Save Scikit-Learn attributes into learner attributes. (#5245)

* Remove the recommendation for pickle.

* Save skl attributes in booster.attr

* Test loading scikit-learn model with native booster.

tests/python/test_basic_models.py

@@ -30,7 +30,8 @@ def json_model(model_path, parameters):
 class TestModels(unittest.TestCase):
     def test_glm(self):
         param = {'verbosity': 0, 'objective': 'binary:logistic',
-                 'booster': 'gblinear', 'alpha': 0.0001, 'lambda': 1, 'nthread': 1}
+                 'booster': 'gblinear', 'alpha': 0.0001, 'lambda': 1,
+                 'nthread': 1}
         watchlist = [(dtest, 'eval'), (dtrain, 'train')]
         num_round = 4
         bst = xgb.train(param, dtrain, num_round, watchlist)