Address some sphinx warnings and errors, add doc for building doc. (#4589)

doc/gpu/index.rst

@@ -211,7 +211,7 @@ Training time time on 1,000,000 rows x 50 columns with 500 boosting iterations a
 See `GPU Accelerated XGBoost <https://xgboost.ai/2016/12/14/GPU-accelerated-xgboost.html>`_ and `Updates to the XGBoost GPU algorithms <https://xgboost.ai/2018/07/04/gpu-xgboost-update.html>`_ for additional performance benchmarks of the ``gpu_exact`` and ``gpu_hist`` tree methods.
 
 Developer notes
-==========
+===============
 The application may be profiled with annotations by specifying USE_NTVX to cmake and providing the path to the stand-alone nvtx header via NVTX_HEADER_DIR. Regions covered by the 'Monitor' class in cuda code will automatically appear in the nsight profiler.
 
 **********
@@ -222,7 +222,7 @@ References
 `Nvidia Parallel Forall: Gradient Boosting, Decision Trees and XGBoost with CUDA <https://devblogs.nvidia.com/parallelforall/gradient-boosting-decision-trees-xgboost-cuda/>`_
 
 Contributors
-=======
+============
 Many thanks to the following contributors (alphabetical order):
 
 * Andrey Adinets