Improve doxygen (#8959)

* Remove Sphinx build from GH Action

* Build Doxygen as part of RTD build

* Add jQuery

.github/workflows/main.yml

@@ -156,40 +156,3 @@ jobs:
             xgboost \
             cpp \
             include src python-package
-
-  sphinx:
-    runs-on: ubuntu-latest
-    name: Build docs using Sphinx
-    steps:
-    - uses: actions/checkout@e2f20e631ae6d7dd3b768f56a5d2af784dd54791 # v2.5.0
-      with:
-        submodules: 'true'
-    - uses: actions/setup-python@7f80679172b057fc5e90d70d197929d454754a5a # v4.3.0
-      with:
-        python-version: "3.8"
-        architecture: 'x64'
-    - name: Install system packages
-      run: |
-        sudo apt-get install -y --no-install-recommends graphviz doxygen ninja-build
-        python -m pip install wheel setuptools awscli
-        python -m pip install -r doc/requirements.txt
-    - name: Extract branch name
-      shell: bash
-      run: echo "##[set-output name=branch;]$(echo ${GITHUB_REF#refs/heads/})"
-      id: extract_branch
-      if: github.ref == 'refs/heads/master' || contains(github.ref, 'refs/heads/release_')
-    - name: Run Sphinx
-      run: |
-        make -C doc html
-      env:
-        SPHINX_GIT_BRANCH: ${{ steps.extract_branch.outputs.branch }}
-        READTHEDOCS: "True"
-
-    - name: Publish
-      run: |
-        tar cvjf ${{ steps.extract_branch.outputs.branch }}.tar.bz2 doxygen/doc_doxygen/
-        python -m awscli s3 cp ./${{ steps.extract_branch.outputs.branch }}.tar.bz2 s3://xgboost-docs/doxygen/ --acl public-read
-      if: github.ref == 'refs/heads/master' || contains(github.ref, 'refs/heads/release_')
-      env:
-        AWS_ACCESS_KEY_ID: ${{ secrets.AWS_ACCESS_KEY_ID_IAM_S3_UPLOADER }}
-        AWS_SECRET_ACCESS_KEY: ${{ secrets.AWS_SECRET_ACCESS_KEY_IAM_S3_UPLOADER }}