Improve doc and demo for dask. (#4907)
* Add a readme with link to doc. * Add more comments in the demonstrations code. * Workaround https://github.com/dask/distributed/issues/3081 .
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Dask
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====
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This directory contains some demonstrations for using `dask` with `XGBoost`.
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For an overview, see
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https://xgboost.readthedocs.io/en/latest/tutorials/dask.html .
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