ${TASK} == "python_test" ]; then
     set -e
     # Build/test

tests/travis/setup.sh

@@ -1,11 +1,10 @@
 #!/bin/bash
 
-if [ ${TASK} == "python_test" ]; then
+if [ ${TASK} == "python_test" ] || [ ${TASK} == "python_sdist_test" ]; then
     if [ ${TRAVIS_OS_NAME} == "osx" ]; then
         wget -O conda.sh https://repo.anaconda.com/miniconda/Miniconda3-latest-MacOSX-x86_64.sh
     else
-        echo "We are no longer running Linux test on Travis."
-        exit 1
+        wget -O conda.sh https://repo.continuum.io/miniconda/Miniconda3-latest-Linux-x86_64.sh
     fi
     bash conda.sh -b -p $HOME/miniconda
     source $HOME/miniconda/bin/activate