Use pytest conventions consistently (#6337)

* Do not derive from unittest.TestCase (not needed for pytest)

* assertRaises -> pytest.raises

* Simplify test_empty_dmatrix with test parametrization

* setUpClass -> setup_class, tearDownClass -> teardown_class

* Don't import unittest; import pytest

* Use plain assert

* Use parametrized tests in more places

* Fix test_gpu_with_sklearn.py

* Put back run_empty_dmatrix_reg / run_empty_dmatrix_cls

* Fix test_eta_decay_gpu_hist

* Add parametrized tests for monotone constraints

* Fix test names

* Remove test parametrization

* Revise test_slice to be not flaky

tests/python/test_dt.py

@@ -1,5 +1,4 @@
 # -*- coding: utf-8 -*-
-import unittest
 import pytest
 import numpy as np
 
@@ -17,7 +16,7 @@ pytestmark = pytest.mark.skipif(
     reason=tm.no_dt()['reason'] + ' or ' + tm.no_pandas()['reason'])
 
 
-class TestDataTable(unittest.TestCase):
+class TestDataTable:
 
     def test_dt(self):
         df = pd.DataFrame([[1, 2., True], [2, 3., False]],
@@ -43,7 +42,8 @@ class TestDataTable(unittest.TestCase):
         df = pd.DataFrame([[1, 2., 'x'], [2, 3., 'y']],
                           columns=['a', 'b', 'c'])
         dtable = dt.Frame(df)
-        self.assertRaises(ValueError, xgb.DMatrix, dtable)
+        with pytest.raises(ValueError):
+            xgb.DMatrix(dtable)
 
         df = pd.DataFrame({'A=1': [1, 2, 3], 'A=2': [4, 5, 6]})
         dtable = dt.Frame(df)